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

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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 and ADX is Trending" 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
1-40079.552242846.154157.1816223.52-4994.71-26700.90.830.71-0.024-770.76
236858.61522626505993.3226498.42-4575.68-14124.291.311.310.02708.82
348498.8952242846.157649.1234745.38-4824.29-23709.91.591.360.022932.67
414015252302257.6910228.0150428.12-7576.76-33751.741.351.840.0432695.23
514867952322061.548671.9257232.99-6441.12-32635.981.352.150.052859.21
616524352282453.8511492.2375484.45-6522.49-33751.741.762.060.0453177.74
719679852322061.5410855.2880216.31-7528.55-37377.961.442.310.053784.58
819953852331963.4610470.5379900.86-7683.65-37099.021.362.370.0513837.27
916268852292355.7711490.0566696.71-7414.06-41004.181.551.950.0443128.62
1020286252282453.8513758.2979675.53-7598.77-36820.081.812.110.0493901.18
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CHOLAFIN Performance, X=8, Profit Factor:2.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-1.12%), 20 May 2019 (5.59%), 14 Jun 2019 (-2.99%)
2017216 Mar 2017 (-0.85%), 27 Jul 2017 (2.03%)
2016231 May 2016 (0.38%), 30 Aug 2016 (-9.24%)
2015213 Feb 2015 (1.57%), 20 May 2015 (-2.48%)
2014310 Jan 2014 (-0.88%), 19 May 2014 (7.35%), 05 Jun 2014 (0.66%)
2013504 Jan 2013 (-0.05%), 25 Apr 2013 (1.12%), 25 Oct 2013 (6.05%), 25 Nov 2013 (2.38%), 11 Dec 2013 (-4.29%)
2012319 Mar 2012 (4.79%), 13 Jun 2012 (1.18%), 10 Sep 2012 (-1.15%)
2011105 Sep 2011 (0.66%)
2010816 Feb 2010 (0.21%), 26 Mar 2010 (2.25%), 29 Apr 2010 (9.99%), 23 Jun 2010 (1.39%), 07 Jul 2010 (6.37%), 02 Sep 2010 (1.94%), 20 Sep 2010 (0.58%), 06 Oct 2010 (-4.17%)
2007229 Jun 2007 (21.71%), 04 Dec 2007 (39.95%)
2006410 Feb 2006 (-7.13%), 10 Oct 2006 (-1.66%), 31 Oct 2006 (-2.13%), 18 Dec 2006 (-3.83%)
2005303 Feb 2005 (3.83%), 06 Apr 2005 (10.3%), 01 Jun 2005 (6.82%)
2004111 Nov 2004 (4.4%)
2002611 Mar 2002 (0.64%), 02 May 2002 (9.03%), 31 May 2002 (4.85%), 01 Oct 2002 (0.37%), 31 Oct 2002 (-4.63%), 22 Nov 2002 (5.11%)
2001105 Jan 2001 (-4.41%)
2000116 Nov 2000 (1.26%)
1998213 Aug 1998 (7.62%), 18 Sep 1998 (-18.55%)
1997201 Mar 1997 (-2.53%), 27 Mar 1997 (-0.9%)
1996117 May 1996 (0.38%)

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
atrtrail24.3810103464253939.0614334.9126971.17-6598.44-13935.232.171.390.0291578.65
atrnil25.3996581.2662243838.7117184.5226971.17-8311.77-13935.232.071.310.0251557.76
atrtrail35.0363395.9660223836.6713994.8240456.76-6433.95-13935.232.181.260.0171056.6
atrtrail-15.850310.4759213835.5914038.1364645.98-6433.95-13935.232.181.210.013852.72
atrnil38.245785.6158144424.1426409.2540456.76-8271.45-13935.233.191.020.001499.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 39.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-0.37%), 20 May 2019 (-3.69%), 14 Jun 2019 (-6.61%)
2017316 Mar 2017 (-2.96%), 27 Jul 2017 (-1.29%), 07 Aug 2017 (-2.82%)
2016231 May 2016 (6.62%), 30 Aug 2016 (-3.46%)
2015213 Feb 2015 (0.08%), 20 May 2015 (-3.24%)
2014310 Jan 2014 (-2.77%), 19 May 2014 (8.68%), 05 Jun 2014 (-0.71%)
2013404 Jan 2013 (-3.57%), 25 Apr 2013 (7.69%), 25 Oct 2013 (2.0%), 25 Nov 2013 (1.71%)
2012419 Mar 2012 (7.43%), 29 Mar 2012 (-0.64%), 13 Jun 2012 (-4.16%), 10 Sep 2012 (-3.57%)
2011105 Sep 2011 (-0.17%)
20101116 Feb 2010 (-5.06%), 17 Feb 2010 (-5.74%), 26 Mar 2010 (-6.97%), 29 Apr 2010 (11.33%), 30 Apr 2010 (-5.8%), 23 Jun 2010 (-3.11%), 07 Jul 2010 (8.95%), 02 Sep 2010 (8.34%), 20 Sep 2010 (8.27%), 06 Oct 2010 (-3.85%), 07 Oct 2010 (-1.92%)
2007429 Jun 2007 (8.2%), 06 Jul 2007 (8.1%), 09 Jul 2007 (1.49%), 04 Dec 2007 (11.11%)
2006510 Feb 2006 (-2.01%), 10 Oct 2006 (-2.97%), 11 Oct 2006 (-2.45%), 31 Oct 2006 (-3.59%), 18 Dec 2006 (-3.8%)
2005303 Feb 2005 (8.61%), 06 Apr 2005 (-4.92%), 01 Jun 2005 (10.11%)
2004111 Nov 2004 (7.57%)
2002711 Mar 2002 (-4.96%), 12 Mar 2002 (13.49%), 02 May 2002 (9.41%), 31 May 2002 (11.67%), 01 Oct 2002 (-1.29%), 31 Oct 2002 (5.67%), 22 Nov 2002 (4.93%)
2001205 Jan 2001 (-3.38%), 08 Jan 2001 (-3.56%)
2000116 Nov 2000 (-2.96%)
1998313 Aug 1998 (6.56%), 18 Sep 1998 (-2.69%), 21 Sep 1998 (-2.83%)
1997301 Mar 1997 (1.18%), 27 Mar 1997 (-4.19%), 02 Apr 1997 (-2.41%)
1996217 May 1996 (-3.98%), 20 May 1996 (-4.18%)



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