Study: Buy IRB when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy IRB when RSI is above 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 IRB 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
134255.4566313546.975074.925047.44-3516.19-9309.481.441.280.027519.02
274134.2766343251.527097.6834307.4-5224.59-17857.141.361.440.0371123.25
343930.2166303645.459086.9535597.72-6352.18-34814.391.431.190.019665.61
426728.366323448.4810269.9138924.05-8879.67-36699.371.161.090.0092404.97
559041.3866293743.9413988.9341534.81-9368.58-31962.031.491.170.018894.57
6-15368.7966303645.4513268.9963377.61-11484.4-27457.881.160.96-0.0043-232.86
753487.8666283842.4216553.3472106.26-10789.62-31481.021.531.130.013810.42
858518.3666313546.9714859.8978254.27-11489.67-31690.781.291.150.014886.64
943081.2266293743.9418092.4183415.56-13016.18-54339.961.391.090.0094652.75
1065888.116633335016396.6688576.85-14400.05-57414.11.141.140.013998.3
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
atrnil37.9170894.5567184926.8726856.8647285.4-8418.96-11960.273.191.170.0191058.13
atrtrail34.1144453.3572225030.5615824.5247285.4-6073.72-11153.12.611.150.015617.41
atrnil25.0356102.3272254734.7217969.1531523.6-8364.39-12877.832.151.140.018779.2
atrtrail-14.7735922.5371215029.5816171.8474216.21-6073.72-11153.12.661.120.011505.95
atrtrail23.6129103.0774225229.7315500.431523.6-5998.19-11153.12.581.090.011393.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 26.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
IRB Performance, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Feb 2019 (16.33%), 02 Apr 2019 (-4.2%), 03 Apr 2019 (-4.61%), 20 May 2019 (-5.86%)
2018527 Feb 2018 (-3.43%), 30 Apr 2018 (-4.14%), 02 May 2018 (-4.49%), 26 Jul 2018 (-4.66%), 12 Dec 2018 (-4.78%)
2017515 Mar 2017 (-2.9%), 05 Apr 2017 (-2.5%), 18 Apr 2017 (-3.46%), 23 Oct 2017 (7.93%), 18 Dec 2017 (11.41%)
2016727 Jan 2016 (-3.88%), 01 Mar 2016 (-4.05%), 01 Apr 2016 (-2.93%), 09 May 2016 (-2.76%), 27 May 2016 (-2.88%), 30 Jun 2016 (-2.43%), 18 Aug 2016 (7.93%)
20151019 Jan 2015 (-4.53%), 02 Mar 2015 (-4.36%), 24 Mar 2015 (-4.07%), 14 May 2015 (-4.38%), 23 Jun 2015 (-3.5%), 16 Jul 2015 (9.83%), 19 Aug 2015 (-4.06%), 21 Sep 2015 (-5.18%), 19 Nov 2015 (-3.38%), 21 Dec 2015 (9.74%)
2014731 Mar 2014 (10.92%), 09 May 2014 (12.55%), 12 May 2014 (13.63%), 30 Jun 2014 (12.72%), 18 Jul 2014 (-5.52%), 04 Sep 2014 (-3.89%), 30 Dec 2014 (-3.73%)
2013703 Jan 2013 (-3.51%), 06 Feb 2013 (-4.51%), 02 Apr 2013 (-4.65%), 16 May 2013 (-3.34%), 22 Oct 2013 (-4.85%), 01 Nov 2013 (14.52%), 18 Nov 2013 (-5.98%)
2012610 Jan 2012 (-5.14%), 15 Feb 2012 (-4.71%), 14 Mar 2012 (-5.85%), 17 Apr 2012 (-4.81%), 16 Aug 2012 (-4.54%), 14 Sep 2012 (11.23%)
2011325 Jan 2011 (-4.21%), 12 Oct 2011 (-4.34%), 03 Nov 2011 (-4.11%)
2010615 Feb 2010 (13.55%), 07 Apr 2010 (-3.38%), 21 Apr 2010 (-3.89%), 26 Apr 2010 (-3.93%), 10 Jun 2010 (12.11%), 30 Jul 2010 (-3.49%)
2009610 Feb 2009 (-5.85%), 07 May 2009 (23.64%), 26 Jun 2009 (23.08%), 25 Aug 2009 (16.97%), 06 Oct 2009 (13.62%), 10 Nov 2009 (-5.25%)
2008101 Sep 2008 (-5.34%)



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