Study: Buy GRANULES 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 GRANULES 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 GRANULES 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
124514.7367313646.275267.8426800.85-3855.23-13189.191.371.180.015365.89
237184.3567353252.246596.7631673.73-6053.19-17246.761.091.190.018554.99
347862.7167353252.248569.0128495.76-7876.64-29774.211.091.190.018714.37
427910.3967392858.218400.3827224.58-10703.73-29008.80.781.090.01416.57
544249.5767382956.729390.8434427.97-10779.39-29513.510.871.140.014660.44
614458267402759.711306.7234639.83-11395.8-27459.460.991.470.0442157.95
717023167363153.7313150.832620.85-9780.59-26930.271.341.560.0512540.76
824962167382956.7215815.760572.18-12116.39-30670.591.311.710.0593725.69
923852567382956.7215319.0163071.36-11848.17-29654.041.291.690.0553560.08
1027140067373055.2217318.7863745.02-12313.17-34761.121.411.730.0594050.74
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
atrnil36.8625975577284936.3625331.8939161.76-9174.25-14756.692.761.580.0553373.44
atrtrail34.8617155778354344.8714299.2537309.36-7649.22-13003.011.871.520.0452199.45
atrtrail24.312220879354444.312916.7724872.91-7497.24-13003.011.721.370.0371546.94
atrtrail-15.8910394674353947.311368.4159801.61-7537.14-12679.411.511.350.0291404.68
atrnil25.4784463.8579314839.2416887.1726107.84-9146.63-14756.691.851.190.0231069.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.69%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, 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.
GRANULES Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018204 Jul 2018 (14.31%), 17 Aug 2018 (-4.26%)
20171103 Jan 2017 (-3.68%), 17 Jan 2017 (11.45%), 27 Feb 2017 (-3.86%), 22 Mar 2017 (9.04%), 21 Apr 2017 (-2.69%), 24 Apr 2017 (-2.77%), 17 May 2017 (-3.52%), 09 Jun 2017 (-4.04%), 04 Jul 2017 (-3.69%), 09 Oct 2017 (11.75%), 29 Nov 2017 (-3.19%)
2016312 Apr 2016 (9.82%), 31 May 2016 (-2.93%), 05 Jul 2016 (-2.53%)
2015704 Mar 2015 (9.43%), 06 Apr 2015 (-5.47%), 17 Jun 2015 (-4.01%), 19 Aug 2015 (-4.73%), 20 Aug 2015 (-5.33%), 21 Sep 2015 (17.3%), 23 Nov 2015 (-3.93%)
2014621 Jan 2014 (-3.79%), 04 Apr 2014 (11.07%), 21 Aug 2014 (13.85%), 19 Sep 2014 (-4.61%), 30 Sep 2014 (-5.85%), 22 Dec 2014 (10.95%)
2013502 Apr 2013 (-5.61%), 04 Jul 2013 (17.44%), 03 Sep 2013 (15.91%), 07 Oct 2013 (11.07%), 03 Dec 2013 (-3.76%)
2012821 Feb 2012 (-3.99%), 22 Feb 2012 (-4.37%), 09 Apr 2012 (14.06%), 12 Jun 2012 (11.93%), 16 Jul 2012 (-4.46%), 22 Aug 2012 (14.39%), 08 Nov 2012 (-4.26%), 03 Dec 2012 (-4.72%)
2011215 Feb 2011 (9.78%), 28 Mar 2011 (9.08%)
2010507 Jan 2010 (10.88%), 09 Apr 2010 (9.02%), 03 May 2010 (-4.22%), 07 Jun 2010 (-4.22%), 05 Oct 2010 (9.54%)
20091303 Feb 2009 (-7.38%), 20 Mar 2009 (19.58%), 20 May 2009 (18.65%), 21 May 2009 (-6.5%), 17 Jul 2009 (-4.62%), 20 Jul 2009 (15.46%), 27 Jul 2009 (-5.21%), 26 Aug 2009 (-4.66%), 27 Aug 2009 (-5.68%), 24 Sep 2009 (-5.96%), 23 Oct 2009 (-5.83%), 12 Nov 2009 (-5.89%), 08 Dec 2009 (-4.77%)
2008129 Aug 2008 (-5.34%)
2007906 Feb 2007 (-4.66%), 30 Mar 2007 (14.26%), 03 Jul 2007 (12.24%), 04 Jul 2007 (-4.79%), 08 Oct 2007 (-4.59%), 02 Nov 2007 (-5.37%), 19 Nov 2007 (-4.38%), 13 Dec 2007 (10.49%), 14 Dec 2007 (-3.88%)
2006330 Mar 2006 (-4.96%), 02 Aug 2006 (-5.74%), 28 Sep 2006 (-6.34%)
2005212 Dec 2005 (-3.74%), 13 Dec 2005 (11.88%)



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