Study: Buy CIPLA 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 CIPLA 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 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
144124.8575383750.673024.7610649.01-1913.95-9098.241.581.620.035588.33
285646.8775403553.335616.6917001.21-3972.03-30683.31.411.620.0341141.96
313468575462961.336636.4433802.41-5882.46-26922.361.131.790.0411795.8
416592675472862.676843.2428783.73-5560.93-31068.081.232.070.0522212.35
519606375433257.338837.8934902.49-5748.96-26885.121.542.070.0532614.17
620994975413454.679937.9746930-5809.04-24849.51.712.060.0492799.32
728636375433257.3311998.6771529.14-7174.36-24534.731.672.250.0543818.17
831496675472862.6710660.461595.62-6645.47-21651.381.62.690.0664199.54
924133275443158.6711319.6857215.49-8281.74-40995.161.371.940.0463217.76
102527057545306011590.846734.45-8962.71-35270.811.291.940.0483369.4

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 2.69. 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 62.67%, which is good. Average return per trade is 2.1%, which is very good. Sharpe Ratio is 0.066, 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.
CIPLA Performance, X=8, Profit Factor:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019430 Jan 2019 (7.41%), 15 Jul 2019 (-2.52%), 30 Aug 2019 (-0.73%), 11 Oct 2019 (1.25%)
2018106 Jun 2018 (12.64%)
2017210 May 2017 (0.37%), 05 Jun 2017 (2.74%)
2016425 Feb 2016 (1.98%), 13 Apr 2016 (3.19%), 09 Jun 2016 (0.9%), 22 Nov 2016 (3.76%)
2015319 Jun 2015 (4.66%), 15 Sep 2015 (-3.4%), 30 Nov 2015 (-1.06%)
2014105 Mar 2014 (0.09%)
2013405 Feb 2013 (-6.29%), 05 Mar 2013 (0.38%), 18 Jun 2013 (3.24%), 04 Dec 2013 (-3.63%)
2012315 Mar 2012 (-2.55%), 29 Mar 2012 (4.24%), 20 Jun 2012 (2.19%)
2011225 Feb 2011 (-0.58%), 06 Sep 2011 (2.41%)
2010216 Feb 2010 (-1.97%), 24 Aug 2010 (-3.05%)
2009103 Sep 2009 (-0.36%)
2008421 Feb 2008 (6.09%), 25 Sep 2008 (-9.15%), 04 Nov 2008 (1.5%), 17 Dec 2008 (-0.05%)
2007713 Mar 2007 (1.86%), 23 May 2007 (4.47%), 20 Jun 2007 (-0.05%), 13 Aug 2007 (-10.83%), 04 Sep 2007 (-4.36%), 26 Sep 2007 (10.19%), 15 Nov 2007 (1.75%)
2006306 Jul 2006 (0.67%), 24 Jul 2006 (7.85%), 21 Dec 2006 (3.24%)
2005204 Mar 2005 (4.85%), 25 Apr 2005 (9.6%)
2004416 Feb 2004 (-2.44%), 01 Apr 2004 (4.3%), 01 Jun 2004 (-4.71%), 27 Aug 2004 (3.87%)
2003321 Feb 2003 (-6.32%), 19 Mar 2003 (-1.61%), 14 May 2003 (1.19%)
2002521 Feb 2002 (-4.6%), 08 Mar 2002 (-0.61%), 02 Jul 2002 (0.38%), 27 Aug 2002 (4.03%), 07 Nov 2002 (4.15%)
2001222 Mar 2001 (1.34%), 15 Nov 2001 (4.74%)
2000321 Jan 2000 (3.52%), 19 May 2000 (-4.05%), 03 Aug 2000 (4.88%)
1999326 May 1999 (-0.22%), 23 Jun 1999 (10.25%), 11 Nov 1999 (12.16%)
1998309 Feb 1998 (1.17%), 08 Jul 1998 (18.32%), 09 Dec 1998 (1.65%)
1997227 Nov 1997 (-6.67%), 19 Dec 1997 (12.83%)
1996205 Jun 1996 (9.31%), 20 Nov 1996 (16.26%)
1995522 May 1995 (-1.21%), 21 Jun 1995 (-9.95%), 13 Jul 1995 (-0.06%), 14 Sep 1995 (1.86%), 29 Nov 1995 (30.8%)

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-1831496675472862.6710660.461595.62-6645.47-21651.381.62.690.0664199.54
atrnil315.3835347676294738.1624426.63127319-7550.99-33334.473.2320.0454651
atrnil212.1822384577344344.1616129.3984879.55-7547.77-33334.472.141.690.0392907.08
atrtrail-16.2517119283335039.7612926.5760006.87-5107.69-33320.922.531.670.0322062.56
atrtrail35.5414246883344940.9611526.9530978.64-5090.78-33320.922.261.570.0321716.48
atrtrail25.0111814383344940.9610811.5138453.56-5090.78-33320.922.121.470.0281423.41

In the table above, row 1 shows the best exit criterion. Profit factor is 2.69. 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 62.67%, which is good. Average return per trade is 2.1%, which is very good. Sharpe Ratio is 0.066, 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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