Study: Buy CONCOR when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

home > technical-strategy > concor > 32

In this study, we evaluate the performance of strategy "Buy CONCOR when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending" 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
116987.3344212347.734847.7913026.32-3687.66-10064.891.311.20.017386.08
283281.58442222507056.2217730.26-3270.69-10914.992.162.160.0671892.76
311749344261859.097644.3822105.26-4514.51-14416.431.692.450.082670.29
412624244232152.2710753.226094.51-5765.76-17773.781.872.040.0662869.15
513859644242054.5511507.3828631.18-6879.04-19732.271.672.010.0633149.92
610966344232152.2711808.8426343.54-7711.44-21067.481.531.680.0482492.34
710830144212347.7312977.930099.2-7140.63-21563.031.821.660.0452461.4
843692.9244202445.4511512.4531084.02-7773.17-22168.591.481.230.019993.02
955896.994422225011728.3534934.21-9187.58-23623.921.281.280.0221270.39
1066250.5944242054.5510962.830263.16-9842.83-23515.851.111.340.0271505.7
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CONCOR Performance, X=3, Profit Factor:2.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (1.59%)
2018129 Oct 2018 (6.74%)
2017103 Feb 2017 (5.94%)
2016101 Jan 2016 (-7.21%)
2015309 Apr 2015 (-0.84%), 01 Jul 2015 (2.34%), 30 Sep 2015 (1.45%)
2014624 Mar 2014 (7.8%), 25 Apr 2014 (-6.22%), 12 May 2014 (2.71%), 17 Jul 2014 (0.68%), 22 Aug 2014 (-2.14%), 23 Sep 2014 (1.04%)
2013503 Apr 2013 (0.66%), 25 Apr 2013 (1.7%), 16 May 2013 (-0.16%), 03 Jun 2013 (-4.21%), 14 Oct 2013 (2.26%)
2012217 Feb 2012 (2.17%), 29 Mar 2012 (5.11%)
2010315 Jan 2010 (-2.32%), 21 Apr 2010 (-1.0%), 31 Dec 2010 (-1.12%)
2009307 May 2009 (-1.97%), 21 Jul 2009 (4.72%), 20 Aug 2009 (5.0%)
2008105 Sep 2008 (-0.51%)
2007122 Jun 2007 (6.83%)
2005315 Jun 2005 (-1.86%), 06 Sep 2005 (5.02%), 22 Nov 2005 (3.48%)
2004307 Jun 2004 (-1.5%), 30 Aug 2004 (1.9%), 29 Sep 2004 (-1.35%)
2003417 Jun 2003 (5.8%), 30 Jul 2003 (-0.77%), 25 Sep 2003 (4.55%), 05 Nov 2003 (-2.27%)
2002402 Apr 2002 (6.24%), 02 May 2002 (-3.04%), 07 Oct 2002 (-2.16%), 02 Dec 2002 (0.82%)
1999213 Aug 1999 (11.05%), 11 Oct 1999 (1.77%)

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
atrnil38.8612287449173234.6922231.4232126.57-7970.62-16948.682.791.480.0392507.64
atrnil25.1989632.152223042.3114906.9121417.72-7944-16948.681.881.380.0341723.69
atrtrail34.5472121.175021294212737.8232126.57-6737-16192.971.891.370.0281442.42
atrtrail23.774263.7454243044.4411673.5721417.72-6863.4-16192.971.71.360.0311375.25
atrtrail-15.45-17362.0249202940.828778.0225997.58-6652.5-16192.971.320.91-0.0088-354.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 34.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-2.52%)
2018129 Oct 2018 (-4.76%)
2017103 Feb 2017 (8.18%)
2016101 Jan 2016 (-2.96%)
2015309 Apr 2015 (-3.66%), 01 Jul 2015 (10.19%), 30 Sep 2015 (-4.88%)
2014524 Mar 2014 (9.76%), 25 Apr 2014 (-4.02%), 09 May 2014 (12.63%), 17 Jul 2014 (-5.08%), 23 Sep 2014 (10.99%)
2013703 Apr 2013 (-3.85%), 04 Apr 2013 (13.09%), 26 Apr 2013 (-3.57%), 16 May 2013 (-3.14%), 03 Jun 2013 (-4.12%), 14 Oct 2013 (-3.17%), 15 Oct 2013 (9.89%)
2012217 Feb 2012 (-3.45%), 29 Mar 2012 (-3.56%)
2010315 Jan 2010 (-3.54%), 21 Apr 2010 (-3.25%), 31 Dec 2010 (-3.27%)
2009407 May 2009 (-3.46%), 08 May 2009 (-3.67%), 21 Jul 2009 (11.72%), 20 Aug 2009 (-3.76%)
2008105 Sep 2008 (-3.11%)
2007122 Jun 2007 (12.45%)
2005315 Jun 2005 (-2.63%), 06 Sep 2005 (11.22%), 22 Nov 2005 (11.03%)
2004407 Jun 2004 (-8.47%), 30 Aug 2004 (11.0%), 29 Sep 2004 (9.32%), 30 Sep 2004 (-4.33%)
2003517 Jun 2003 (10.81%), 30 Jul 2003 (-3.64%), 31 Jul 2003 (-3.76%), 25 Sep 2003 (-4.27%), 05 Nov 2003 (-5.12%)
2002402 Apr 2002 (16.06%), 02 May 2002 (-5.36%), 07 Oct 2002 (-4.02%), 02 Dec 2002 (8.33%)
1999313 Aug 1999 (12.28%), 11 Oct 1999 (-4.31%), 12 Oct 1999 (-4.83%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play