Study: Buy IDFC 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 IDFC 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 IDFC 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
121065.4467363153.734199.3818175.07-4197.16-12311.0911.160.015314.41
247236.3667333449.255801.0417573.22-4241.12-14243.031.371.330.029705.02
342165.5467323547.768050.8220275.34-6156.02-18145.831.311.20.02629.34
442376.9867353252.248786.0421950.34-8285.45-16826.131.061.160.018632.49
558306.5167363153.739482.1427851.75-9130.67-21499.761.041.210.022870.25
6-41644.5767323547.7610229.3530730.48-10542.4-28571.430.970.89-0.014-621.56
7-31746.3267323547.7611283.8224532.9-11223.68-27717.131.010.92-0.0095-473.83
8-32658.2967313646.2711054.8735899.55-10426.65-31378.31.060.91-0.0099-487.44
9-29558.8767293843.2813262.4224866.2-10899.18-36510.261.220.93-0.0084-441.18
105467.4767323547.7612848.1127782.29-11590.63-29957.111.111.010.001581.6
Although, strategy looks good but profit factor on day 1 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
atrnil25.0977341.6777304738.9615350.3236880.63-8152.51-15240.31.881.20.0221004.44
atrnil37.7579236.4371224930.9922135.735156.82-8321.41-18440.322.661.190.0211116.01
atrtrail23.587813.6379304937.9710779.5423437.88-6440.26-13811.311.671.020.002898.91
atrtrail34.13-41847.8475284737.339274.9332965.99-6415.87-13811.311.450.86-0.016-557.97
atrtrail-14.4-77648.2375284737.337996.3427593.26-6415.87-13811.311.250.74-0.032-1035.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 38.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
IDFC Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018117 Dec 2018 (7.2%)
2017815 Mar 2017 (5.35%), 26 Apr 2017 (4.81%), 27 Apr 2017 (-2.54%), 05 Jul 2017 (-3.14%), 01 Sep 2017 (6.03%), 09 Oct 2017 (-3.24%), 27 Nov 2017 (-3.22%), 21 Dec 2017 (5.6%)
2016709 May 2016 (8.25%), 30 May 2016 (-3.93%), 07 Jul 2016 (6.89%), 31 Aug 2016 (-3.48%), 01 Sep 2016 (7.56%), 28 Sep 2016 (-3.33%), 29 Sep 2016 (8.13%)
2015401 Jan 2015 (-2.55%), 15 Jan 2015 (5.47%), 02 Mar 2015 (-3.01%), 01 Apr 2015 (-2.97%)
2014701 Jan 2014 (-3.14%), 27 Mar 2014 (6.38%), 13 May 2014 (6.88%), 06 Jun 2014 (-4.14%), 01 Jul 2014 (6.64%), 11 Sep 2014 (-3.09%), 03 Dec 2014 (-2.77%)
2013403 Jan 2013 (-2.55%), 08 Mar 2013 (-3.65%), 16 May 2013 (-3.12%), 05 Dec 2013 (-3.57%)
2012916 Feb 2012 (8.45%), 17 Feb 2012 (-4.59%), 14 Mar 2012 (-4.53%), 09 Aug 2012 (-3.08%), 14 Aug 2012 (6.17%), 14 Sep 2012 (5.98%), 17 Sep 2012 (6.26%), 30 Oct 2012 (-3.2%), 29 Nov 2012 (5.77%)
2011229 Jun 2011 (7.05%), 02 Dec 2011 (-4.69%)
2010805 Jan 2010 (-3.05%), 07 Apr 2010 (-2.5%), 22 Apr 2010 (-3.21%), 03 Jun 2010 (-4.29%), 23 Aug 2010 (-3.05%), 08 Sep 2010 (5.49%), 14 Oct 2010 (-3.11%), 04 Nov 2010 (-3.0%)
2009911 Feb 2009 (-6.99%), 18 Mar 2009 (11.72%), 20 Jul 2009 (-6.9%), 04 Aug 2009 (-5.95%), 13 Aug 2009 (-5.52%), 04 Sep 2009 (8.04%), 07 Sep 2009 (-4.04%), 01 Oct 2009 (-3.75%), 09 Nov 2009 (8.11%)
2008204 Feb 2008 (-7.43%), 04 Dec 2008 (18.44%)
2007909 Apr 2007 (10.99%), 21 Jun 2007 (7.79%), 26 Jul 2007 (-3.83%), 31 Jul 2007 (-4.24%), 31 Aug 2007 (10.66%), 25 Oct 2007 (-7.62%), 20 Nov 2007 (-6.83%), 27 Nov 2007 (-6.91%), 03 Dec 2007 (-6.54%)
2006605 Apr 2006 (5.59%), 26 Jul 2006 (10.92%), 28 Sep 2006 (7.63%), 30 Oct 2006 (-3.34%), 31 Oct 2006 (-3.77%), 28 Dec 2006 (-4.3%)
2005102 Nov 2005 (-3.88%)



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