Study: Buy INDIACEM when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy INDIACEM when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-397.63164122512244.1628316.73-4114.52-15472.132.980.99-0.00053-24.85
2-708.421661037.512459.319716.83-7546.42-26621.161.650.99-0.00076-44.28
314049.72167943.7510207.9417829.05-6378.43-28668.941.61.240.017878.11
4-38306.911661037.511110.4221706.48-10496.94-33447.11.060.64-0.036-2394.18
5-36313.351688501034024232.08-14879.17-36664.990.690.69-0.029-2269.58
6-295.9416885013841.8224436.86-13878.81-38680.3211-0.00022-18.5
724233.37169756.2515325.1626813.88-16241.87-38907.850.941.210.0161514.59
835862.9316885021757.4732807.57-17274.61-32144.651.261.260.0222241.43
956712.5169756.2519105.7245662.1-16462.71-27303.751.161.490.0343544.53
1046430.0316885021245.940410.96-15442.14-27076.221.381.380.0282901.88
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
atrtrail23.4763867.79178947.0618757.6124648-9577.01-15933.431.961.740.0533756.93
atrnil23.6560405.46178947.0618757.6124648-9961.71-15933.431.881.670.0493553.26
atrtrail34.1846627.58178947.0616602.5935612.36-9577.01-15933.431.731.540.0372742.8
atrtrail-15.1233387.4816885013860.7525198.93-9687.31-15933.431.431.430.0332086.72
atrnil35.5925123.581751229.4128471.4236910.29-9769.46-15933.432.911.210.0171477.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Apr 2019 (-4.5%)
2017130 Jan 2017 (6.42%)
2016211 Jan 2016 (-4.91%), 09 May 2016 (-2.04%)
2014101 Apr 2014 (8.76%)
2012314 Feb 2012 (8.1%), 15 Feb 2012 (-4.35%), 11 Oct 2012 (8.75%)
2010119 Apr 2010 (6.51%)
2009122 May 2009 (12.3%)
2007108 Aug 2007 (-5.15%)
2004127 Sep 2004 (-3.99%)
2003118 Jun 2003 (12.32%)
2001212 Jan 2001 (11.87%), 18 Dec 2001 (-6.27%)
1999126 May 1999 (-7.97%)
1997124 Jul 1997 (-3.93%)



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