Study: Buy ENGINERSIN 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 ENGINERSIN 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 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
143703.5769313844.935328.2916030.53-3196.67-16104.671.671.360.024633.39
280576.5169343549.286868.9433358.78-4370.5-18466.121.571.530.0311167.78
345998.5769313844.939862.0143893.13-6834.84-21550.91.441.180.012666.65
477792.0869313844.9312170.2548483.95-7881.2-25749.661.541.260.0181127.42
557279.4369303943.4812616.2144665.01-8236.07-24044.021.531.180.013830.14
611.5869303943.4812756.6462671.76-9812.5-33969.851.312.4e-060.17
7-81296.5569323746.3811172.4173206.11-11859.83-41145.730.940.81-0.016-1178.21
8-56234.7669323746.3811758.4572137.4-11689.33-47539.771.010.87-0.01-815
9-13832.7369343549.2812931.8867862.6-12957.62-54975.9510.97-0.0022-200.47
1021702.0469323746.3815875.5883579.97-13143.69-59415.461.211.040.0031314.52
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
atrtrail-16.5690595.6477294837.6616156.6165065.51-7873.88-22832.252.051.240.0161176.57
atrtrail36.0186053.1677304738.9615295.5149157.45-7932.18-22832.251.931.230.0171117.57
atrtrail25.4346964.2477314640.2613521.1832771.63-8091.14-22832.251.671.130.011609.93
atrnil39.9249489.0276225428.9527417.5249157.45-10253.64-24435.162.671.090.0079651.17
atrnil27.086540.977284936.3618267.5432771.63-10305.11-24435.161.771.010.001384.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 37.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Mar 2019 (0.13%), 09 Aug 2019 (-1.15%)
2018812 Feb 2018 (-2.53%), 13 Mar 2018 (-2.03%), 28 Mar 2018 (1.71%), 30 Apr 2018 (-2.84%), 02 May 2018 (-2.97%), 07 Jun 2018 (-1.14%), 03 Jul 2018 (0.13%), 15 Oct 2018 (-5.98%)
2017316 Jun 2017 (-1.36%), 04 Jul 2017 (4.05%), 13 Oct 2017 (19.7%)
2016125 Feb 2016 (6.17%)
2015319 Feb 2015 (-3.14%), 12 May 2015 (2.98%), 08 Sep 2015 (-1.22%)
2014522 Jan 2014 (-3.22%), 07 Feb 2014 (-1.75%), 02 Sep 2014 (-4.43%), 02 Dec 2014 (2.64%), 29 Dec 2014 (0.25%)
2013514 Mar 2013 (-3.39%), 04 Apr 2013 (-4.28%), 02 Jul 2013 (-3.1%), 16 Aug 2013 (-4.9%), 26 Aug 2013 (-4.72%)
2012730 Apr 2012 (-3.37%), 21 May 2012 (-3.83%), 22 May 2012 (-1.22%), 11 Jun 2012 (7.99%), 08 Sep 2012 (6.31%), 29 Nov 2012 (-2.06%), 28 Dec 2012 (2.8%)
2011604 Feb 2011 (-2.57%), 03 Jun 2011 (-0.31%), 08 Sep 2011 (0.98%), 28 Oct 2011 (-1.66%), 07 Dec 2011 (-4.0%), 21 Dec 2011 (-3.85%)
2010314 Jun 2010 (8.25%), 20 Aug 2010 (5.15%), 07 Dec 2010 (-2.96%)
2008819 Feb 2008 (-2.57%), 31 Mar 2008 (-8.14%), 17 Jun 2008 (-5.23%), 10 Jul 2008 (-7.44%), 22 Jul 2008 (18.56%), 03 Nov 2008 (-8.93%), 04 Nov 2008 (-6.11%), 28 Nov 2008 (32.53%)
2007220 Mar 2007 (-2.83%), 31 Aug 2007 (-1.69%)
2006509 May 2006 (-4.15%), 16 Jun 2006 (-11.42%), 27 Jul 2006 (-6.84%), 28 Jul 2006 (17.34%), 29 Dec 2006 (3.27%)
2004230 Mar 2004 (20.22%), 03 Jun 2004 (0.21%)
2003220 Mar 2003 (-0.02%), 05 Aug 2003 (0.3%)
2002409 Jan 2002 (17.57%), 12 Aug 2002 (-1.02%), 25 Sep 2002 (-5.77%), 07 Oct 2002 (-5.16%)
2001525 Jan 2001 (16.74%), 04 Apr 2001 (-6.52%), 09 Aug 2001 (-3.57%), 10 Aug 2001 (3.55%), 26 Sep 2001 (-3.28%)
2000403 Feb 2000 (-7.1%), 24 Feb 2000 (0.02%), 24 Mar 2000 (7.6%), 26 May 2000 (10.24%)
1999229 Jan 1999 (16.89%), 02 Dec 1999 (-11.19%)



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