Study: Buy GODREJCP 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 GODREJCP 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 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
1-19019.5733151845.452173.55202.08-2867.89-7802.870.760.63-0.043-576.35
2-657.6833191457.583315.099002.26-4546.03-9857.330.730.99-0.00097-19.93
350244.2233201360.615171.7216347.99-4091.55-17391.31.261.940.0561522.55
484653.0533171651.528380.9834802.7-3613.97-12086.962.322.460.0662565.24
511947233171651.529946.1341166.01-3100.78-7707.753.213.410.0833620.36
676687.2633171651.529074.2330252.4-4848.42-13809.711.871.990.0572323.86
781412.2533211263.647791.0924351.23-6850.06-19429.951.141.990.0622467.04
811415733221166.677934.825376.45-5491.65-23565.221.442.890.0883459.31
912970533231069.78325.2324102.38-6177.52-20434.781.353.10.0993930.46
1015975333211263.6410279.4933167.44-4676.34-22956.522.23.850.114841.01
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GODREJCP Performance, X=10, Profit Factor:3.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019416 Apr 2019 (-4.82%), 15 May 2019 (3.94%), 06 Aug 2019 (-2.35%), 09 Sep 2019 (9.27%)
2018116 Oct 2018 (-3.62%)
2017129 Aug 2017 (2.6%)
2016222 Feb 2016 (3.36%), 31 Aug 2016 (11.24%)
2014105 Feb 2014 (5.57%)
2013125 Sep 2013 (1.17%)
2012107 Jan 2012 (4.73%)
2011415 Feb 2011 (-0.4%), 22 Mar 2011 (3.53%), 14 Oct 2011 (9.42%), 01 Dec 2011 (-0.08%)
2010206 Feb 2010 (4.38%), 27 Dec 2010 (0.52%)
2009205 Mar 2009 (-2.85%), 24 Mar 2009 (8.17%)
2008404 Feb 2008 (2.05%), 24 Jul 2008 (3.87%), 14 Oct 2008 (-11.48%), 05 Nov 2008 (7.41%)
2007415 Mar 2007 (0.51%), 17 May 2007 (-0.48%), 22 Jun 2007 (1.54%), 29 Oct 2007 (-0.32%)
2006319 Jun 2006 (0.54%), 30 Nov 2006 (-0.7%), 26 Dec 2006 (-0.68%)
2005205 May 2005 (16.58%), 27 Oct 2005 (7.52%)
2002107 Nov 2002 (-0.28%)

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
atrnil28.518625738201852.6316669.4832375.12-8174.03-11716.912.042.270.0884901.5
atrtrail36.5512490538172144.7415701.6534320.27-6763-11716.912.321.880.063286.97
atrnil316.8315205536142238.8924220.5344755.01-8501.49-16187.562.851.810.0594223.74
atrtrail25.6610066438172144.7414275.6822880.18-6763-11716.912.111.710.0562649.04
atrtrail-17.3248241.0138162242.1112159.1730014.46-6650.26-11716.911.831.330.0281269.5

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 2.45%, which is very good. Sharpe Ratio is 0.088, 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:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019416 Apr 2019 (-2.09%), 15 May 2019 (4.52%), 06 Aug 2019 (5.96%), 09 Sep 2019 (6.41%)
2018116 Oct 2018 (-5.28%)
2017129 Aug 2017 (7.25%)
2016222 Feb 2016 (-3.65%), 31 Aug 2016 (5.44%)
2014105 Feb 2014 (7.94%)
2013125 Sep 2013 (6.93%)
2012107 Jan 2012 (5.81%)
2011515 Feb 2011 (-5.56%), 22 Mar 2011 (8.37%), 14 Oct 2011 (7.17%), 01 Dec 2011 (-3.68%), 13 Dec 2011 (-3.45%)
2010206 Feb 2010 (-4.29%), 27 Dec 2010 (9.13%)
2009205 Mar 2009 (-3.63%), 24 Mar 2009 (8.73%)
2008604 Feb 2008 (14.92%), 24 Jul 2008 (-4.52%), 14 Oct 2008 (-5.25%), 21 Oct 2008 (-5.54%), 22 Oct 2008 (-5.86%), 05 Nov 2008 (11.44%)
2007605 Jan 2007 (-3.5%), 15 Mar 2007 (-4.09%), 17 May 2007 (7.82%), 22 Jun 2007 (-3.22%), 25 Jun 2007 (8.29%), 29 Oct 2007 (8.39%)
2006319 Jun 2006 (16.19%), 30 Nov 2006 (-3.4%), 26 Dec 2006 (-3.48%)
2005205 May 2005 (7.94%), 27 Oct 2005 (8.04%)
2002107 Nov 2002 (-3.06%)



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