Study: Buy GRANULES 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 GRANULES 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 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
1-6353.8631131841.946275.0826800.85-4884.99-13189.191.280.93-0.0072-204.96
2-8566.6431121938.7110803.4331673.73-7274.1-17246.761.490.94-0.0069-276.34
34216.2831131841.9411974.4228495.76-8413.95-29774.211.421.030.0029136.01
4-5600.8631151648.3910871.4527224.58-10542.04-29008.81.030.97-0.0038-180.67
52331.0931161551.6111194.3534427.97-11785.24-29513.510.951.010.001575.2
666927.1631171454.8413203.5234639.83-11252.34-27459.461.171.420.0412158.94
791856.431161551.6115077.6632620.85-9959.08-24648.651.511.610.0552963.11
819065431191261.2918516.3560572.18-13429.73-22570.021.382.180.0856150.13
916261131201164.5216980.0563071.36-16090.01-29654.041.061.920.0695245.51
1017226031191261.2919664.7563745.02-16780.84-34761.121.171.860.0695556.78
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GRANULES Performance, X=8, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018217 Aug 2018 (1.49%), 07 Sep 2018 (-11.29%)
2017217 Jan 2017 (3.89%), 29 Nov 2017 (0.34%)
2015206 Apr 2015 (8.84%), 19 Aug 2015 (-5.13%)
2014321 Jan 2014 (5.39%), 21 Aug 2014 (11.7%), 19 Sep 2014 (-6.25%)
2013302 Apr 2013 (-6.84%), 04 Jul 2013 (5.33%), 04 Dec 2013 (4.01%)
2012521 Feb 2012 (-3.36%), 09 Apr 2012 (12.84%), 12 Jun 2012 (9.58%), 16 Jul 2012 (-7.39%), 22 Aug 2012 (30.29%)
2011128 Mar 2011 (6.7%)
2010407 Jan 2010 (6.48%), 09 Apr 2010 (10.25%), 03 May 2010 (-6.91%), 05 Oct 2010 (7.16%)
2009420 May 2009 (28.69%), 26 Aug 2009 (-10.76%), 24 Sep 2009 (-9.25%), 23 Oct 2009 (-5.96%)
2008129 Aug 2008 (4.95%)
2007330 Mar 2007 (13.45%), 02 Nov 2007 (-5.31%), 14 Dec 2007 (-2.15%)
2006102 Aug 2006 (4.52%)

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
atrnil35.1483102.5335122334.2925758.0437309.36-9825.83-13003.012.621.370.0382374.36
atrtrail34.1960671.4336162044.4415408.1937309.36-9292.98-13003.011.661.330.0321685.32
atrtrail23.6135200.3136162044.4413816.2424872.91-9292.98-13003.011.491.190.021977.79
atrnil24.1431165.5836142238.8917500.0324872.91-9719.76-13003.011.81.150.018865.71
atrtrail-14.943418.2935161945.7111017.1849616.3-9097.71-11910.411.211.020.002197.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 34.29%, which is not acceptable. Avoid this strategy. Average return per trade is 1.19%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018117 Aug 2018 (-4.26%)
2017217 Jan 2017 (11.45%), 29 Nov 2017 (-3.19%)
2015306 Apr 2015 (-5.47%), 19 Aug 2015 (-4.73%), 20 Aug 2015 (-5.33%)
2014421 Jan 2014 (-3.79%), 21 Aug 2014 (13.85%), 19 Sep 2014 (-4.61%), 30 Sep 2014 (-5.85%)
2013302 Apr 2013 (-5.61%), 04 Jul 2013 (17.44%), 04 Dec 2013 (-4.15%)
2012621 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%)
2011128 Mar 2011 (9.08%)
2010407 Jan 2010 (10.88%), 09 Apr 2010 (9.02%), 03 May 2010 (-4.22%), 05 Oct 2010 (9.54%)
2009620 May 2009 (18.65%), 21 May 2009 (-6.5%), 26 Aug 2009 (-4.66%), 27 Aug 2009 (-5.68%), 24 Sep 2009 (-5.96%), 23 Oct 2009 (-5.83%)
2008129 Aug 2008 (-5.34%)
2007330 Mar 2007 (14.26%), 02 Nov 2007 (-5.37%), 14 Dec 2007 (-3.88%)
2006102 Aug 2006 (-5.74%)



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