Study: Buy GODREJCP 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 GODREJCP 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 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
16464.23442222502961.778665.89-2667.94-7929.421.111.110.0098146.91
25449.7544202445.454641.5611827.07-3640.89-8838.821.271.060.0059123.86
3-11386.77442222505259.7320417.63-5777.31-17889.910.910.91-0.0085-258.79
4-13934.0744192543.186182.2724593.97-5255.89-28440.371.180.89-0.0091-316.68
56423.2444242054.555921.9127030.16-6785.13-31559.630.871.050.0038145.98
6-8316.244202445.457162.0638747.1-6314.89-25963.31.130.95-0.0044-189
731983.4144232152.278562.9160324.83-7855.4-30825.691.091.190.013726.9
834620.6944192543.189987.2255626.45-6205.46-32844.041.611.220.015786.83
982734.384422225011109.549825.99-7348.84-30458.721.511.510.0331880.33
1097544.2344242054.5510462.5549129.93-7677.84-31559.631.361.640.0412216.91
Although, strategy looks good but profit factor on day 4 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
atrtrail24.3737130.5946182839.1310826.6723318.25-5633.91-12244.211.921.240.019807.19
atrnil39.267711.5343103323.2625216.8335171.91-7407.78-12244.213.41.030.003179.34
atrtrail35.093384.6346172936.969591.7634977.38-5506.05-12244.211.741.020.001773.58
atrnil25.541229.5746143230.4316754.6623447.94-7291.74-12244.212.31.010.0005526.73
atrtrail-15.41-11461.4746172936.968718.4646859.34-5506.05-12244.211.580.93-0.0059-249.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 39.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Aug 2019 (0.1%), 11 Oct 2019 (0.85%), 30 Oct 2019 (-1.62%), 07 Nov 2019 (-2.84%)
2018120 Aug 2018 (1.2%)
2017103 Jul 2017 (-2.58%)
2016122 Jun 2016 (-2.6%)
2013517 Jan 2013 (-2.81%), 04 Feb 2013 (-2.93%), 25 Apr 2013 (-4.44%), 15 May 2013 (-1.65%), 04 Jun 2013 (-3.27%)
2012420 Mar 2012 (-0.72%), 20 Jul 2012 (5.85%), 21 Aug 2012 (1.08%), 19 Dec 2012 (-0.53%)
2011303 May 2011 (-2.62%), 30 Aug 2011 (-3.77%), 19 Oct 2011 (-3.47%)
2010413 May 2010 (-2.92%), 04 Jun 2010 (-0.37%), 03 Sep 2010 (7.72%), 26 Oct 2010 (7.86%)
2009516 Jul 2009 (11.66%), 28 Aug 2009 (10.16%), 17 Sep 2009 (-4.66%), 07 Oct 2009 (-2.39%), 27 Oct 2009 (11.56%)
2006419 Jan 2006 (8.49%), 13 Feb 2006 (7.42%), 27 Feb 2006 (7.63%), 31 Mar 2006 (0.11%)
2005226 Oct 2005 (-3.9%), 09 Nov 2005 (7.04%)
2004201 Apr 2004 (-4.99%), 20 May 2004 (-1.13%)
2003704 Feb 2003 (0.33%), 02 Apr 2003 (0.48%), 07 May 2003 (-3.25%), 23 May 2003 (-2.64%), 16 Jul 2003 (-3.77%), 03 Nov 2003 (-2.12%), 24 Nov 2003 (7.9%)
2002308 Feb 2002 (-4.58%), 09 Jul 2002 (-0.16%), 23 Jul 2002 (-6.12%)



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