Study: Buy CIPLA 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 CIPLA 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 CIPLA 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
1106000163838050.923700.4614570.86-2514.23-10365.851.471.530.031650.3
2148561163887553.994788.7426819.13-3637.97-14064.121.321.540.031911.42
3139313163847951.535553.4421253.87-4141.47-13835.691.341.430.027854.68
4183293163857852.156595.2531673.76-4837.22-16899.861.361.490.0281124.5
5167848163828150.317665.1737521.71-5687.6-23634.541.351.360.0221029.74
6182134163857852.159565.8868488.71-8089.31-1282781.181.290.0151117.38
7154665163818249.6910845.474626.52-8826.98-1306771.231.210.011948.87
8223012163897454.610935.3674394.9-10138.31-1347211.081.30.0161368.17
9216720163907355.2111172.1878147.08-10805.16-1327871.031.270.0151329.57
10214516163897454.610819.3477012.16-10113.57-1381631.071.290.0151316.05

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.54. 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 53.99%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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
nilnil-12148561163887553.994788.7426819.13-3637.97-14064.121.321.540.031911.42
atrtrail-15.572096541847411040.229848.0969744.54-4719.14-11848.232.091.40.0211139.42
atrnil26.242656281817510641.4412716.9527773.49-6491.92-14192.281.961.390.0291467.56
atrtrail34.791938601887611240.439523.535310.97-4731.48-11848.232.011.370.0221031.17
atrtrail24.181659241948111341.758828.523540.65-4860.04-11848.231.821.30.021855.28
atrnil39.081891521654711828.4820234.0841660.24-6456.35-14192.283.131.250.0181146.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. 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 53.99%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
CIPLA Performance, X=2, Profit Factor:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020714 Jan 2020 (-0.83%), 04 Mar 2020 (-2.96%), 30 Mar 2020 (-4.17%), 26 May 2020 (0.1%), 16 Jul 2020 (-0.02%), 30 Jul 2020 (3.56%), 17 Sep 2020 (2.21%)
2019631 Jan 2019 (-1.49%), 09 Apr 2019 (2.42%), 24 May 2019 (1.29%), 12 Jul 2019 (-0.58%), 20 Nov 2019 (-0.78%), 18 Dec 2019 (-0.44%)
2018524 Jan 2018 (-0.53%), 09 Feb 2018 (-0.84%), 02 Apr 2018 (-1.12%), 17 Aug 2018 (0.52%), 07 Sep 2018 (-1.48%)
2017903 Jan 2017 (1.08%), 03 Feb 2017 (-1.7%), 23 Feb 2017 (-1.47%), 14 Mar 2017 (0.2%), 14 Jul 2017 (2.13%), 08 Aug 2017 (-5.25%), 18 Sep 2017 (-0.18%), 27 Oct 2017 (0.41%), 20 Dec 2017 (0.09%)
2016318 Apr 2016 (1.51%), 05 Aug 2016 (-0.06%), 19 Sep 2016 (0.59%)
2015405 Jan 2015 (-3.33%), 19 Feb 2015 (-1.95%), 06 Apr 2015 (0.14%), 06 Oct 2015 (2.45%)
2014709 Jan 2014 (-0.21%), 29 Apr 2014 (0.22%), 03 Jun 2014 (-0.46%), 31 Jul 2014 (-3.44%), 18 Aug 2014 (4.52%), 27 Oct 2014 (4.59%), 01 Dec 2014 (1.11%)
2013609 Jan 2013 (-1.61%), 16 May 2013 (-1.13%), 13 Aug 2013 (-2.39%), 30 Aug 2013 (-2.59%), 06 Nov 2013 (-0.35%), 18 Dec 2013 (2.29%)
2012906 Jan 2012 (1.83%), 25 Jan 2012 (-0.25%), 02 May 2012 (2.5%), 19 Jun 2012 (0.02%), 31 Jul 2012 (3.12%), 03 Oct 2012 (-4.41%), 01 Nov 2012 (1.31%), 29 Nov 2012 (2.22%), 20 Dec 2012 (-1.44%)
2011220 May 2011 (-0.49%), 15 Nov 2011 (1.29%)
2010430 Apr 2010 (-2.43%), 21 Oct 2010 (2.19%), 01 Dec 2010 (1.4%), 21 Dec 2010 (-1.88%)
20091027 Jan 2009 (-0.05%), 04 Mar 2009 (0.54%), 25 Mar 2009 (7.79%), 24 Apr 2009 (-0.52%), 04 Jun 2009 (-1.56%), 14 Jul 2009 (1.56%), 02 Sep 2009 (-0.96%), 25 Sep 2009 (4.75%), 28 Oct 2009 (-4.54%), 12 Nov 2009 (-0.18%)
2008804 Feb 2008 (1.4%), 22 Feb 2008 (1.41%), 19 Mar 2008 (1.6%), 29 May 2008 (-2.29%), 14 Jul 2008 (-2.97%), 07 Aug 2008 (2.9%), 26 Sep 2008 (-0.37%), 18 Dec 2008 (-2.37%)
2007712 Jan 2007 (1.43%), 07 Feb 2007 (-1.94%), 02 Jul 2007 (3.88%), 05 Sep 2007 (-1.26%), 27 Sep 2007 (7.19%), 24 Oct 2007 (-6.0%), 14 Nov 2007 (-1.18%)
2006702 Feb 2006 (1.2%), 23 Mar 2006 (5.38%), 24 Apr 2006 (1.02%), 21 Jun 2006 (2.82%), 11 Jul 2006 (2.63%), 01 Sep 2006 (1.44%), 27 Sep 2006 (-1.0%)
2005831 Jan 2005 (-0.63%), 22 Jun 2005 (0.59%), 13 Jul 2005 (2.32%), 17 Aug 2005 (-1.04%), 06 Sep 2005 (-0.25%), 29 Sep 2005 (2.6%), 18 Oct 2005 (-5.57%), 09 Nov 2005 (1.29%)
2004302 Apr 2004 (0.53%), 26 Aug 2004 (-0.45%), 29 Nov 2004 (1.32%)
2003702 Jul 2003 (3.53%), 05 Aug 2003 (-0.73%), 22 Aug 2003 (1.26%), 06 Oct 2003 (1.15%), 30 Oct 2003 (0.84%), 28 Nov 2003 (3.65%), 19 Dec 2003 (-1.77%)
2002510 Jan 2002 (0.29%), 02 May 2002 (1.26%), 28 Aug 2002 (1.16%), 03 Oct 2002 (0.74%), 27 Dec 2002 (0.47%)
2001903 Jan 2001 (0.77%), 23 Jan 2001 (-1.47%), 18 Apr 2001 (9.83%), 22 May 2001 (-2.75%), 28 Jun 2001 (2.13%), 12 Jul 2001 (1.34%), 06 Aug 2001 (0.24%), 17 Oct 2001 (1.58%), 19 Nov 2001 (-3.17%)
2000414 Mar 2000 (-6.37%), 04 Oct 2000 (7.85%), 28 Nov 2000 (-7.03%), 13 Dec 2000 (-4.37%)
1999703 Mar 1999 (-1.64%), 08 Apr 1999 (2.74%), 17 May 1999 (-2.12%), 03 Jun 1999 (-1.44%), 04 Aug 1999 (7.03%), 14 Sep 1999 (-2.07%), 11 Oct 1999 (5.71%)
1998725 Mar 1998 (1.23%), 21 May 1998 (0.81%), 09 Jul 1998 (13.41%), 08 Sep 1998 (1.92%), 29 Sep 1998 (-4.42%), 27 Oct 1998 (1.84%), 21 Dec 1998 (-0.93%)
1997813 Jan 1997 (3.93%), 03 Mar 1997 (2.23%), 09 Apr 1997 (0.97%), 07 May 1997 (9.54%), 01 Jul 1997 (-0.53%), 23 Jul 1997 (-2.05%), 09 Sep 1997 (1.33%), 01 Oct 1997 (-1.54%)
1996817 Jan 1996 (0.14%), 13 Feb 1996 (-0.35%), 22 Mar 1996 (-0.09%), 16 Apr 1996 (5.0%), 06 Jun 1996 (3.76%), 05 Jul 1996 (-1.53%), 22 Aug 1996 (3.39%), 11 Oct 1996 (0.1%)
1995329 Mar 1995 (-1.01%), 14 Jul 1995 (2.62%), 21 Sep 1995 (-1.67%)



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