Study: Buy INDUSINDBK 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 INDUSINDBK 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 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
1-12070.9456272948.213451.9410514.19-3630.11-14310.650.950.89-0.01-215.55
2-3923.94562828505436.1517117.65-5576.29-13863.060.970.97-0.0023-70.07
3-1955.1856272948.217384.2337606.84-6942.39-29923.921.060.99-0.0008-34.91
424503.8456243242.8611293.7546581.2-7704.57-31783.61.471.10.0074437.57
533474.8656272948.2112204.3554878.05-10208.37-28909.551.21.110.0086597.77
628940.5656292751.7910545.2943495.93-10254.55-25757.581.031.10.0084516.8
728940.0556272948.2112038.7237888.2-10210.53-31542.71.181.10.0078516.79
826052.395628285012184.2138961.04-11253.77-49912.741.081.080.0065465.22
978566.356292751.7912884.9341925.47-10929.5-48484.851.181.270.0191402.97
1014363.5556253144.6415427.1550463.82-11977.91-51101.931.291.040.0032256.49
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-16.2512572864234135.9418479.3667162.48-7299.93-16155.32.531.420.0271964.51
atrtrail35.7287407.8664234135.9416813.2556939.97-7299.93-16155.32.31.290.021365.75
atrnil27.9510491863243938.121062.942704.69-10271.57-26568.982.051.260.0221665.37
atrtrail25.1969431.764234135.9416031.6837959.98-7299.93-16155.32.21.230.0191084.87
atrnil310.4924343.3263164725.431766.6963392.52-10296.25-26568.983.091.050.0043386.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 35.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
INDUSINDBK Performance, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Feb 2019 (-2.47%), 04 Feb 2019 (-0.16%), 22 May 2019 (4.08%), 03 Jul 2019 (0.56%), 03 Sep 2019 (0.42%)
2018312 Oct 2018 (-3.26%), 15 Oct 2018 (-3.43%), 02 Nov 2018 (-4.55%)
2017209 Nov 2017 (-2.07%), 21 Nov 2017 (-0.2%)
2016105 Dec 2016 (-0.14%)
2015215 May 2015 (3.38%), 10 Sep 2015 (2.69%)
2014118 Feb 2014 (0.62%)
2013204 Jul 2013 (4.22%), 22 Aug 2013 (-4.6%)
2012304 Jan 2012 (12.73%), 28 May 2012 (-3.94%), 14 Sep 2012 (13.74%)
2011420 Jan 2011 (-5.12%), 03 Feb 2011 (-5.34%), 14 Feb 2011 (1.51%), 02 Sep 2011 (2.12%)
2010130 Dec 2010 (-3.31%)
2009210 Feb 2009 (-4.06%), 13 Mar 2009 (9.57%)
2008727 Mar 2008 (7.64%), 16 Jun 2008 (-3.85%), 10 Jul 2008 (-8.08%), 26 Sep 2008 (-5.71%), 03 Oct 2008 (-6.7%), 03 Nov 2008 (-2.35%), 08 Dec 2008 (11.82%)
2007119 Mar 2007 (-0.76%)
2006513 Feb 2006 (-4.01%), 24 Feb 2006 (-3.03%), 10 Mar 2006 (-3.69%), 31 Mar 2006 (18.56%), 22 Jun 2006 (-2.76%)
2005204 Apr 2005 (1.82%), 07 Nov 2005 (5.21%)
2004517 Feb 2004 (-5.15%), 19 Mar 2004 (-5.49%), 25 Mar 2004 (33.58%), 20 Jul 2004 (-1.47%), 30 Aug 2004 (-1.15%)
2003208 Oct 2003 (-2.26%), 25 Oct 2003 (-4.14%)
2002308 Jan 2002 (-4.65%), 07 Aug 2002 (-3.79%), 28 Oct 2002 (-0.95%)
2001219 Jul 2001 (-3.6%), 20 Sep 2001 (-6.39%)
1999601 Apr 1999 (-6.14%), 08 Apr 1999 (-5.43%), 30 Apr 1999 (17.4%), 22 Jun 1999 (-3.9%), 01 Jul 1999 (23.19%), 29 Nov 1999 (20.67%)
1998507 Jul 1998 (2.52%), 29 Jul 1998 (-3.23%), 09 Sep 1998 (14.46%), 12 Nov 1998 (-5.91%), 30 Nov 1998 (-2.41%)



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