Study: Buy CONCOR 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 CONCOR 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 CONCOR 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
133887.97115565948.73923.6416895.64-3149.76-10064.891.251.180.014294.68
233187.56115476840.875439.3517730.26-3271.5-14306.151.661.150.012288.59
3122372115605552.175990.722105.26-4310.36-14416.431.391.520.0351064.11
4149800115595651.37691.4226094.51-5428.46-20701.641.421.490.0341302.61
5177107115605552.179058.0243779.14-6661.36-38865.551.361.480.0321540.06
6215338115615453.049940.7143092.02-7241.58-34033.431.371.550.0371872.5
7186183115546146.9611549.1845644.17-7171.68-24022.321.611.430.0311618.99
869928.45115556047.8310750.6347361.96-8689.27-35765.381.241.130.011608.07
946557.12115536246.0911440.9146576.69-9029.21-46151.651.271.080.0068404.84
1074877.49115585750.4310499.9434328.42-9370.51-34020.031.121.140.012651.11
Although, strategy looks good but profit factor on day 2 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
atrnil38.35141548126388830.1621111.8432917.34-7507.97-16948.682.811.210.0191123.4
atrnil25.4741771.04133488536.0914122.8721944.89-7483.84-16948.681.891.070.0066314.07
atrtrail24.06-31403.54138508836.2310373.3921553.4-6250.83-16192.971.660.94-0.0057-227.56
atrtrail34.7-32317.29133468734.5910886.8132330.1-6127.71-16192.971.780.94-0.0055-242.99
atrtrail-15.3-159676131458634.358111.5826377.82-6101.13-16192.971.330.7-0.033-1218.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 30.16%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
CONCOR Performance, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 May 2019 (-3.01%), 20 Jun 2019 (-2.52%)
2018503 May 2018 (-2.72%), 27 Aug 2018 (-2.85%), 31 Aug 2018 (-2.8%), 01 Oct 2018 (-3.51%), 29 Oct 2018 (-4.76%)
2017903 Feb 2017 (8.18%), 15 Mar 2017 (-2.35%), 16 Mar 2017 (7.35%), 21 Jun 2017 (-2.72%), 05 Jul 2017 (-2.73%), 16 Aug 2017 (8.56%), 13 Oct 2017 (-2.94%), 26 Oct 2017 (-2.88%), 19 Dec 2017 (6.55%)
2016701 Jan 2016 (-2.96%), 21 Mar 2016 (10.22%), 25 May 2016 (-2.73%), 30 May 2016 (-2.83%), 28 Jun 2016 (8.22%), 29 Jul 2016 (-2.78%), 28 Oct 2016 (-2.42%)
2015612 Feb 2015 (-2.94%), 10 Mar 2015 (-4.31%), 08 Apr 2015 (-3.81%), 04 May 2015 (11.85%), 01 Jul 2015 (10.19%), 30 Sep 2015 (-4.88%)
2014801 Jan 2014 (9.08%), 24 Mar 2014 (9.76%), 25 Apr 2014 (-4.02%), 09 May 2014 (12.63%), 17 Jul 2014 (-5.08%), 22 Sep 2014 (-3.19%), 23 Sep 2014 (10.99%), 18 Nov 2014 (-3.19%)
20131105 Feb 2013 (7.56%), 03 Apr 2013 (-3.85%), 04 Apr 2013 (13.09%), 26 Apr 2013 (-3.57%), 16 May 2013 (-3.14%), 03 Jun 2013 (-4.12%), 22 Jul 2013 (-3.15%), 08 Aug 2013 (-4.63%), 14 Oct 2013 (-3.17%), 15 Oct 2013 (9.89%), 09 Dec 2013 (-2.79%)
2012717 Feb 2012 (-3.45%), 29 Mar 2012 (-3.56%), 30 May 2012 (-3.23%), 20 Jun 2012 (9.15%), 14 Aug 2012 (-2.32%), 13 Sep 2012 (-1.89%), 14 Sep 2012 (-2.02%)
2011325 Mar 2011 (-3.85%), 01 Jun 2011 (-3.57%), 04 Jul 2011 (-4.14%)
2010715 Jan 2010 (-3.54%), 10 Feb 2010 (-3.55%), 21 Apr 2010 (-3.25%), 01 Jun 2010 (-3.71%), 16 Jun 2010 (-3.73%), 29 Oct 2010 (-2.63%), 31 Dec 2010 (-3.27%)
2009812 Mar 2009 (11.61%), 07 May 2009 (-3.46%), 08 May 2009 (-3.67%), 04 Jun 2009 (-4.88%), 21 Jul 2009 (11.72%), 20 Aug 2009 (-3.76%), 25 Sep 2009 (-4.12%), 06 Nov 2009 (16.46%)
2008531 Jan 2008 (-6.09%), 28 Feb 2008 (-3.66%), 28 Mar 2008 (10.83%), 12 May 2008 (-4.04%), 05 Sep 2008 (-3.11%)
2007728 May 2007 (8.23%), 29 May 2007 (-3.23%), 22 Jun 2007 (12.45%), 26 Oct 2007 (-4.42%), 29 Oct 2007 (-5.65%), 04 Dec 2007 (-3.8%), 24 Dec 2007 (-3.82%)
2006806 Feb 2006 (9.68%), 01 Mar 2006 (-4.08%), 31 Mar 2006 (-3.75%), 03 Apr 2006 (12.5%), 01 Jun 2006 (-7.78%), 02 Jun 2006 (-8.03%), 11 Sep 2006 (-3.11%), 29 Sep 2006 (8.75%)
2005615 Feb 2005 (-3.22%), 15 Jun 2005 (-2.63%), 14 Jul 2005 (6.23%), 06 Sep 2005 (11.22%), 10 Oct 2005 (-3.18%), 22 Nov 2005 (11.03%)
2004902 Jan 2004 (-3.84%), 08 Mar 2004 (-3.81%), 31 Mar 2004 (-3.35%), 07 Jun 2004 (-8.47%), 30 Aug 2004 (11.0%), 29 Sep 2004 (9.32%), 30 Sep 2004 (-4.33%), 01 Nov 2004 (-3.58%), 01 Dec 2004 (9.33%)
2003617 Jun 2003 (10.81%), 30 Jul 2003 (-3.64%), 31 Jul 2003 (-3.76%), 24 Sep 2003 (-4.02%), 25 Sep 2003 (-4.27%), 05 Nov 2003 (-5.12%)
2002604 Jan 2002 (11.82%), 02 Apr 2002 (16.06%), 02 May 2002 (-5.36%), 06 Jun 2002 (16.17%), 07 Oct 2002 (-4.02%), 02 Dec 2002 (8.33%)
2001124 Sep 2001 (-4.2%)
1999506 Jul 1999 (12.02%), 13 Aug 1999 (12.28%), 11 Oct 1999 (-4.31%), 12 Oct 1999 (-4.83%), 17 Nov 1999 (-4.89%)



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