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

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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 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 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
1-6262.07115645.452892.566306.31-3454.14-6602.160.840.7-0.047-569.28
239280.24118372.736113.2714763.06-3208.65-6943.651.915.080.173570.93
334950.28117463.649088.3819441.07-7167.1-11781.451.272.220.13177.3
425729.72117463.648002.6115759.69-7572.14-9059.911.061.850.0842339.07
5-4818.51116554.555602.6910085.05-7686.93-10845.540.730.87-0.019-438.05
62734.39117463.646076.8216585.66-9950.83-16037.010.611.070.0081248.58
754694.66116554.5515380.5749791.38-7517.75-15728.62.052.460.0884972.24
815691.37114736.3613231.9619332.41-5319.5-13242.382.491.420.0431426.49
928550.74115645.4513567.5934909.6-6547.87-17116.422.071.730.062595.52
1020529115645.4513457.3136717.66-7792.93-15890.851.731.440.0411866.27
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:5.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016219 Feb 2016 (-3.47%), 23 Nov 2016 (1.85%)
2015331 Mar 2015 (7.38%), 14 Jul 2015 (0.56%), 04 Aug 2015 (0.28%)
2014316 Apr 2014 (4.6%), 06 Jun 2014 (7.14%), 22 Jul 2014 (-0.56%)
2013106 Nov 2013 (-0.78%)
2010102 Mar 2010 (1.59%)
2009107 May 2009 (1.04%)

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
atrnil26.360085.8710646015320.9720764.28-7959.99-10248.591.922.890.166008.59
atrtrail23.5547166.82116554.5513343.5720764.28-6578.92-10248.592.032.430.124287.89
atrtrail34.6418290.85116554.558530.9122090.09-6578.92-10248.591.31.560.0561662.8
atrnil312.414340.0510373023035.7323558.64-7823.88-10382.142.941.260.0311434
atrtrail-14.733340.61116554.556039.29188.96-6578.92-10248.590.921.10.014303.69

In the table above, row 1 shows the best exit criterion. Profit factor is 2.89. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, Profit Factor:2.89

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016219 Feb 2016 (-5.12%), 23 Nov 2016 (7.82%)
2015231 Mar 2015 (10.38%), 14 Jul 2015 (-4.13%)
2014316 Apr 2014 (4.24%), 06 Jun 2014 (7.36%), 22 Jul 2014 (-3.8%)
2013106 Nov 2013 (-2.87%)
2010102 Mar 2010 (8.31%)
2009107 May 2009 (7.85%)



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