Study: Buy GRASIM 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 GRASIM 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 GRASIM 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
199199.29142697348.594256.519961.92-2664.37-11832.371.61.510.03698.59
2118663142687447.896607.4333304.4-4468.14-30221.861.481.360.021835.65
3177256142776554.236625.348553.24-5121.41-26754.311.291.530.0271248.28
4190520142776554.237572.9161750.66-6039.9-26458.51.251.490.0251341.69
5232470142756752.829143.7855053.76-6765.87-28027.021.351.510.0281637.11
6152494142736951.419826.5846896.55-8186.17-36064.441.21.270.0171073.9
7137937142756752.8210335.6346224.58-9510.98-33500.781.091.220.015971.39
8111313142736951.4110671.8456559.14-9677.26-43863.521.11.170.011783.89
9144665142707249.312647.7162795.7-10287.14-56283.751.231.20.0131018.77
10222936142756752.8212829.7566720.43-11034.26-60039.271.161.30.0191569.97
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
atrnil37.342280151514710431.1319480.4437528.39-6611.21-15432.672.951.330.0241510.03
atrnil25.11180108157629539.4913010.9825018.93-6595.5-15432.671.971.290.0231147.18
atrtrail34.54135101157619638.8510099.7437528.39-5010.24-14263.522.021.280.018860.52
atrtrail23.84126635159629738.9910030.2525018.93-5105.57-14263.521.961.260.018796.45
atrtrail-15.1698110.37156609638.469651.5549749.52-5010.24-14263.521.931.20.013628.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 31.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
GRASIM Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019708 Jan 2019 (-2.68%), 29 Mar 2019 (-2.43%), 16 Apr 2019 (-2.2%), 18 Apr 2019 (6.91%), 24 May 2019 (-3.28%), 26 Jun 2019 (-2.8%), 16 Oct 2019 (-3.8%)
2018723 Feb 2018 (-3.22%), 17 Apr 2018 (-2.57%), 26 Jun 2018 (-2.42%), 24 Jul 2018 (-2.9%), 25 Jul 2018 (8.99%), 18 Sep 2018 (-2.77%), 14 Dec 2018 (-3.16%)
2017520 Mar 2017 (8.02%), 20 Apr 2017 (-2.59%), 02 Jun 2017 (-2.63%), 21 Jun 2017 (6.72%), 23 Oct 2017 (7.89%)
2016602 Mar 2016 (7.7%), 12 May 2016 (-1.97%), 13 May 2016 (6.01%), 02 Aug 2016 (5.19%), 06 Sep 2016 (8.55%), 30 Dec 2016 (-2.67%)
2015603 Mar 2015 (-2.81%), 04 Mar 2015 (-2.96%), 01 Apr 2015 (-2.65%), 04 Aug 2015 (-1.94%), 26 Nov 2015 (-1.75%), 31 Dec 2015 (-1.59%)
2014711 Feb 2014 (-1.92%), 12 May 2014 (7.89%), 22 Jul 2014 (-2.75%), 11 Aug 2014 (7.81%), 22 Sep 2014 (-2.24%), 29 Oct 2014 (-2.41%), 23 Dec 2014 (-2.16%)
2013406 Mar 2013 (-2.36%), 31 Oct 2013 (-2.85%), 02 Dec 2013 (-2.52%), 24 Dec 2013 (-2.54%)
2012417 Apr 2012 (-2.45%), 30 Jul 2012 (6.9%), 14 Sep 2012 (5.02%), 30 Nov 2012 (-2.09%)
2011913 Jan 2011 (-2.97%), 16 Feb 2011 (-3.0%), 04 Mar 2011 (7.7%), 01 Jun 2011 (-2.62%), 25 Aug 2011 (-2.69%), 12 Oct 2011 (-3.07%), 25 Oct 2011 (-2.92%), 02 Dec 2011 (-3.11%), 22 Dec 2011 (9.29%)
2010615 Feb 2010 (-3.11%), 03 Mar 2010 (7.99%), 03 Sep 2010 (7.33%), 03 Nov 2010 (-2.34%), 02 Dec 2010 (-2.79%), 30 Dec 2010 (6.49%)
2009904 Feb 2009 (15.94%), 13 Mar 2009 (14.14%), 23 Apr 2009 (13.63%), 18 May 2009 (-4.63%), 03 Jun 2009 (15.23%), 31 Aug 2009 (-3.43%), 07 Sep 2009 (-3.05%), 17 Sep 2009 (-2.96%), 31 Dec 2009 (7.11%)
2008201 Jan 2008 (-3.45%), 09 Sep 2008 (-3.79%)
2007620 Jun 2007 (8.43%), 30 Aug 2007 (11.29%), 11 Oct 2007 (-3.65%), 19 Nov 2007 (-4.36%), 20 Nov 2007 (-4.58%), 30 Nov 2007 (-4.19%)
20061019 Jan 2006 (10.12%), 28 Feb 2006 (10.11%), 03 Apr 2006 (8.47%), 02 May 2006 (-4.53%), 26 Jul 2006 (14.16%), 14 Sep 2006 (7.21%), 12 Oct 2006 (-2.48%), 30 Oct 2006 (-2.36%), 30 Nov 2006 (-2.11%), 26 Dec 2006 (-3.44%)
2005431 Jan 2005 (-2.9%), 12 Jul 2005 (8.25%), 14 Sep 2005 (-2.81%), 07 Nov 2005 (12.53%)
2004617 Feb 2004 (-4.68%), 05 Mar 2004 (-4.48%), 01 Apr 2004 (-4.33%), 05 Nov 2004 (-2.72%), 24 Nov 2004 (-2.51%), 30 Nov 2004 (8.08%)
20031012 Feb 2003 (-2.9%), 04 Apr 2003 (-2.75%), 07 Apr 2003 (-2.96%), 11 Apr 2003 (8.97%), 20 May 2003 (-2.71%), 18 Jun 2003 (10.23%), 31 Jul 2003 (12.3%), 29 Sep 2003 (12.45%), 29 Oct 2003 (13.83%), 15 Dec 2003 (-3.54%)
20021107 Jan 2002 (-4.18%), 01 Feb 2002 (-2.96%), 10 Apr 2002 (-2.53%), 02 May 2002 (-2.32%), 03 May 2002 (-2.34%), 12 Jun 2002 (-2.72%), 01 Jul 2002 (-2.28%), 21 Aug 2002 (-2.61%), 28 Oct 2002 (-2.48%), 04 Nov 2002 (-2.82%), 27 Dec 2002 (9.4%)
2001703 Jan 2001 (-4.51%), 09 Apr 2001 (-6.84%), 18 May 2001 (-5.45%), 10 Jul 2001 (-3.52%), 07 Aug 2001 (-3.49%), 16 Aug 2001 (-3.25%), 28 Nov 2001 (-3.79%)
2000609 Feb 2000 (-6.05%), 03 Mar 2000 (-7.04%), 03 Apr 2000 (-6.76%), 26 May 2000 (-7.72%), 03 Aug 2000 (-6.24%), 28 Aug 2000 (-5.35%)
1999707 Jun 1999 (18.76%), 07 Jul 1999 (14.91%), 13 Aug 1999 (18.65%), 17 Sep 1999 (-5.51%), 20 Sep 1999 (-5.76%), 11 Oct 1999 (-5.86%), 17 Dec 1999 (-5.57%)
1998226 Jun 1998 (-4.97%), 08 Dec 1998 (13.7%)
1997412 Jun 1997 (5.03%), 26 Jun 1997 (-1.72%), 04 Aug 1997 (-2.19%), 05 Aug 1997 (-2.42%)
1996402 Feb 1996 (7.99%), 12 Feb 1996 (9.64%), 08 Apr 1996 (-2.91%), 14 Oct 1996 (-3.32%)
1995217 Jul 1995 (4.84%), 01 Nov 1995 (-1.3%)



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