Study: Buy GODREJCP 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 GODREJCP 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 GODREJCP 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
198373.31139697049.644214.429288.7-2748.86-15630.161.531.510.033707.72
270058.85139677248.25043.5318866.49-3720.24-13854.931.361.260.02504.02
3111661139766354.685585.1526491.18-4965.24-17889.911.121.360.027803.32
4178892139716851.087247.9827895.39-4936.97-28440.371.471.530.0361287
5179818139786156.126952.6732078.43-5942.47-31559.631.171.50.0341293.66
6158767139726751.88074.6838747.1-6307.61-25963.31.281.380.0271142.21
7201727139766354.688703.6760324.83-7297.65-30825.691.191.440.0291451.27
8213694139716851.089415.7655626.45-6688.59-32844.041.411.470.0311537.37
9270982139706950.3610931.549825.99-7162.64-30458.721.531.550.0371949.51
10267108139766354.6810098.3149129.93-7942.28-31559.631.271.530.0371921.64
Although, strategy looks good but profit factor on day 2 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
atrnil39.32261451454310229.6622459.7435892.91-7251.21-12244.213.11.310.0261559.62
atrnil25.961786221595910037.1115154.1523928.61-7154.73-12244.212.121.250.0241123.41
atrtrail24.33103244163649939.2610095.5823825.37-5483.57-12244.211.841.190.016633.4
atrtrail34.8181994.1160629838.759866.6135738.05-5405.46-12244.211.831.150.012512.46
atrtrail-15.2414769.2156619539.18381.2946859.34-5226.2-12244.211.61.030.002594.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 29.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
GODREJCP Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Aug 2019 (-2.92%), 11 Oct 2019 (8.81%), 07 Nov 2019 (-2.84%)
2018616 Jan 2018 (-1.95%), 17 Jan 2018 (6.05%), 21 Feb 2018 (7.24%), 18 Apr 2018 (-2.37%), 24 May 2018 (7.78%), 20 Aug 2018 (-2.48%)
2017901 Feb 2017 (-2.33%), 16 Feb 2017 (7.04%), 16 Mar 2017 (-2.25%), 25 Apr 2017 (7.03%), 08 Jun 2017 (7.9%), 26 Jul 2017 (-2.18%), 03 Oct 2017 (-2.82%), 02 Nov 2017 (-2.53%), 23 Nov 2017 (7.59%)
20161001 Feb 2016 (-3.65%), 01 Mar 2016 (10.81%), 11 May 2016 (-2.87%), 25 May 2016 (8.28%), 22 Jun 2016 (-2.6%), 30 Jun 2016 (-2.66%), 30 Aug 2016 (-2.5%), 07 Oct 2016 (-2.66%), 25 Oct 2016 (-2.6%), 30 Oct 2016 (-2.46%)
2015612 Feb 2015 (-4.1%), 04 Mar 2015 (-3.79%), 07 Apr 2015 (-4.04%), 14 May 2015 (-4.04%), 08 Jun 2015 (12.36%), 01 Oct 2015 (-4.34%)
2014721 Mar 2014 (11.67%), 15 May 2014 (-3.39%), 05 Jun 2014 (-3.72%), 22 Jul 2014 (-2.49%), 30 Oct 2014 (-3.87%), 23 Dec 2014 (-3.89%), 24 Dec 2014 (12.14%)
20131617 Jan 2013 (-2.81%), 04 Feb 2013 (-2.93%), 18 Feb 2013 (-2.84%), 04 Mar 2013 (-2.99%), 07 Mar 2013 (-3.49%), 25 Mar 2013 (-3.87%), 23 Apr 2013 (11.26%), 25 Apr 2013 (-4.44%), 15 May 2013 (-3.53%), 04 Jun 2013 (-3.27%), 01 Jul 2013 (-3.64%), 13 Aug 2013 (-4.4%), 10 Sep 2013 (-3.66%), 22 Oct 2013 (-3.49%), 12 Nov 2013 (-2.9%), 27 Dec 2013 (-2.91%)
20121020 Mar 2012 (-2.93%), 18 Apr 2012 (10.83%), 22 May 2012 (-4.54%), 29 Jun 2012 (10.57%), 21 Aug 2012 (-3.11%), 03 Oct 2012 (-3.11%), 23 Oct 2012 (-3.41%), 27 Nov 2012 (9.81%), 29 Nov 2012 (-4.31%), 19 Dec 2012 (-3.2%)
2011821 Mar 2011 (-4.27%), 30 Mar 2011 (10.81%), 03 May 2011 (-3.74%), 30 May 2011 (9.01%), 22 Jul 2011 (-2.46%), 22 Aug 2011 (-3.73%), 30 Aug 2011 (-3.77%), 19 Oct 2011 (-3.47%)
2010704 Jan 2010 (-4.56%), 03 Mar 2010 (13.29%), 07 Apr 2010 (12.0%), 13 May 2010 (-4.92%), 04 Jun 2010 (17.59%), 03 Sep 2010 (11.58%), 26 Oct 2010 (-3.93%)
2009416 Jul 2009 (17.49%), 28 Aug 2009 (15.24%), 07 Oct 2009 (-4.6%), 27 Oct 2009 (-5.78%)
2008502 Jan 2008 (-5.26%), 21 Apr 2008 (11.17%), 12 Jun 2008 (-4.1%), 22 Dec 2008 (-4.28%), 23 Dec 2008 (-4.52%)
2007620 Feb 2007 (-3.07%), 09 Aug 2007 (-3.05%), 10 Aug 2007 (-3.14%), 05 Sep 2007 (-2.68%), 03 Dec 2007 (14.89%), 04 Dec 2007 (-5.28%)
2006519 Jan 2006 (12.74%), 27 Feb 2006 (11.45%), 31 Mar 2006 (-4.62%), 09 Aug 2006 (14.94%), 25 Sep 2006 (-4.64%)
2005601 Mar 2005 (10.47%), 04 Jul 2005 (-4.07%), 05 Oct 2005 (-3.94%), 06 Oct 2005 (-4.06%), 26 Oct 2005 (-3.9%), 09 Nov 2005 (10.56%)
2004804 Feb 2004 (-5.9%), 01 Apr 2004 (-4.99%), 20 May 2004 (-4.59%), 19 Jul 2004 (7.2%), 30 Sep 2004 (-3.44%), 01 Oct 2004 (-3.69%), 27 Oct 2004 (9.84%), 17 Dec 2004 (9.07%)
20031307 Jan 2003 (9.23%), 08 Jan 2003 (-3.54%), 03 Feb 2003 (-2.86%), 19 Feb 2003 (-3.11%), 02 Apr 2003 (-2.37%), 07 May 2003 (-3.25%), 23 May 2003 (-2.98%), 24 Jun 2003 (-3.17%), 16 Jul 2003 (-3.77%), 22 Aug 2003 (7.74%), 07 Oct 2003 (-4.19%), 03 Nov 2003 (-3.76%), 24 Nov 2003 (11.85%)
20021402 Jan 2002 (15.36%), 08 Feb 2002 (-4.58%), 01 Mar 2002 (-4.83%), 04 Mar 2002 (-5.57%), 08 Apr 2002 (13.68%), 30 Apr 2002 (-4.54%), 11 Jun 2002 (12.72%), 09 Jul 2002 (-4.67%), 23 Jul 2002 (-6.12%), 13 Aug 2002 (17.87%), 23 Oct 2002 (-3.77%), 05 Nov 2002 (-3.07%), 20 Nov 2002 (-2.57%), 21 Nov 2002 (-2.81%)
2001227 Sep 2001 (17.95%), 06 Dec 2001 (-5.66%)



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