Study: Buy CHOLAFIN when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when RSI is above 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 CHOLAFIN 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
118322.01138637545.654786.2420125.79-3776.15-26700.91.271.060.0045132.77
2143635138736552.95485.5942138.36-3950.97-14239.481.391.560.031040.84
3224778138706850.727537.0554245.28-4453.17-23709.91.691.740.0331628.83
42425181386969509192.0750428.12-5677.31-33751.741.621.620.0321757.38
5133413138687049.289269.0465806.45-7098.31-32635.981.311.270.016966.76
6202496138687049.2810921.8187096.77-7716.96-35814.461.421.370.0211467.36
7234640138706850.7211097.67101290-7973.49-44184.11.391.430.0221700.29
8235837138706850.7211528.7779900.86-8399.66-55062.761.371.410.0221708.96
9219897138677148.5512645.5670967.74-8836-51046.031.431.350.0211593.45
10199884138687049.2813195.0779675.53-9962.58-56526.431.321.290.0181448.44
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil25.31292681615810336.0216364.4226971.17-7959.88-14681.662.061.160.014802.91
atrtrail24.121010481665810834.9413309.3926971.17-6212.01-14681.662.141.150.012608.72
atrtrail34.62-24652.651575110632.4812192.9840456.76-6099-14681.6620.96-0.003-157.02
atrnil37.44-44328.67150361142424159.4940456.76-8018.16-14681.663.010.95-0.0043-295.52
atrtrail-15.17-47486.641565010632.0511980.1664645.98-6099-14681.661.960.93-0.0054-304.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 36.02%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
CHOLAFIN Performance, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019601 Feb 2019 (-3.33%), 26 Feb 2019 (6.26%), 20 May 2019 (-3.69%), 14 Jun 2019 (-6.61%), 09 Sep 2019 (-3.99%), 20 Sep 2019 (8.49%)
2018808 Jan 2018 (-2.21%), 16 Jan 2018 (-2.41%), 12 Feb 2018 (-3.6%), 03 Apr 2018 (6.34%), 04 Jun 2018 (-3.46%), 11 Jul 2018 (-3.22%), 27 Nov 2018 (-4.47%), 20 Dec 2018 (-3.93%)
2017416 Mar 2017 (-2.96%), 05 Jun 2017 (6.52%), 27 Jul 2017 (-3.04%), 11 Sep 2017 (-2.55%)
2016729 Jan 2016 (7.03%), 01 Feb 2016 (7.44%), 08 Mar 2016 (8.34%), 31 May 2016 (6.62%), 21 Jul 2016 (5.68%), 30 Aug 2016 (-3.46%), 26 Sep 2016 (-3.44%)
2015813 Feb 2015 (8.74%), 01 Apr 2015 (-3.54%), 20 May 2015 (-3.74%), 02 Jun 2015 (-3.45%), 11 Jun 2015 (-3.63%), 29 Oct 2015 (-3.56%), 20 Nov 2015 (-3.25%), 15 Dec 2015 (-3.03%)
2014910 Jan 2014 (-4.39%), 06 Mar 2014 (7.27%), 19 May 2014 (8.68%), 05 Jun 2014 (-6.37%), 04 Jul 2014 (8.94%), 25 Aug 2014 (7.58%), 28 Oct 2014 (-3.95%), 12 Nov 2014 (-3.75%), 15 Dec 2014 (-4.74%)
2013604 Jan 2013 (-4.99%), 25 Feb 2013 (6.66%), 25 Apr 2013 (7.69%), 13 Aug 2013 (-4.79%), 25 Oct 2013 (6.14%), 25 Nov 2013 (-3.5%)
2012719 Mar 2012 (7.43%), 29 Mar 2012 (-3.45%), 13 Jun 2012 (-4.16%), 10 Sep 2012 (-5.01%), 01 Oct 2012 (-4.63%), 25 Oct 2012 (-5.05%), 13 Nov 2012 (8.85%)
2011413 Jan 2011 (-4.28%), 01 Jun 2011 (-3.38%), 05 Sep 2011 (-4.4%), 14 Oct 2011 (-4.33%)
20101516 Feb 2010 (-5.06%), 17 Feb 2010 (-5.74%), 26 Mar 2010 (-6.97%), 29 Apr 2010 (11.33%), 30 Apr 2010 (-5.8%), 22 Jun 2010 (-5.0%), 06 Jul 2010 (8.86%), 20 Aug 2010 (-3.9%), 01 Sep 2010 (8.3%), 20 Sep 2010 (8.27%), 06 Oct 2010 (-3.85%), 07 Oct 2010 (-4.23%), 05 Nov 2010 (-3.76%), 02 Dec 2010 (-5.77%), 27 Dec 2010 (-4.99%)
2009318 Aug 2009 (-6.28%), 07 Sep 2009 (9.37%), 08 Sep 2009 (9.21%)
2007722 Jan 2007 (8.28%), 23 Jan 2007 (9.29%), 29 Jun 2007 (8.2%), 06 Jul 2007 (8.1%), 09 Jul 2007 (8.28%), 03 Sep 2007 (-5.37%), 04 Dec 2007 (11.11%)
2006910 Feb 2006 (-4.55%), 28 Mar 2006 (8.1%), 05 May 2006 (-5.34%), 18 Sep 2006 (-3.47%), 10 Oct 2006 (-2.97%), 11 Oct 2006 (-3.23%), 31 Oct 2006 (-3.59%), 16 Nov 2006 (-3.61%), 18 Dec 2006 (-3.8%)
2005803 Feb 2005 (8.61%), 06 Apr 2005 (-5.09%), 06 May 2005 (9.85%), 01 Jun 2005 (10.11%), 12 Jul 2005 (-3.57%), 30 Aug 2005 (5.24%), 07 Oct 2005 (-3.15%), 11 Nov 2005 (-2.56%)
2004311 Mar 2004 (-4.6%), 06 May 2004 (-3.92%), 11 Nov 2004 (7.57%)
2003721 Jan 2003 (-2.4%), 22 Jan 2003 (-2.75%), 03 Feb 2003 (5.14%), 20 Jun 2003 (-2.69%), 30 Jul 2003 (9.75%), 30 Sep 2003 (6.31%), 31 Dec 2003 (8.9%)
2002802 Jan 2002 (-3.51%), 11 Mar 2002 (-4.96%), 12 Mar 2002 (13.49%), 02 May 2002 (9.41%), 31 May 2002 (11.67%), 01 Oct 2002 (-2.62%), 31 Oct 2002 (5.67%), 22 Nov 2002 (4.93%)
2001805 Jan 2001 (-3.38%), 08 Jan 2001 (-3.56%), 13 Feb 2001 (-4.05%), 21 May 2001 (7.85%), 27 Sep 2001 (-4.18%), 07 Nov 2001 (-3.54%), 05 Dec 2001 (-3.04%), 11 Dec 2001 (-3.0%)
2000609 Feb 2000 (13.48%), 24 Feb 2000 (-7.34%), 29 Mar 2000 (-7.34%), 14 Aug 2000 (-3.89%), 05 Oct 2000 (-3.7%), 16 Oct 2000 (7.53%)
1999912 Feb 1999 (-3.04%), 17 Feb 1999 (-2.95%), 18 Feb 1999 (-3.01%), 07 Jun 1999 (-3.1%), 11 Jun 1999 (-3.08%), 24 Jun 1999 (7.47%), 25 Jun 1999 (7.98%), 13 Aug 1999 (8.3%), 20 Oct 1999 (10.59%)
1998705 Jan 1998 (-2.84%), 06 Jan 1998 (-2.97%), 19 Mar 1998 (4.38%), 25 May 1998 (-3.41%), 13 Aug 1998 (6.56%), 18 Sep 1998 (-2.69%), 21 Sep 1998 (-2.83%)
1997501 Mar 1997 (9.02%), 27 Mar 1997 (-4.19%), 02 Apr 1997 (-4.45%), 02 Jul 1997 (-3.14%), 24 Jul 1997 (-3.07%)
1996712 Feb 1996 (9.45%), 03 Apr 1996 (7.94%), 04 Apr 1996 (-4.14%), 17 May 1996 (-3.98%), 20 May 1996 (-4.18%), 22 Aug 1996 (-5.37%), 09 Sep 1996 (-5.6%)



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