Study: Buy CESC when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > cesc > 64

In this study, we evaluate the performance of strategy "Buy CESC when RSI is below 50 and there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CESC at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
138809.2495484750.533785.416080.4-3040.21-12937.741.251.270.017408.52
250833.795464948.425666.2333500.84-4281.9-14030.561.321.240.015535.09
366019.7195464948.428111.7640201.01-6267.78-23455.991.291.210.014694.94
454362.2195514453.688472.942490.84-8585.35-30428.230.991.140.0092572.23
513310.4995464948.4210482.3149816.85-9568.9-41819.571.11.030.002140.11
617216.5595494651.5811155.1449450.55-11508.38-37696.340.971.030.0023181.23
768029.3895474849.4713549.0276653.74-11849.47-39267.021.141.120.0079716.1
830381.8795435245.2617112.8480977.56-13566.73-39020.271.261.040.0031319.81
953452.4195445146.3217659.3285489.37-14187.4-38682.431.241.070.0052562.66
1077626.6895464948.4217886.4484337.92-15207.13-36125.651.181.10.0071817.12

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-16.41330098104376735.5822579.16170444-7542.25-16064.122.991.650.0263174.02
atrnil39.93344620101326931.6831730.6164750.06-9721.16-16647.23.261.510.0333412.08
nilnil-1138809.2495484750.533785.416080.4-3040.21-12937.741.251.270.017408.52
atrnil27.21152303102386437.2520576.5643166.71-9837.6-16647.22.091.240.0191493.16
atrtrail35.5478179.99104376735.5815770.5650569.23-7542.25-16064.122.091.150.011751.73
atrtrail24.9954628.97104386636.5414621.0433712.82-7590.46-16064.121.931.110.0085525.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 35.58%, which is not acceptable. Avoid this strategy. Average return per trade is 1.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CESC Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020410 Jan 2020 (1.99%), 11 Feb 2020 (-2.5%), 12 Feb 2020 (-1.62%), 03 Apr 2020 (45.93%)
2019109 Aug 2019 (2.33%)
2018426 Feb 2018 (-2.56%), 09 Jul 2018 (-2.99%), 12 Oct 2018 (-1.81%), 16 Nov 2018 (-0.33%)
2017210 Jul 2017 (0.94%), 12 Dec 2017 (-1.62%)
2016401 Feb 2016 (-3.76%), 16 Feb 2016 (0.88%), 21 Oct 2016 (-2.46%), 29 Nov 2016 (-1.51%)
2015609 Mar 2015 (-0.42%), 11 May 2015 (4.88%), 16 Jun 2015 (3.7%), 15 Sep 2015 (4.27%), 27 Nov 2015 (0.64%), 28 Dec 2015 (-1.48%)
2014205 Nov 2014 (-3.56%), 26 Dec 2014 (1.08%)
2013205 Apr 2013 (-3.54%), 28 Aug 2013 (-0.92%)
2012303 Jan 2012 (29.35%), 07 May 2012 (1.04%), 19 Nov 2012 (14.04%)
2011903 Jan 2011 (0.02%), 14 Feb 2011 (-1.58%), 31 May 2011 (0.47%), 07 Sep 2011 (-4.52%), 21 Sep 2011 (-3.88%), 28 Sep 2011 (-3.47%), 12 Oct 2011 (-3.72%), 28 Oct 2011 (0.84%), 28 Nov 2011 (-5.62%)
2010303 Mar 2010 (3.01%), 03 Jun 2010 (-1.94%), 06 Dec 2010 (-3.43%)
2009412 Feb 2009 (-5.04%), 06 Mar 2009 (-5.18%), 18 Mar 2009 (6.14%), 16 Jul 2009 (13.67%)
2008309 Jul 2008 (-6.64%), 08 Sep 2008 (-4.52%), 31 Oct 2008 (1.81%)
2007203 Jan 2007 (3.83%), 21 Jun 2007 (4.02%)
2006120 Jun 2006 (-7.0%)
2005108 Nov 2005 (13.42%)
2004612 Feb 2004 (-5.14%), 04 Mar 2004 (-3.22%), 31 Mar 2004 (7.51%), 27 May 2004 (-8.03%), 28 May 2004 (-7.2%), 29 Jun 2004 (-3.26%)
2003104 Apr 2003 (-2.18%)
2002714 Jan 2002 (-5.38%), 28 Jan 2002 (-3.82%), 06 Feb 2002 (21.7%), 16 Aug 2002 (-6.89%), 16 Sep 2002 (-6.75%), 04 Oct 2002 (-7.89%), 24 Oct 2002 (7.11%)
2001428 Mar 2001 (-7.25%), 09 Jul 2001 (-3.28%), 17 Aug 2001 (-2.13%), 26 Sep 2001 (-5.16%)
2000614 Feb 2000 (1.53%), 23 Mar 2000 (-5.05%), 18 Aug 2000 (-3.83%), 11 Oct 2000 (-5.35%), 12 Oct 2000 (-5.6%), 23 Oct 2000 (-5.78%)
1999613 May 1999 (12.71%), 18 Jun 1999 (31.92%), 11 Oct 1999 (-6.27%), 26 Oct 1999 (-2.07%), 24 Nov 1999 (6.93%), 22 Dec 1999 (15.86%)
1998604 Feb 1998 (-4.19%), 03 Mar 1998 (31.81%), 23 Jun 1998 (2.11%), 25 Aug 1998 (-4.01%), 07 Sep 1998 (-2.06%), 10 Nov 1998 (-3.61%)
1997515 Apr 1997 (-2.96%), 12 May 1997 (-4.45%), 03 Jun 1997 (-2.17%), 13 Jun 1997 (-1.26%), 15 Dec 1997 (2.17%)
1996707 Jun 1996 (15.37%), 19 Jul 1996 (-4.9%), 12 Aug 1996 (-5.57%), 08 Oct 1996 (-0.07%), 24 Oct 1996 (-5.56%), 11 Nov 1996 (-3.46%), 11 Dec 1996 (85.22%)
1995505 Apr 1995 (-1.7%), 18 May 1995 (-2.66%), 18 Jul 1995 (-2.47%), 21 Sep 1995 (-2.42%), 24 Nov 1995 (17.44%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play