Study: Buy GMRINFRA 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 GMRINFRA 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 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
175094.3658322655.175359.3321330.9-3707.86-12396.911.451.780.061294.73
230932.5758302851.727126.3517943.93-6530.64-29268.291.091.170.016533.32
3-591.858302851.728491.7133506.94-9119.4-28305.40.931-0.00024-10.2
4-14856.7958273146.5512132.0669618.06-11045.88-38148.441.10.96-0.0043-256.15
5-11823658263244.8311844.3142361.11-13318.38-47778.660.890.72-0.034-2038.55
6-14829958233539.6612591.5637354.09-12511.57-43309.391.010.66-0.045-2556.88
7-11895258263244.8312150.2238650.87-13589.29-50145.770.890.73-0.036-2050.89
8-54558.2258283048.2812043.446490.43-13059.11-52478.130.920.86-0.016-940.66
9-17070.958283048.2813360.8242455.24-13039.13-60641.41.020.96-0.0048-294.33
10-35140.5758253343.115689.1953600.73-12950.62-57725.951.210.92-0.009-605.87

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.78. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study.

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
nilnil-1175094.3658322655.175359.3321330.9-3707.86-12396.911.451.780.061294.73
atrnil27.0335471.864234135.9421281.8654870.12-11073.44-20699.791.921.080.0091554.25
atrtrail24.3217439.6166234334.8516552.3154870.12-8447.99-18995.811.961.050.005264.24
atrtrail35.08-11304.1766224433.3316161.4469431.72-8337.63-18995.811.940.97-0.0031-171.28
atrnil39.56-20763.1764174726.5629911.2969431.72-11260.75-27435.062.660.96-0.0046-324.42
atrtrail-15.3-64131.4966224433.3313760.249116.77-8337.63-18995.811.650.83-0.02-971.69

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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, X=1, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019223 May 2019 (5.99%), 18 Jun 2019 (-0.34%)
2018728 Feb 2018 (-1.85%), 15 Mar 2018 (-2.71%), 30 May 2018 (-0.55%), 21 Jun 2018 (0.31%), 15 Oct 2018 (-0.6%), 04 Dec 2018 (-3.42%), 18 Dec 2018 (4.78%)
2017221 Aug 2017 (-2.86%), 18 Oct 2017 (-0.62%)
2016709 Feb 2016 (-2.44%), 23 Feb 2016 (4.0%), 11 Apr 2016 (-0.43%), 07 Jun 2016 (3.04%), 01 Sep 2016 (2.27%), 20 Oct 2016 (0.38%), 29 Nov 2016 (4.35%)
2015314 May 2015 (-0.99%), 17 Jun 2015 (0.78%), 09 Sep 2015 (-0.41%)
2014619 Feb 2014 (1.27%), 31 Jul 2014 (7.29%), 18 Aug 2014 (2.28%), 09 Oct 2014 (3.8%), 10 Dec 2014 (-1.56%), 30 Dec 2014 (0.88%)
2013507 Feb 2013 (-1.81%), 26 Feb 2013 (1.37%), 05 Jul 2013 (0.28%), 22 Jul 2013 (0.29%), 14 Aug 2013 (-4.49%)
2012325 May 2012 (0.98%), 05 Sep 2012 (-1.28%), 04 Dec 2012 (4.16%)
2011824 Jan 2011 (-1.7%), 29 Mar 2011 (1.56%), 31 May 2011 (-2.81%), 14 Jun 2011 (-1.97%), 10 Aug 2011 (-3.24%), 06 Sep 2011 (4.21%), 21 Oct 2011 (1.17%), 02 Dec 2011 (-0.71%)
2010616 Feb 2010 (0.53%), 01 Jun 2010 (-0.35%), 16 Jun 2010 (1.34%), 14 Sep 2010 (1.45%), 05 Nov 2010 (0.56%), 02 Dec 2010 (-1.42%)
2009216 Jul 2009 (1.54%), 25 Aug 2009 (5.38%)
2008505 Feb 2008 (-6.2%), 27 Mar 2008 (4.13%), 07 Jul 2008 (-2.88%), 04 Nov 2008 (4.25%), 03 Dec 2008 (10.67%)
2007216 Mar 2007 (0.45%), 11 Apr 2007 (-0.58%)



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