Study: Buy GRASIM 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 GRASIM 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 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
154246.3882463656.14265.8124020.18-3943.91-14267.41.081.380.023661.54
217778.8882424051.225903.5132966.1-5754.22-19314.411.031.080.0054216.82
313354.3382364643.97925.8551610.17-5912.53-28274.61.341.050.0032162.86
489617.3182433952.447989.771779.66-6511.28-24767.291.231.350.0191092.89
513116082463656.19035.6678813.56-7902.24-24468.091.141.460.0251599.51
614092382463656.19755.271101.69-8550.44-27624.031.141.460.0251718.58
721928582463656.111828.1892796.61-9022.55-41411.121.311.680.0332674.21
813957282424051.2212511.84116271-9648.13-54026.431.31.360.0191702.1
918647382453754.8812358.5192881.36-9990.81-57840.941.241.50.0272274.06
1023259182483458.5412505.892711.86-10814.34-58364.51.161.630.0322836.47
Although, strategy looks good but profit factor on day 3 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
atrnil39.1614978493286530.1122807.8953419.05-7520.56-20459.193.031.310.0211610.58
atrtrail-15.9381509.1194355937.2312091.8998998.99-5791.65-20459.192.091.240.012867.12
atrnil27.0999907.5293345936.561571835612.7-7364.48-20459.192.131.230.0181074.27
atrtrail35.3836638.7694355937.2310809.8841481.33-5791.65-20459.191.871.110.0073389.77
atrtrail24.7128016.8494355937.2310563.5433536.29-5791.65-20459.191.821.080.0061298.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 30.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019313 Feb 2019 (-3.27%), 26 Aug 2019 (-4.48%), 15 Oct 2019 (-3.92%)
2018622 Feb 2018 (-3.33%), 05 Apr 2018 (-3.11%), 11 Jun 2018 (-2.81%), 27 Jun 2018 (-2.38%), 01 Nov 2018 (-4.06%), 31 Dec 2018 (-2.84%)
2017307 Aug 2017 (-3.21%), 14 Aug 2017 (10.4%), 18 Dec 2017 (8.43%)
2016404 Feb 2016 (-2.37%), 07 Sep 2016 (8.39%), 29 Nov 2016 (-3.32%), 29 Dec 2016 (8.03%)
2015218 May 2015 (-2.4%), 10 Sep 2015 (7.77%)
2014527 Jan 2014 (-1.91%), 12 Feb 2014 (-1.9%), 24 Feb 2014 (6.44%), 23 Jul 2014 (-2.81%), 24 Dec 2014 (6.96%)
2013601 Jan 2013 (-1.75%), 31 Jan 2013 (-2.27%), 15 Apr 2013 (6.72%), 21 Jun 2013 (-2.41%), 24 Jun 2013 (-2.44%), 30 Aug 2013 (-3.78%)
2012206 Jun 2012 (9.26%), 20 Dec 2012 (-1.94%)
2011403 Mar 2011 (7.98%), 31 May 2011 (-2.66%), 30 Jun 2011 (-2.63%), 24 Aug 2011 (-2.75%)
2010111 Jun 2010 (13.2%)
2009105 Nov 2009 (11.65%)
2008704 Feb 2008 (-6.48%), 14 Feb 2008 (-6.05%), 28 Mar 2008 (-4.86%), 09 Apr 2008 (-4.92%), 21 May 2008 (-4.01%), 16 Jul 2008 (15.64%), 04 Nov 2008 (-10.23%)
2007119 Mar 2007 (17.73%)
2006115 Jun 2006 (26.71%)
2005613 Apr 2005 (-2.72%), 20 Apr 2005 (-3.34%), 12 May 2005 (-2.48%), 09 Jun 2005 (-1.99%), 11 Jul 2005 (-2.61%), 02 Nov 2005 (12.19%)
2004431 Mar 2004 (-4.33%), 02 Jun 2004 (-7.62%), 08 Jun 2004 (-7.12%), 28 Jun 2004 (16.28%)
2002604 Feb 2002 (9.04%), 24 Apr 2002 (-1.99%), 20 Aug 2002 (-2.48%), 01 Nov 2002 (-2.9%), 10 Dec 2002 (-2.98%), 26 Dec 2002 (9.05%)
2001408 Aug 2001 (-3.47%), 19 Sep 2001 (-4.66%), 20 Sep 2001 (-5.05%), 28 Sep 2001 (-5.08%)
2000510 Feb 2000 (-6.03%), 02 Mar 2000 (-7.3%), 31 Mar 2000 (21.31%), 25 May 2000 (-8.38%), 19 Oct 2000 (19.16%)
1999318 Feb 1999 (-5.5%), 04 May 1999 (20.74%), 20 Dec 1999 (-6.09%)
1998523 Feb 1998 (-2.89%), 18 Jun 1998 (-5.54%), 14 Aug 1998 (-4.77%), 04 Sep 1998 (-5.53%), 26 Oct 1998 (-6.14%)
1997619 Feb 1997 (8.96%), 15 Apr 1997 (-2.79%), 10 Oct 1997 (-2.01%), 13 Oct 1997 (-2.2%), 11 Nov 1997 (-2.58%), 19 Nov 1997 (8.23%)
1996431 May 1996 (6.12%), 23 Aug 1996 (-2.69%), 11 Oct 1996 (-3.38%), 09 Dec 1996 (8.86%)
1995405 May 1995 (6.44%), 17 Oct 1995 (-1.18%), 31 Oct 1995 (-1.29%), 01 Dec 1995 (7.61%)



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