Study: Buy IDFC when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > idfc > 64

In this study, we evaluate the performance of strategy "Buy IDFC 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 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
110117.1745222348.894475.1614464.53-3840.71-12135.921.171.110.011224.83
2-3024.6745222348.896535.1720305.98-6382.54-26699.031.020.98-0.0021-67.21
3-71263.1445202544.446824.8116990.7-8310.37-45954.690.820.66-0.038-1583.63
4-75887.4445162935.568398.0718627.45-7250.23-36245.951.160.64-0.042-1686.39
5-25206.2845222348.898318.4824429.42-9052.73-31069.360.920.88-0.013-560.14
6-888.4345232251.1110128.9828039.22-10629.78-36786.860.951-0.00039-19.74
7-990.3845222348.899680.3425443.79-9302.51-26289.371.041-0.0005-22.01
828396.3745232251.1111452.0434534.02-10681.84-36199.421.071.120.012631.03
9-46223.1845232251.1112969.431542.29-15659.98-59252.670.830.87-0.015-1027.18
10-41475.2845222348.8914948.8742549.02-16102.19-57918.150.930.89-0.012-921.67
Although, strategy looks good but profit factor on day 4 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
atrnil26.3150340.6152203238.4618960.7945876.46-10277.35-24176.561.841.150.017968.09
atrnil39.86147.385015353025112.4341366.28-10586.83-24176.562.371.020.0019122.95
atrtrail35.08-24132.8752203238.4612050.5333472.61-8285.73-24176.561.450.91-0.01-464.09
atrtrail-15.63-25551.7252203238.4611979.5951097.6-8285.73-24176.561.450.9-0.01-491.38
atrtrail24.35-43934.9952203238.4611060.4227577.52-8285.73-24176.561.330.83-0.02-844.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Feb 2019 (8.9%), 23 May 2019 (10.29%)
2018720 Feb 2018 (-3.8%), 13 Mar 2018 (-3.18%), 11 Jun 2018 (-3.61%), 11 Jul 2018 (-3.41%), 18 Jul 2018 (7.8%), 16 Oct 2018 (-5.36%), 17 Oct 2018 (-5.75%)
2017214 Mar 2017 (5.3%), 22 Jun 2017 (-2.36%)
2016302 Mar 2016 (-5.01%), 21 Mar 2016 (7.31%), 01 Dec 2016 (-4.51%)
2015429 May 2015 (-2.46%), 16 Jun 2015 (5.35%), 10 Sep 2015 (7.08%), 26 Oct 2015 (-7.71%)
2014307 Feb 2014 (-3.12%), 14 Oct 2014 (-3.11%), 20 Oct 2014 (6.3%)
2013619 Feb 2013 (-3.12%), 07 Mar 2013 (-3.74%), 03 Apr 2013 (8.72%), 10 Jul 2013 (7.74%), 13 Aug 2013 (-4.9%), 06 Sep 2013 (13.79%)
2012205 Jan 2012 (9.41%), 11 May 2012 (-4.62%)
2011615 Feb 2011 (-4.58%), 16 Feb 2011 (-4.74%), 20 May 2011 (-3.4%), 23 May 2011 (-3.65%), 28 Jun 2011 (7.23%), 30 Aug 2011 (-5.12%)
2010316 Feb 2010 (6.35%), 02 Jun 2010 (8.89%), 21 Dec 2010 (-4.3%)
2009210 Feb 2009 (-7.19%), 19 Mar 2009 (11.97%)
2008819 Feb 2008 (-7.03%), 27 Mar 2008 (17.08%), 17 Jun 2008 (-6.07%), 08 Jul 2008 (-8.92%), 18 Jul 2008 (-9.04%), 21 Jul 2008 (22.94%), 02 Sep 2008 (-6.05%), 21 Oct 2008 (-12.09%)
2007130 Aug 2007 (11.16%)
2006202 Feb 2006 (6.0%), 15 Jun 2006 (-8.49%)
2005101 Nov 2005 (-4.01%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play