Study: Buy GSFC 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 GSFC 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 GSFC 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
129979.6441192246.346911.0314563.11-4605.91-11927.271.51.30.021731.21
235275.0541172441.4610261.5355000-5798.79-17441.861.771.250.015860.37
3-59884.9541152636.599269.3136000-7650.94-22868.221.210.7-0.028-1460.61
4-18605.4841132831.7115694.7749000-7951.34-21220.931.970.92-0.0066-453.79
51228.2441152636.5917217.0380000-9885.66-22575.891.7410.0003429.96
6-17597.1241162539.0216181.6977500-11060.17-28941.941.460.94-0.0045-429.2
7-10537.4441172441.4616481.6458000-12113.55-29472.441.360.96-0.0028-257.01
842833.9941202148.7817741.1262000-14856.59-49454.551.191.140.00981044.73
9-7191.1841182343.919266.7182500-15390.96-52363.641.250.98-0.0015-175.39
1028017.841172441.4621576.3571000-14115.84-42322.431.531.080.0062683.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.3. 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 46.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, 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.

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
atrtrail-14.779008264812362597866.77899522-7599.32-14944.7612.884.290.0318767.21
nilnil-1129979.6441192246.346911.0314563.11-4605.91-11927.271.51.30.021731.21
atrtrail23.46-9983.195014362818828.0128492.21-7599.32-14944.762.480.96-0.0032-199.66
atrnil36.11-32673.0747113623.429347.3541747.7-9874.83-14944.762.970.91-0.0084-695.17
atrtrail33.98-39588.574812362519498.941747.7-7599.32-14944.762.570.86-0.012-824.76
atrnil24.61-94590.0349133626.5320069.5328492.21-9874.83-14944.762.030.73-0.029-1930.41

In the table above, row 1 shows the best exit criterion. Profit factor is 4.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is 9.38%, which is very good. Sharpe Ratio is 0.03, 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.
GSFC Performance, Profit Factor:4.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018210 Jul 2018 (-3.65%), 24 Jul 2018 (4.07%)
2017103 Apr 2017 (-3.42%)
2016301 Nov 2016 (-4.4%), 02 Nov 2016 (-4.82%), 30 Nov 2016 (2.55%)
2015226 Oct 2015 (-3.31%), 27 Oct 2015 (-1.38%)
2014510 Apr 2014 (-0.64%), 23 Apr 2014 (-4.26%), 13 May 2014 (17.64%), 01 Jul 2014 (-3.63%), 22 Dec 2014 (-0.98%)
2012231 May 2012 (-2.87%), 31 Aug 2012 (449.76%)
2011102 Jun 2011 (-4.19%)
2010107 Sep 2010 (-0.93%)
2009404 May 2009 (-3.18%), 18 May 2009 (-5.33%), 19 May 2009 (33.79%), 30 Sep 2009 (-4.43%)
2008101 Sep 2008 (-2.12%)
2007408 Feb 2007 (1.6%), 02 Jul 2007 (-3.17%), 03 Sep 2007 (-3.49%), 28 Sep 2007 (-2.17%)
2006127 Feb 2006 (-4.77%)
2005403 Jan 2005 (-3.2%), 28 Jan 2005 (11.69%), 05 Apr 2005 (-4.92%), 16 Aug 2005 (-0.86%)
2004602 Jan 2004 (-6.16%), 05 Jan 2004 (-6.73%), 09 Jan 2004 (-7.47%), 27 Sep 2004 (-5.47%), 05 Oct 2004 (-2.9%), 14 Dec 2004 (-4.47%)
2003705 May 2003 (-5.23%), 09 Jun 2003 (-5.02%), 04 Jul 2003 (-1.89%), 11 Aug 2003 (5.08%), 03 Sep 2003 (-5.1%), 06 Oct 2003 (1.34%), 22 Dec 2003 (-5.55%)
2002121 Mar 2002 (18.76%)
1999207 Jun 1999 (-4.68%), 23 Jun 1999 (2.57%)
1996119 Dec 1996 (38.35%)



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