Study: Buy ENGINERSIN 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 ENGINERSIN 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 ENGINERSIN 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
177979.14107525548.65520.8929492.3-3801.95-14790.341.451.370.024728.78
294514.85107476043.938957.0133290.44-5441.07-23723.791.651.290.02883.32
3247114107505746.7311832.9151956.7-6044.42-25113.951.961.720.0412309.47
4229538107485944.8613116.1472121.72-6780.28-32383.771.931.570.0322145.22
5380057107495845.7916710.8593891.45-7565.08-29968.092.211.870.0433551.93
6463385107515647.6618147.0695132.84-8252.06-30606.22.220.0484330.7
7526680107535449.5319831.47118750-9710.89-31035.492.0420.0454922.24
8555848107545350.4720668.04144259-10570.32-28614.781.961.990.0435194.84
9681672107584954.2120788.62159625-10695.26-36050.291.942.30.0516370.77
10665830107575053.2721343.33146878-11014.8-41166.271.942.210.0516222.71
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ENGINERSIN Performance, X=9, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (0.0%), 12 Apr 2019 (-8.19%), 20 May 2019 (5.24%), 26 Jun 2019 (-10.49%)
2018626 Feb 2018 (-6.47%), 14 Mar 2018 (-6.13%), 24 Jul 2018 (4.26%), 30 Aug 2018 (-2.19%), 14 Sep 2018 (-9.89%), 17 Dec 2018 (5.89%)
2017708 Feb 2017 (-3.31%), 15 Mar 2017 (-2.36%), 06 Apr 2017 (12.04%), 05 Jul 2017 (0.13%), 29 Aug 2017 (1.73%), 12 Oct 2017 (10.18%), 19 Dec 2017 (1.67%)
2016712 May 2016 (-4.01%), 02 Jun 2016 (0.82%), 22 Jul 2016 (-3.7%), 19 Aug 2016 (14.33%), 10 Oct 2016 (2.54%), 18 Nov 2016 (5.57%), 28 Dec 2016 (-5.38%)
2015602 Mar 2015 (-3.83%), 07 Apr 2015 (-5.02%), 15 Jun 2015 (12.67%), 03 Aug 2015 (-11.76%), 19 Nov 2015 (7.12%), 28 Dec 2015 (2.66%)
2014506 Mar 2014 (22.14%), 16 May 2014 (1.42%), 06 Jun 2014 (-2.17%), 21 Oct 2014 (13.71%), 03 Dec 2014 (-11.53%)
2013214 Aug 2013 (-5.85%), 09 Dec 2013 (-2.37%)
2012502 Feb 2012 (4.17%), 28 Apr 2012 (-14.18%), 30 Jul 2012 (-1.51%), 10 Sep 2012 (0.86%), 31 Dec 2012 (0.11%)
2011430 Mar 2011 (-1.2%), 06 Jun 2011 (-0.43%), 01 Jul 2011 (1.24%), 22 Jul 2011 (-5.64%)
2010605 Mar 2010 (8.43%), 20 Apr 2010 (-0.37%), 06 May 2010 (-18.03%), 06 Aug 2010 (-2.16%), 09 Nov 2010 (-6.01%), 06 Dec 2010 (-2.94%)
2009928 Jan 2009 (2.75%), 23 Mar 2009 (14.47%), 04 May 2009 (-3.36%), 18 May 2009 (19.36%), 20 Jul 2009 (-2.5%), 26 Aug 2009 (0.6%), 09 Sep 2009 (2.84%), 06 Nov 2009 (8.3%), 23 Dec 2009 (2.43%)
2008123 Jul 2008 (12.93%)
2007514 Jun 2007 (7.57%), 17 Jul 2007 (-7.32%), 26 Oct 2007 (27.44%), 12 Dec 2007 (-0.51%), 28 Dec 2007 (21.29%)
2006617 Jan 2006 (-6.5%), 06 Mar 2006 (-0.49%), 23 Mar 2006 (2.12%), 11 Sep 2006 (2.14%), 10 Oct 2006 (-1.44%), 24 Nov 2006 (-0.75%)
2005828 Jan 2005 (2.26%), 04 Apr 2005 (-5.4%), 21 Apr 2005 (3.65%), 12 Jul 2005 (2.73%), 02 Sep 2005 (7.84%), 29 Sep 2005 (16.71%), 25 Nov 2005 (0.02%), 13 Dec 2005 (25.39%)
2004509 Jan 2004 (-5.52%), 29 Jan 2004 (-14.68%), 12 Aug 2004 (0.9%), 26 Aug 2004 (7.07%), 05 Nov 2004 (1.56%)
2003707 Feb 2003 (-4.58%), 26 May 2003 (0.56%), 25 Jun 2003 (-2.81%), 04 Aug 2003 (-0.85%), 29 Sep 2003 (27.42%), 25 Nov 2003 (2.04%), 22 Dec 2003 (4.07%)
2002504 Feb 2002 (70.7%), 19 Mar 2002 (41.08%), 22 May 2002 (10.22%), 14 Jun 2002 (-6.72%), 04 Sep 2002 (-10.53%)
2001429 Jan 2001 (20.04%), 14 Jun 2001 (-9.2%), 27 Sep 2001 (-3.25%), 05 Nov 2001 (12.21%)
2000325 Jul 2000 (-7.87%), 17 Aug 2000 (2.63%), 13 Dec 2000 (-10.65%)
1999204 Aug 1999 (0.83%), 07 Oct 1999 (79.81%)

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
atrtrail-15.5463204118457338.1420434.22131594-6251.18-14552.423.272.020.0393925.46
atrtrail34.7262871121467538.0216105.1648640.65-6372.88-14552.422.531.550.0362172.49
atrnil38.1258366112357731.2525191.0748640.65-8095.08-15446.913.111.410.0322306.84
atrtrail24.02187955126497738.8913931.3232427.1-6424.41-14552.422.171.380.031491.71
atrnil25.05226518126507639.6816554.8932427.1-7910.88-15446.912.091.380.0321797.76

In the table above, row 1 shows the best exit criterion. Profit factor is 2.02. 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 38.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.96%, 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.
ENGINERSIN Performance, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019505 Mar 2019 (-3.46%), 12 Apr 2019 (-2.83%), 20 May 2019 (-3.1%), 21 May 2019 (9.63%), 26 Jun 2019 (-3.21%)
2018626 Feb 2018 (-3.65%), 14 Mar 2018 (-3.51%), 24 Jul 2018 (2.87%), 30 Aug 2018 (2.83%), 14 Sep 2018 (-1.21%), 17 Dec 2018 (3.21%)
2017708 Feb 2017 (-2.96%), 15 Mar 2017 (0.5%), 06 Apr 2017 (11.66%), 05 Jul 2017 (2.85%), 29 Aug 2017 (-0.03%), 12 Oct 2017 (-2.53%), 19 Dec 2017 (3.85%)
20161012 May 2016 (-3.22%), 13 May 2016 (-1.23%), 02 Jun 2016 (-3.44%), 22 Jul 2016 (-1.97%), 19 Aug 2016 (11.15%), 10 Oct 2016 (-3.53%), 20 Oct 2016 (0.47%), 18 Nov 2016 (-4.32%), 21 Nov 2016 (6.53%), 28 Dec 2016 (-2.4%)
2015602 Mar 2015 (-1.01%), 07 Apr 2015 (-1.22%), 15 Jun 2015 (6.92%), 03 Aug 2015 (-3.14%), 19 Nov 2015 (4.93%), 28 Dec 2015 (5.69%)
2014506 Mar 2014 (10.89%), 16 May 2014 (11.47%), 06 Jun 2014 (-1.52%), 21 Oct 2014 (5.67%), 03 Dec 2014 (-3.85%)
2013214 Aug 2013 (-4.4%), 09 Dec 2013 (-3.01%)
2012502 Feb 2012 (6.5%), 28 Apr 2012 (-3.21%), 30 Jul 2012 (-2.01%), 10 Sep 2012 (1.79%), 31 Dec 2012 (0.94%)
2011430 Mar 2011 (1.24%), 06 Jun 2011 (-2.89%), 01 Jul 2011 (0.62%), 22 Jul 2011 (-1.89%)
2010705 Mar 2010 (12.24%), 20 Apr 2010 (-1.58%), 06 May 2010 (2.59%), 06 Aug 2010 (-4.34%), 19 Aug 2010 (4.71%), 09 Nov 2010 (-0.95%), 06 Dec 2010 (-2.85%)
20091128 Jan 2009 (-4.74%), 23 Mar 2009 (-6.69%), 04 May 2009 (-7.28%), 18 May 2009 (7.24%), 20 Jul 2009 (-6.83%), 26 Aug 2009 (-4.04%), 08 Sep 2009 (-4.13%), 09 Sep 2009 (-4.42%), 22 Sep 2009 (-4.29%), 06 Nov 2009 (8.24%), 23 Dec 2009 (43.51%)
2008123 Jul 2008 (7.77%)
2007514 Jun 2007 (5.5%), 17 Jul 2007 (-3.56%), 26 Oct 2007 (3.72%), 12 Dec 2007 (-4.96%), 27 Dec 2007 (26.59%)
2006516 Jan 2006 (-1.9%), 06 Mar 2006 (3.3%), 11 Sep 2006 (-1.28%), 10 Oct 2006 (-3.25%), 24 Nov 2006 (-2.39%)
2005928 Jan 2005 (1.59%), 04 Apr 2005 (-3.76%), 05 Apr 2005 (-2.44%), 21 Apr 2005 (1.14%), 12 Jul 2005 (-1.2%), 02 Sep 2005 (0.81%), 29 Sep 2005 (17.03%), 25 Nov 2005 (-1.13%), 13 Dec 2005 (-3.13%)
2004809 Jan 2004 (-4.11%), 12 Jan 2004 (-2.45%), 20 Jan 2004 (-4.38%), 29 Jan 2004 (-4.68%), 12 Aug 2004 (0.5%), 26 Aug 2004 (4.06%), 05 Nov 2004 (-2.49%), 18 Nov 2004 (-2.4%)
2003707 Feb 2003 (-3.45%), 26 May 2003 (-4.41%), 25 Jun 2003 (-4.41%), 04 Aug 2003 (-4.67%), 29 Sep 2003 (24.53%), 25 Nov 2003 (-1.08%), 22 Dec 2003 (-3.37%)
2002504 Feb 2002 (62.27%), 19 Mar 2002 (35.41%), 22 May 2002 (-0.03%), 14 Jun 2002 (-5.5%), 04 Sep 2002 (-0.97%)
2001529 Jan 2001 (8.08%), 14 Jun 2001 (-4.38%), 27 Sep 2001 (-5.95%), 05 Nov 2001 (-5.99%), 06 Nov 2001 (-1.02%)
2000325 Jul 2000 (-1.35%), 17 Aug 2000 (0.93%), 13 Dec 2000 (-3.53%)
1999204 Aug 1999 (-1.66%), 07 Oct 1999 (65.8%)



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