Study: Buy INDIACEM 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 INDIACEM 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 INDIACEM 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
133329.34281414507393.2516064.26-5012.58-13858.141.471.470.0331190.33
25037.8128151353.576805.9315215.6-7465.47-16699.030.911.050.0041179.92
344114.5528151353.5711268.1938853.5-9608.33-26269.821.171.350.0241575.52
447145.682814145011123.6331974.52-7756.09-20155.291.431.430.0281683.77
510253728161257.1412463.8335933.5-8073.65-23780.241.542.060.0523662.05
613462328151353.5717200.155986.51-9490.65-25338.251.812.090.0524807.97
72098872814145022370.3686340.64-7378.44-27798.283.033.030.0667495.96
819836628151353.5721014.7975548.06-8988.93-28864.292.342.70.0667084.49
922530128161257.1421017.8263406.41-9248.72-27962.282.273.030.0788046.45
1026078728181064.2921246.3280607.08-12164.71-30750.311.753.140.0799313.81
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
INDIACEM Performance, X=10, Profit Factor:3.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Mar 2019 (1.75%)
2018124 Jul 2018 (4.1%)
2017105 Jun 2017 (3.15%)
2016129 Jun 2016 (3.1%)
2014114 May 2014 (23.12%)
2013201 Apr 2013 (-1.53%), 27 Dec 2013 (-9.24%)
2012221 Mar 2012 (0.13%), 03 Dec 2012 (-0.73%)
2010109 Jul 2010 (-3.43%)
2009216 Mar 2009 (1.06%), 19 May 2009 (20.29%)
2007116 Oct 2007 (-7.47%)
2006201 Mar 2006 (4.21%), 05 Apr 2006 (20.27%)
2005304 Feb 2005 (-2.98%), 10 May 2005 (7.97%), 07 Nov 2005 (3.43%)
2003327 Jun 2003 (-9.51%), 03 Nov 2003 (40.3%), 26 Dec 2003 (3.74%)
2001301 Jan 2001 (-8.7%), 24 Jan 2001 (10.23%), 20 Nov 2001 (21.37%)
1999207 Jun 1999 (0.3%), 04 Aug 1999 (22.7%)
1997106 Aug 1997 (-15.38%)
1995118 Aug 1995 (-1.85%)

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
atrtrail34.2653528.734112332.3518563.8237719.88-6551.01-13497.522.831.360.0231574.37
atrtrail-14.8247569.5734112332.3518022.0870859.79-6551.01-13497.522.751.320.0181399.1
atrtrail23.9435030.5635122334.2915475.3225146.59-6551.01-13497.522.361.230.0171000.87
atrnil37.7440131.733492526.4729853.637719.88-9142.03-13497.523.271.180.0141180.34
atrnil25.4934203.2635132237.1418523.4825146.59-9391-13497.521.971.170.015977.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 32.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
INDIACEM Performance, Profit Factor:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Mar 2019 (-1.26%)
2018124 Jul 2018 (-0.61%)
2017105 Jun 2017 (-0.55%)
2016129 Jun 2016 (2.94%)
2014214 May 2014 (-4.26%), 15 May 2014 (13.39%)
2013301 Apr 2013 (-3.67%), 12 Apr 2013 (-0.03%), 27 Dec 2013 (-2.57%)
2012221 Mar 2012 (-4.8%), 03 Dec 2012 (-1.57%)
2010109 Jul 2010 (-1.99%)
2009216 Mar 2009 (-5.76%), 19 May 2009 (18.86%)
2007216 Oct 2007 (-4.6%), 17 Oct 2007 (-5.33%)
2006301 Mar 2006 (-4.39%), 02 Mar 2006 (15.07%), 05 Apr 2006 (11.94%)
2005304 Feb 2005 (-1.5%), 10 May 2005 (1.14%), 07 Nov 2005 (4.54%)
2003327 Jun 2003 (-5.5%), 03 Nov 2003 (15.81%), 26 Dec 2003 (0.3%)
2001301 Jan 2001 (-4.02%), 24 Jan 2001 (-1.38%), 20 Nov 2001 (12.85%)
1999307 Jun 1999 (-6.62%), 08 Jun 1999 (-6.75%), 04 Aug 1999 (5.27%)
1997206 Aug 1997 (-3.68%), 07 Aug 1997 (-4.2%)
1995118 Aug 1995 (-0.31%)



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