Study: Buy COLPAL 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 COLPAL 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 COLPAL 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
1-15723.822491537.51261.764036.32-1805.31-5246.770.70.42-0.094-655.16
2-17483.3724101441.671607.693618.77-2397.16-9193.30.670.48-0.077-728.47
3-17797.3124101441.672731.247306.76-3222.12-6922.440.850.61-0.059-741.55
47076.6424101441.674294.5712361.21-2562.08-8277.631.681.20.019294.86
5696.5324111345.834109.0212149.73-3423.28-8977.021.21.020.001829.02
6-864.9224111345.834536.2119170.98-3904.86-13049.931.160.98-0.0017-36.04
79098.7524131154.174516.8216231.36-4510.9-11400.1911.180.018379.11
84757.3524101441.675757.3710538.18-3772.6-7255.241.531.090.011198.22
914888.5724131154.175002.2110353.17-4558.2-10927.781.11.30.032620.36
1034709.152415962.55376.2114380.75-5103.78-11739.251.051.760.0671446.21
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
atrnil311.9323109.282772025.9318325.0627238.84-5258.31-9491.233.481.220.024855.9
atrnil28.049506.082791833.3311661.5418159.23-5302.65-9491.232.21.10.012352.08
atrtrail-17.33-10694.672781929.638795.931807.63-4266.42-9491.232.060.87-0.014-396.1
atrtrail36.56-18533.462781929.637816.0519532.67-4266.42-9491.231.830.77-0.029-686.42
atrtrail26.11-23325.792781929.637217.0113021.78-4266.42-9491.231.690.71-0.042-863.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 25.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COLPAL Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019227 Feb 2019 (-2.25%), 20 May 2019 (-2.11%)
2018213 Mar 2018 (-2.02%), 01 Aug 2018 (-2.5%)
2017402 Jan 2017 (-1.84%), 13 Oct 2017 (-2.23%), 31 Oct 2017 (-2.27%), 13 Nov 2017 (-2.14%)
2016310 Feb 2016 (-2.58%), 15 Feb 2016 (-2.67%), 30 Nov 2016 (-2.7%)
2014126 Aug 2014 (7.35%)
2013419 Feb 2013 (-2.31%), 04 Apr 2013 (8.03%), 28 Jun 2013 (-2.99%), 05 Sep 2013 (9.72%)
2011524 Jan 2011 (-2.34%), 11 Feb 2011 (-3.01%), 01 Mar 2011 (-2.27%), 26 Aug 2011 (9.77%), 08 Dec 2011 (-2.36%)
2010208 Sep 2010 (6.15%), 29 Dec 2010 (-2.9%)
2009103 Sep 2009 (9.5%)
2008303 Jul 2008 (-4.34%), 04 Nov 2008 (-4.75%), 11 Nov 2008 (13.62%)



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