Study: Buy CHOLAFIN when RSI is below 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 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 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
1107312603327555994.236203.09-3351.74-10175.441.792.190.051788.53
2194591603327559999.0842163.36-5014.04-13095.241.992.440.0613243.18
319287360352558.3310792.1853200.88-7394.15-15508.021.462.040.0533214.54
41594266033275510768.5173730.68-7256.86-18571.431.481.810.042657.09
515677360322853.3311405.5453642.38-7435.87-23613.171.531.750.0422612.88
610801760342656.6710351.5750551.88-9382.16-22159.091.11.440.0281800.29
781684.7760312951.6711699.1738561.44-9689.29-27414.771.211.290.021361.41
8100.46030305011227.4339514.35-11224.08-35476.19112.4e-051.67
939003.3960312951.6712757.1241059.6-12291.98-44523.811.041.110.0079650.06
1042441.2760312951.6713036.7745827.01-12472.37-42857.141.051.120.0082707.35

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.44. 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 55%, which is not acceptable. Avoid this strategy. Average return per trade is 1.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CHOLAFIN Performance, X=2, Profit Factor:2.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018305 Jun 2018 (2.48%), 13 Aug 2018 (1.54%), 12 Oct 2018 (1.65%)
2017317 Mar 2017 (1.79%), 06 Jun 2017 (0.56%), 10 Oct 2017 (2.81%)
2016120 Dec 2016 (3.65%)
2014205 Mar 2014 (4.71%), 05 Dec 2014 (-4.36%)
2013204 Jul 2013 (0.25%), 12 Aug 2013 (4.16%)
2012112 Jun 2012 (-0.66%)
2011521 Feb 2011 (-2.36%), 31 May 2011 (-0.39%), 02 Sep 2011 (2.62%), 02 Dec 2011 (-0.79%), 29 Dec 2011 (0.66%)
2009204 Mar 2009 (9.91%), 12 Nov 2009 (2.33%)
2008620 Feb 2008 (-1.61%), 28 Mar 2008 (-2.49%), 18 Jun 2008 (-2.58%), 03 Jul 2008 (-3.49%), 22 Jul 2008 (-3.36%), 31 Oct 2008 (16.49%)
2007214 Mar 2007 (-5.44%), 12 Oct 2007 (-4.25%)
2006320 Jun 2006 (4.39%), 03 Aug 2006 (5.82%), 19 Dec 2006 (2.48%)
2005204 Feb 2005 (1.41%), 31 Aug 2005 (5.16%)
2004517 Feb 2004 (-1.95%), 10 Mar 2004 (1.42%), 01 Apr 2004 (-2.98%), 05 May 2004 (3.56%), 09 Jun 2004 (0.18%)
2003107 Apr 2003 (2.08%)
2002109 Aug 2002 (-1.6%)
2001414 Feb 2001 (0.0%), 16 Mar 2001 (-5.09%), 07 Aug 2001 (-1.75%), 01 Oct 2001 (3.64%)
2000308 Feb 2000 (16.73%), 28 Mar 2000 (14.8%), 11 May 2000 (-1.83%)
1999307 Apr 1999 (-1.2%), 18 Oct 1999 (12.77%), 29 Nov 1999 (7.89%)
1998329 Jun 1998 (1.67%), 26 Oct 1998 (-0.7%), 08 Dec 1998 (-4.29%)
1997412 Feb 1997 (-6.55%), 20 May 1997 (-1.29%), 03 Jul 1997 (2.9%), 30 Oct 1997 (-2.9%)
1996402 Feb 1996 (21.08%), 19 Jul 1996 (-2.5%), 16 Oct 1996 (1.4%), 16 Dec 1996 (-1.28%)

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
nilnil-12194591603327559999.0842163.36-5014.04-13095.241.992.440.0613243.18
atrnil31319237861214034.4330618.4764761.79-11265.24-34041.262.721.430.0313153.74
atrtrail25.2979732.5863273642.8613578.0831676.95-7968.76-20003.871.71.280.021265.6
atrnil27.9710948162253740.3220858.4743174.53-11134.61-34041.261.871.270.0221765.83
atrtrail35.963746.663253839.6814164.4443334.25-7641.17-20003.871.851.220.0151011.85
atrtrail-16.2513447.1663253839.6812152.4661242.2-7641.17-20003.871.591.050.0033213.45

In the table above, row 1 shows the best exit criterion. Profit factor is 2.44. 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 55%, which is not acceptable. Avoid this strategy. Average return per trade is 1.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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