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

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In this study, we evaluate the performance of strategy "Buy INDIACEM 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 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
1-1304.7692395342.395030.6323414.63-3726.4-11520.191.350.99-0.00049-14.18
268198.9592484452.176316.537560.98-5340.76-18382.681.181.290.019741.29
312420792494353.268370.7444812.22-6650.2-23723.151.261.430.0271350.08
488956.5924646509248.1433227.24-7314.3-22720.761.261.260.019966.92
524172392484452.1711078.6751941.44-6592.12-23613.191.681.830.0442627.42
624199092514155.4311736.6772183.32-8697.07-31947.481.351.680.0372630.33
72248799246465013034.4853341.82-8145.8-35010.941.61.60.0352444.34
819029092415144.5715075.3363017.19-8388.22-42888.41.81.440.0272068.37
921968692434946.7415740.0274092.93-9329.29-36323.851.691.480.0282387.89
1027899392484452.1715432.7373204.9-10494.96-46894.81.471.60.0343032.53
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
atrnil310.19293067102307229.4133617.8474734.69-9937.05-19410.663.381.410.0282873.21
atrnil27.31217517102396338.2421695.149823.13-9977.65-19410.662.171.350.0272132.52
atrtrail25.32153201103406338.8315209.6939934.91-7225.18-19410.662.111.340.0231487.39
atrtrail-16.37137631103396437.8615326.1461815.35-7188.88-19410.662.131.30.0181336.23
atrtrail35.98100589103396437.8614376.3559902.36-7188.88-19410.6621.220.015976.59

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 29.41%, which is not acceptable. Avoid this strategy. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Feb 2019 (-4.28%), 08 Feb 2019 (-4.6%), 13 Feb 2019 (14.44%)
2018920 Feb 2018 (-4.76%), 13 Mar 2018 (-4.28%), 27 Mar 2018 (-4.04%), 28 May 2018 (-4.21%), 26 Jun 2018 (-4.07%), 27 Jun 2018 (-4.35%), 05 Jul 2018 (-4.31%), 23 Jul 2018 (14.93%), 30 Oct 2018 (-5.79%)
2017301 Sep 2017 (-4.08%), 23 Nov 2017 (-3.76%), 11 Dec 2017 (-3.43%)
2016302 Mar 2016 (17.69%), 01 Dec 2016 (-5.83%), 02 Dec 2016 (18.75%)
2015218 May 2015 (-4.61%), 18 Jun 2015 (13.84%)
2014405 Feb 2014 (-4.65%), 20 Feb 2014 (13.41%), 27 Oct 2014 (-5.07%), 24 Dec 2014 (18.53%)
2013629 Jan 2013 (-3.0%), 22 Feb 2013 (-3.67%), 11 Apr 2013 (-3.7%), 18 Jun 2013 (-5.08%), 01 Jul 2013 (-5.23%), 16 Aug 2013 (-6.96%)
2012204 Jan 2012 (14.07%), 25 May 2012 (-5.43%)
2011714 Feb 2011 (-4.38%), 03 Mar 2011 (13.1%), 31 May 2011 (-3.4%), 05 Jul 2011 (-3.78%), 11 Aug 2011 (-4.59%), 02 Sep 2011 (16.01%), 28 Dec 2011 (-4.58%)
2010303 Jun 2010 (-3.68%), 06 Aug 2010 (7.72%), 15 Dec 2010 (-4.76%)
2009417 Mar 2009 (18.58%), 31 Aug 2009 (-4.43%), 17 Sep 2009 (-3.54%), 16 Nov 2009 (-4.53%)
2008406 Feb 2008 (-9.71%), 26 Mar 2008 (-7.42%), 16 May 2008 (-4.88%), 18 Jul 2008 (19.05%)
2007115 Mar 2007 (-8.86%)
2006119 Jun 2006 (37.37%)
2004516 Feb 2004 (-6.29%), 08 Mar 2004 (-4.98%), 26 Mar 2004 (-6.51%), 28 Jun 2004 (-6.39%), 12 Nov 2004 (9.03%)
2003218 Feb 2003 (-3.4%), 03 Apr 2003 (13.98%)
2002708 Jan 2002 (-5.87%), 27 Feb 2002 (-4.91%), 04 Mar 2002 (-5.29%), 28 Mar 2002 (-4.18%), 06 Jun 2002 (12.75%), 16 Aug 2002 (-4.87%), 03 Sep 2002 (-5.67%)
2001306 Apr 2001 (29.95%), 09 Jul 2001 (16.08%), 28 Sep 2001 (16.11%)
2000704 Jan 2000 (-6.36%), 27 Jan 2000 (-7.0%), 24 Mar 2000 (19.77%), 24 May 2000 (29.53%), 28 Aug 2000 (-5.19%), 13 Sep 2000 (-4.39%), 27 Oct 2000 (12.61%)
1999423 Feb 1999 (-5.82%), 24 Feb 1999 (19.63%), 11 Oct 1999 (22.39%), 24 Dec 1999 (-6.77%)
1998620 Feb 1998 (13.37%), 26 Mar 1998 (17.76%), 01 Jul 1998 (-8.39%), 21 Aug 1998 (-4.2%), 31 Oct 1998 (-6.48%), 10 Nov 1998 (-5.76%)
1997813 Feb 1997 (-6.36%), 21 Apr 1997 (-4.73%), 08 May 1997 (-4.07%), 02 Jun 1997 (8.66%), 23 Sep 1997 (-3.32%), 15 Oct 1997 (-3.57%), 10 Dec 1997 (-4.16%), 11 Dec 1997 (-4.59%)
1996615 Feb 1996 (-8.04%), 18 Apr 1996 (-5.74%), 03 Jun 1996 (11.18%), 22 Aug 1996 (-3.12%), 15 Oct 1996 (-4.1%), 11 Dec 1996 (13.97%)
1995225 Jul 1995 (-2.17%), 18 Dec 1995 (-3.3%)



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