Study: Buy GSFC 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 GSFC 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 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
157321.0283374644.585519.4330714.29-3193.43-14357.261.731.390.021690.61
28994.1183384545.786533.3526285.71-5317.18-14190.321.231.040.0027108.36
358598.3783354842.1710546.0632049.95-6469.04-18103.111.631.190.013706
413740283384545.7812085.857018.81-7152.42-29515.941.691.430.0251655.44
511869883384545.7812526.474095.51-7940.11-26839.831.581.330.0211430.1
613025183364743.3714237.43110420-8133.97-21364.651.751.340.0191569.29
732082.3983335039.761544079884.23-9548.75-26052.741.621.070.0048386.53
861175.2683374644.5815292.3281910.27-10970.45-34458.081.391.120.0086737.05
913178983414249.416449.4793198.26-12919.98-34355.831.271.240.0161587.82
1011824783374644.5819061.7293921.85-12761.65-36400.821.491.20.0141424.67
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
atrtrail-15.8774340087276031.0345743.06918930-8194.38-17400.395.582.510.0188544.82
atrnil25.6333339.7887315635.6319785.9843527.37-10357.6-20173.61.911.060.0051383.22
atrnil38.34-98739.5287216624.1428141.7557773.04-10450.25-21763.692.690.86-0.013-1134.94
atrtrail35.24-75544.8987276031.0315411.7857773.04-8194.38-17400.391.880.85-0.013-868.33
atrtrail24.29-86880.5787285932.1814207.2238515.36-8214.96-17400.391.730.82-0.017-998.63

In the table above, row 1 shows the best exit criterion. Profit factor is 2.51. 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 31.03%, which is not acceptable. Avoid this strategy. Average return per trade is 4.27%, which is very good. Sharpe Ratio is 0.018, 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:2.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 May 2019 (7.36%)
2018626 Feb 2018 (-4.55%), 13 Mar 2018 (-1.95%), 03 Apr 2018 (4.3%), 08 Jun 2018 (-1.99%), 09 Jul 2018 (0.01%), 15 Oct 2018 (-3.35%)
2017112 Dec 2017 (-3.17%)
2016123 Feb 2016 (3.24%)
2015524 Feb 2015 (-4.53%), 12 Mar 2015 (-2.55%), 31 Mar 2015 (2.36%), 13 May 2015 (-2.5%), 14 Sep 2015 (-4.14%)
2014214 Feb 2014 (2.31%), 05 Sep 2014 (-4.3%)
2013721 Jan 2013 (-3.42%), 14 Feb 2013 (-1.85%), 08 Mar 2013 (-0.87%), 04 Apr 2013 (-4.06%), 17 Apr 2013 (-2.91%), 09 May 2013 (-1.21%), 30 Aug 2013 (-5.47%)
2012305 Jan 2012 (13.89%), 02 Aug 2012 (3.7%), 30 Aug 2012 (459.46%)
2011402 Feb 2011 (-1.64%), 16 Feb 2011 (0.03%), 15 Jun 2011 (-3.44%), 27 Jun 2011 (0.13%)
2010110 Jun 2010 (-3.09%)
2009224 Jul 2009 (-4.32%), 25 Aug 2009 (20.02%)
2008518 Feb 2008 (5.54%), 02 Apr 2008 (18.1%), 29 May 2008 (-5.1%), 11 Jul 2008 (-6.32%), 27 Oct 2008 (4.98%)
2007229 Mar 2007 (-3.05%), 18 May 2007 (3.49%)
2006322 Jun 2006 (-7.1%), 01 Aug 2006 (-5.17%), 29 Dec 2006 (8.27%)
2005310 May 2005 (5.64%), 08 Jul 2005 (4.05%), 08 Nov 2005 (3.65%)
2004201 Mar 2004 (9.47%), 10 Jun 2004 (-8.35%)
2003220 Feb 2003 (-5.81%), 02 May 2003 (0.21%)
2002515 Jan 2002 (-5.74%), 29 Jan 2002 (-6.02%), 14 Aug 2002 (-6.14%), 16 Sep 2002 (-8.7%), 04 Nov 2002 (-6.18%)
2001529 Mar 2001 (-7.67%), 17 May 2001 (6.76%), 16 Jul 2001 (-4.63%), 17 Aug 2001 (-2.39%), 25 Sep 2001 (-2.8%)
2000823 Feb 2000 (-0.08%), 28 Mar 2000 (-6.57%), 04 May 2000 (-1.73%), 25 May 2000 (4.61%), 13 Jul 2000 (-4.82%), 23 Aug 2000 (-5.89%), 03 Oct 2000 (-4.26%), 20 Oct 2000 (-0.52%)
1999317 Feb 1999 (-6.16%), 21 Apr 1999 (-5.84%), 07 Oct 1999 (-5.07%)
1998527 May 1998 (-4.34%), 30 Jun 1998 (-5.41%), 14 Sep 1998 (-3.82%), 19 Oct 1998 (-4.57%), 27 Oct 1998 (-4.28%)
1997217 Apr 1997 (-2.36%), 30 Sep 1997 (-4.25%)
1996503 Apr 1996 (-1.49%), 20 Jun 1996 (-3.54%), 12 Jul 1996 (-4.15%), 18 Jul 1996 (-3.85%), 29 Aug 1996 (-3.49%)
1995412 Jul 1995 (14.15%), 13 Oct 1995 (11.51%), 08 Dec 1995 (-2.89%), 11 Dec 1995 (0.3%)



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