Study: Buy INDUSINDBK 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 INDUSINDBK 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 INDUSINDBK 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
1-41295.4442192345.243841.119032.26-4968.55-13730.360.770.64-0.041-983.22
2-39421.3342202247.625619.3732392.89-6900.4-27791.560.810.74-0.022-938.6
3-3938942202247.627134.7941170.32-8276.58-37882.550.860.78-0.018-937.83
4-58463.3342172540.489506.342842.22-8802.82-35070.311.080.73-0.024-1391.98
5-74204.9142182442.869801.0527226.46-10442.66-37607.610.940.7-0.03-1766.78
6-50473.6742192345.2411275.4727735.37-11509.02-38241.960.980.81-0.018-1201.75
78467.4942182442.8613888.644748.86-10063.64-31265.511.381.040.0028201.61
868594.9842192345.2414833.363410.14-9271.2-34077.751.61.320.021633.21
959712.9242222052.3813356.9587741.94-11707-30107.531.141.260.0161421.74
1048307.584221215014638.6976129.03-12338.33-39702.231.191.190.0131150.18
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
atrtrail-14.7-14907.4953173632.0815793.668332.16-7872.18-21853.292.010.95-0.004-281.27
atrnil36.56-41478.9148143429.1720800.4745482.38-9784.87-22132.552.130.88-0.012-864.14
atrtrail33.91-51889.2653173632.0813618.245482.38-7872.18-21853.291.730.82-0.017-979.04
atrtrail23.6-10366553173632.0810572.5630321.59-7872.18-21853.291.340.63-0.041-1955.95
atrnil25.12-14824852153728.8513827.4830321.59-9612.44-22132.551.440.58-0.053-2850.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 32.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDUSINDBK Performance, Profit Factor:0.947

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019423 May 2019 (-1.12%), 04 Jul 2019 (-0.96%), 30 Aug 2019 (-4.05%), 12 Sep 2019 (-2.93%)
2017516 Mar 2017 (1.63%), 27 Apr 2017 (-1.6%), 27 Jul 2017 (1.95%), 01 Sep 2017 (-1.69%), 04 Sep 2017 (5.28%)
2016102 Jun 2016 (-1.62%)
2015301 Jan 2015 (-1.16%), 13 Jan 2015 (3.74%), 28 Feb 2015 (0.17%)
2014412 May 2014 (5.1%), 22 Sep 2014 (-2.34%), 14 Oct 2014 (9.96%), 01 Dec 2014 (-0.61%)
2012316 Aug 2012 (-1.25%), 26 Nov 2012 (5.69%), 18 Dec 2012 (-1.85%)
2011126 May 2011 (1.87%)
2010720 Jan 2010 (-3.77%), 21 Jan 2010 (-2.02%), 21 Apr 2010 (-3.73%), 10 Aug 2010 (1.85%), 27 Aug 2010 (-3.04%), 03 Sep 2010 (10.23%), 31 Dec 2010 (-4.18%)
2009705 May 2009 (-6.66%), 19 May 2009 (34.17%), 19 Jun 2009 (1.13%), 20 Jul 2009 (-7.84%), 21 Jul 2009 (-6.42%), 08 Oct 2009 (13.0%), 11 Nov 2009 (-5.64%)
2008305 Feb 2008 (-10.52%), 06 Feb 2008 (-10.93%), 14 Feb 2008 (-10.47%)
2007308 Feb 2007 (-5.2%), 09 Feb 2007 (-5.86%), 13 Jul 2007 (-3.8%)
2006103 Apr 2006 (15.96%)
2005506 Jul 2005 (-4.58%), 07 Jul 2005 (-0.61%), 29 Jul 2005 (-3.81%), 05 Aug 2005 (-3.82%), 08 Aug 2005 (0.84%)
2004114 Jan 2004 (-2.71%)
2003322 Mar 2003 (-3.79%), 05 May 2003 (-0.77%), 21 Aug 2003 (-3.09%)
2002107 Mar 2002 (-7.27%)
1998130 Dec 1998 (21.69%)



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