Study: Buy CONCOR when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > concor > 64

In this study, we evaluate the performance of strategy "Buy CONCOR 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 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
139641.0755292652.733488.112832.17-2365.91-14250.211.471.640.035720.75
2-6095.955322358.184436.5216017.19-6437.59-56393.260.690.96-0.0026-110.83
3-30389.7955312456.364942.0714625.87-7649.75-59210.160.650.83-0.012-552.54
4-29634.9555292652.736216.9221926.32-8074.06-56338.030.770.86-0.011-538.82
5-37599.2655292652.737374.3622873.21-9671.38-50593.760.760.85-0.013-683.62
6-39349.2855292652.738187.1419965.97-10645.24-49599.560.770.86-0.013-715.44
7-59638.8555302554.557309.3919364.19-11156.82-53189.730.660.79-0.02-1084.34
8-68923.8555282750.917624.6719550.59-10459.8-49875.720.730.76-0.024-1253.16
9-88392.9855282750.917802.2119902.66-11365-54073.460.690.71-0.028-1607.15
10-11397255282750.917367.9322698.56-11862.01-51035.630.620.64-0.037-2072.23

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.64. 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 52.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil312.1222573557233440.3522789.7941766.75-8777.36-18084.832.61.760.0553960.26
atrnil27.7918801657292850.8815199.2627844.5-9027.24-18084.831.681.740.0583298.53
nilnil-1139641.0755292652.733488.112832.17-2365.91-14250.211.471.640.035720.75
atrtrail36.7211001657233440.3514620.5938894.01-6654.64-18084.832.21.490.0351930.1
atrtrail2682836.4657253243.8612010.6325929.34-6794.67-18084.831.771.380.0311453.27
atrtrail-17.35-1954.9757233440.359752.328004.8-6654.64-18084.831.470.99-0.0008-34.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 40.35%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, 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.
CONCOR Performance, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (9.39%), 21 May 2019 (9.49%), 23 Aug 2019 (9.28%)
2018326 Feb 2018 (-2.8%), 27 Mar 2018 (8.16%), 02 Jul 2018 (-3.85%)
2017118 Dec 2017 (6.54%)
2016528 Jan 2016 (-4.02%), 15 Feb 2016 (-4.22%), 02 Sep 2016 (-2.58%), 23 Sep 2016 (-2.4%), 12 Dec 2016 (-3.35%)
2015417 Aug 2015 (-3.67%), 10 Sep 2015 (-4.9%), 06 Nov 2015 (-3.59%), 31 Dec 2015 (8.17%)
2014126 Dec 2014 (10.46%)
2013302 Jul 2013 (-3.61%), 10 Dec 2013 (-2.75%), 26 Dec 2013 (8.19%)
2012503 Jan 2012 (12.24%), 28 Mar 2012 (10.86%), 15 May 2012 (-3.29%), 29 May 2012 (9.35%), 14 Dec 2012 (8.2%)
2011503 Jan 2011 (-3.21%), 19 Jan 2011 (-3.22%), 22 Feb 2011 (10.19%), 31 May 2011 (-3.57%), 05 Sep 2011 (-4.0%)
2010308 Mar 2010 (9.74%), 17 Jun 2010 (11.54%), 07 Sep 2010 (-3.22%)
2008319 Jun 2008 (-5.62%), 06 Nov 2008 (-7.39%), 02 Dec 2008 (20.67%)
2007502 Mar 2007 (-3.69%), 13 Mar 2007 (-3.71%), 16 Mar 2007 (-3.74%), 28 Aug 2007 (11.36%), 16 Nov 2007 (-4.73%)
2006207 Feb 2006 (9.88%), 03 Jul 2006 (20.88%)
2005108 Apr 2005 (10.3%)
2004204 Jun 2004 (-8.91%), 05 Jul 2004 (15.64%)
2003117 Jan 2003 (-3.85%)
2002309 Aug 2002 (-3.75%), 26 Aug 2002 (-3.63%), 04 Oct 2002 (12.12%)
2001225 Sep 2001 (-4.21%), 09 Oct 2001 (-4.83%)
2000303 Jan 2000 (-5.13%), 13 Jan 2000 (19.45%), 16 Mar 2000 (-9.04%)
1999203 Feb 1999 (-8.08%), 20 Apr 1999 (-6.69%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play