Study: Buy GMRINFRA 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 GMRINFRA 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 GMRINFRA 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
113407.8467293843.285819.5222796.8-4088.37-13402.061.421.090.0083200.12
219611.7267333449.256885.8830808.45-6106.54-23816.791.131.090.0093292.71
313242.967323547.769607.1847997.09-8405.34-32366.411.141.050.0045197.66
4-6228.5667323547.7611433.5545666.42-10631.49-32977.11.080.98-0.0018-92.96
5-8597.6467333449.2513570.6540203.93-13424.39-41832.061.010.98-0.0022-128.32
632668.6367293843.2818060.9645355.19-12923.66-37290.321.41.070.0073487.59
757889.4367293843.2819430.943715.85-13305.44-34956.991.461.110.012864.02
866725.2467303744.7819662.648872.18-14139.26-33262.261.391.130.014995.9
954898.2867293843.2820201.0259365.62-13971.88-34499.051.451.10.011819.38
1089871.167293843.2822195.0665413.53-14573.31-32653.061.521.160.0171341.36
Although, strategy looks good but profit factor on day 5 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-16.0114508572264636.1119603.178755.84-7926-17619.442.471.40.0312015.07
atrnil25.4313384574294539.1919386.1142745.97-9518.94-17619.442.041.310.0341808.71
atrtrail35.0870816.6973264735.6216883.0339835.29-7832.81-17619.442.161.190.019970.09
atrnil37.290354.5369204928.9928272.2564118.95-9695.73-17619.442.921.190.021309.49
atrtrail24.358547.4776284836.8415562.4142745.97-7858.33-17619.441.981.160.017770.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 36.11%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
GMRINFRA Performance, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019519 Feb 2019 (22.78%), 24 May 2019 (-2.97%), 31 Jul 2019 (-1.91%), 06 Sep 2019 (5.87%), 17 Oct 2019 (22.21%)
2018316 Jan 2018 (1.36%), 20 Aug 2018 (-4.0%), 03 Dec 2018 (-3.89%)
20171016 Mar 2017 (-4.09%), 17 Mar 2017 (-4.18%), 21 Apr 2017 (0.01%), 17 May 2017 (-4.22%), 05 Jun 2017 (21.16%), 26 Jul 2017 (-4.27%), 18 Aug 2017 (-5.81%), 27 Nov 2017 (-4.65%), 28 Nov 2017 (-3.41%), 20 Dec 2017 (3.56%)
2016509 May 2016 (-3.89%), 08 Jun 2016 (-1.45%), 31 Aug 2016 (6.45%), 30 Nov 2016 (-3.98%), 30 Dec 2016 (7.81%)
2015512 Feb 2015 (1.35%), 28 Feb 2015 (-5.8%), 31 Mar 2015 (8.36%), 17 Nov 2015 (29.68%), 31 Dec 2015 (-4.27%)
2014422 Jan 2014 (-3.59%), 01 Apr 2014 (10.57%), 13 May 2014 (-4.01%), 01 Aug 2014 (-3.95%)
2013506 Feb 2013 (-4.45%), 04 Mar 2013 (8.61%), 11 May 2013 (-4.11%), 15 May 2013 (0.94%), 10 Dec 2013 (-3.09%)
2012417 Feb 2012 (-5.96%), 13 Mar 2012 (-5.98%), 28 Mar 2012 (-3.88%), 03 Dec 2012 (-2.71%)
2011314 Feb 2011 (-3.66%), 30 Mar 2011 (8.22%), 07 Sep 2011 (-4.4%)
2010805 Jan 2010 (-2.7%), 27 Apr 2010 (-3.19%), 28 Apr 2010 (1.61%), 31 May 2010 (-4.26%), 11 Aug 2010 (-2.45%), 12 Aug 2010 (-2.23%), 13 Sep 2010 (-2.49%), 06 Oct 2010 (-2.37%)
2009909 Feb 2009 (-7.6%), 17 Mar 2009 (14.25%), 18 May 2009 (-6.59%), 19 May 2009 (3.39%), 24 Aug 2009 (-0.48%), 16 Sep 2009 (-1.73%), 14 Oct 2009 (-0.37%), 10 Nov 2009 (-3.36%), 01 Dec 2009 (1.83%)
2008328 Mar 2008 (-8.81%), 04 Sep 2008 (-5.99%), 04 Dec 2008 (12.55%)
2007803 Jan 2007 (-4.59%), 16 Jan 2007 (12.29%), 10 Apr 2007 (3.54%), 13 Jun 2007 (39.38%), 24 Jul 2007 (-5.26%), 30 Aug 2007 (-5.23%), 20 Sep 2007 (2.64%), 31 Oct 2007 (4.43%)



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