Study: Buy FORTIS 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 FORTIS 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 FORTIS 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
118111.61603030503484.5713473.88-2880.85-6602.161.211.210.023301.86
210268559382164.415149.4414763.06-4428.28-9782.031.162.10.0911740.42
313138559372262.716917.1823445.97-5661.39-26108.871.222.050.0812226.87
411078959332655.938437.627218.52-6448.15-33417.341.311.660.0591877.78
510157959332655.938334.6128452.23-6671.65-31653.231.251.590.0511721.68
656358.2659312852.547981.6540300.38-6824.03-34274.191.171.290.027955.22
712601359332655.9310613.249791.38-8623.96-36693.551.231.560.0482135.81
892918.0359263344.0712863.1734793.49-7318.92-35433.471.761.380.0371574.88
944652.0559263344.0712870.0935127.24-8786.98-42792.341.461.150.016756.81
1029870.6659293049.1511215.5236717.66-9845.98-37550.41.141.10.011506.28
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
FORTIS Performance, X=2, Profit Factor:2.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Feb 2018 (-3.47%)
2017509 Feb 2017 (-4.62%), 20 Jun 2017 (-0.25%), 06 Oct 2017 (-2.36%), 24 Nov 2017 (1.73%), 21 Dec 2017 (5.47%)
2016519 Feb 2016 (-3.47%), 01 Apr 2016 (-1.49%), 15 Jul 2016 (2.06%), 23 Nov 2016 (1.85%), 09 Dec 2016 (1.71%)
2015619 Jan 2015 (5.73%), 31 Mar 2015 (7.38%), 19 May 2015 (2.6%), 18 Jun 2015 (2.1%), 14 Jul 2015 (0.56%), 04 Aug 2015 (0.28%)
2014722 Jan 2014 (-2.1%), 16 Apr 2014 (4.6%), 16 May 2014 (3.93%), 06 Jun 2014 (7.14%), 22 Jul 2014 (-0.56%), 20 Aug 2014 (-1.82%), 10 Sep 2014 (-2.67%)
2013628 Mar 2013 (2.74%), 16 Apr 2013 (1.97%), 23 Aug 2013 (-2.98%), 13 Sep 2013 (0.31%), 01 Oct 2013 (-0.66%), 06 Nov 2013 (-0.78%)
2012413 Apr 2012 (2.9%), 25 May 2012 (3.4%), 06 Aug 2012 (-1.59%), 29 Nov 2012 (3.17%)
2011507 Mar 2011 (0.56%), 01 Apr 2011 (3.47%), 13 May 2011 (0.16%), 01 Jul 2011 (1.27%), 27 Jul 2011 (-2.37%)
2010815 Feb 2010 (3.24%), 02 Mar 2010 (1.59%), 03 May 2010 (-2.43%), 26 Jul 2010 (0.48%), 17 Aug 2010 (2.1%), 07 Sep 2010 (0.46%), 07 Oct 2010 (2.97%), 05 Nov 2010 (0.3%)
2009806 Feb 2009 (-2.33%), 02 Mar 2009 (-3.26%), 23 Mar 2009 (0.08%), 07 May 2009 (1.04%), 20 Jul 2009 (-0.88%), 21 Aug 2009 (6.69%), 17 Oct 2009 (0.99%), 22 Dec 2009 (7.13%)
2008311 Jun 2008 (1.36%), 27 Aug 2008 (2.33%), 08 Dec 2008 (-1.51%)
2007126 Jul 2007 (-4.89%)

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
atrtrail24.1623242562303248.3913867.6327565.83-5737.63-13542.232.422.270.113748.79
atrnil25.9324416955292652.7315263.1327565.83-7633.14-14524.5422.230.114439.44
atrnil310.1615854851173433.3324356.3641348.74-7514.99-14524.543.241.620.063108.79
atrtrail34.9510309561273444.2610635.7838654.97-5413.87-13542.231.961.560.0491690.07
atrtrail-15.4339733.8461273444.268289.0933682.76-5413.87-13542.231.531.220.023651.37

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 48.39%, which is not acceptable. Avoid this strategy. Average return per trade is 1.87%, which is not very high, 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.
FORTIS Performance, Profit Factor:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Feb 2018 (-6.77%)
2017509 Feb 2017 (-3.47%), 20 Jun 2017 (-3.54%), 06 Oct 2017 (-3.44%), 24 Nov 2017 (-1.05%), 21 Dec 2017 (9.36%)
2016519 Feb 2016 (-5.12%), 01 Apr 2016 (-3.23%), 15 Jul 2016 (6.0%), 23 Nov 2016 (1.89%), 09 Dec 2016 (7.08%)
2015719 Jan 2015 (5.14%), 31 Mar 2015 (10.38%), 19 May 2015 (-1.8%), 29 May 2015 (-4.54%), 18 Jun 2015 (8.7%), 14 Jul 2015 (-1.61%), 04 Aug 2015 (-3.05%)
2014822 Jan 2014 (-2.46%), 31 Jan 2014 (-2.66%), 16 Apr 2014 (4.24%), 16 May 2014 (5.21%), 06 Jun 2014 (7.36%), 22 Jul 2014 (-3.8%), 20 Aug 2014 (-1.98%), 10 Sep 2014 (6.05%)
2013728 Mar 2013 (-0.71%), 16 Apr 2013 (6.27%), 23 Aug 2013 (-3.13%), 13 Sep 2013 (-1.28%), 01 Oct 2013 (5.21%), 06 Nov 2013 (-2.87%), 18 Nov 2013 (5.81%)
2012413 Apr 2012 (7.1%), 25 May 2012 (-0.22%), 06 Aug 2012 (-2.51%), 29 Nov 2012 (6.19%)
2011507 Mar 2011 (-1.11%), 01 Apr 2011 (5.11%), 13 May 2011 (5.4%), 01 Jul 2011 (2.08%), 27 Jul 2011 (-2.44%)
2010815 Feb 2010 (9.78%), 02 Mar 2010 (8.31%), 03 May 2010 (-3.56%), 26 Jul 2010 (-1.76%), 17 Aug 2010 (-0.17%), 07 Sep 2010 (4.69%), 07 Oct 2010 (4.92%), 05 Nov 2010 (-1.57%)
2009806 Feb 2009 (-4.69%), 02 Mar 2009 (-4.56%), 23 Mar 2009 (9.46%), 07 May 2009 (7.85%), 20 Jul 2009 (13.78%), 21 Aug 2009 (10.08%), 17 Oct 2009 (-2.01%), 22 Dec 2009 (11.34%)
2008311 Jun 2008 (-6.33%), 27 Aug 2008 (0.34%), 08 Dec 2008 (12.88%)
2007126 Jul 2007 (-4.36%)



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