Study: Buy IDFC 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 IDFC 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 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
1-5190.9221111504495.0510962.34-4966.95-122510.90.9-0.011-235.95
221315.36221111507148.6717573.22-5210.91-14243.031.371.370.034968.88
3-11649.7922101245.457290.7120083.68-7046.41-18145.831.030.86-0.016-529.54
4-4511.3222101245.458758.9919414.23-7675.1-16826.131.140.95-0.0058-205.06
54578.822121054.558644.8120083.68-9915.9-18969.250.871.050.0055208.13
6-37148.5622101245.458542.4820334.73-10214.45-20917.190.840.7-0.041-1688.57
7-32783.6222101245.458691.1823933.05-9974.62-21643.020.870.73-0.036-1490.16
8-7742.95221111509008.9820585.77-9712.88-304190.930.93-0.0081-351.95
9-7534.132281436.3613856.0821642.51-8455.91-28373.471.640.94-0.0072-342.46
10-34419.122291340.9111176.1322608.7-10384.94-29957.111.080.75-0.033-1564.51
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
atrnil38.3550439.952381534.7821843.8732747.29-8287.4-15240.32.641.410.042193.04
atrnil24.0419809.5926101638.4614966.0721831.53-8115.69-15240.31.841.150.018761.91
atrtrail2314886.326101638.4611622.9221831.53-6333.93-13662.311.841.150.016572.55
atrtrail33.88-13223.42491537.59130.2323379.34-6359.7-13662.311.440.86-0.017-550.97
atrtrail-14.12-30045.732491537.57261.0916917.09-6359.7-13662.311.140.69-0.044-1251.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 34.78%, which is not acceptable. Avoid this strategy. Average return per trade is 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017226 Apr 2017 (7.22%), 06 Jul 2017 (-3.2%)
2016509 May 2016 (12.38%), 31 Aug 2016 (-3.48%), 01 Sep 2016 (11.33%), 28 Sep 2016 (-3.33%), 29 Sep 2016 (-4.07%)
2014327 Mar 2014 (9.57%), 06 Jun 2014 (-4.14%), 03 Dec 2014 (-2.77%)
2012216 Feb 2012 (-4.22%), 14 Mar 2012 (-4.53%)
2011229 Jun 2011 (10.58%), 02 Dec 2011 (-4.69%)
2010307 Apr 2010 (-2.5%), 08 Sep 2010 (8.23%), 14 Oct 2010 (-3.11%)
2007321 Jun 2007 (11.69%), 25 Oct 2007 (-7.62%), 20 Nov 2007 (-6.83%)
2006226 Jul 2006 (16.37%), 31 Oct 2006 (-3.77%)
2005102 Nov 2005 (-3.88%)



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