Study: Buy IRB 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 IRB 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 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
118121.171881044.447287.9925047.44-4018.28-8698.741.811.450.0391006.73
239241.551881044.4411179.0134307.4-5019.05-13988.992.231.780.0582180.09
357961.981881044.4413053.1735597.72-4646.34-12369.872.812.250.0833220.11
461731.2218995013743.630132.83-6884.58-19718.31220.0813429.51
597946.991810855.5617344.8234079.7-9437.65-14131.011.842.30.15441.5
697284.851812666.6715153.5863377.61-14093.01-23255.811.082.150.0835404.71
71196441811761.1117881.4372106.26-11007.34-21041.51.622.550.0936646.9
81860851812666.6719388.3378254.27-7762.42-16261.322.550.1510338.08
91900121811761.1123469.6683415.56-9736.34-17290.962.413.790.1410556.22
102174931812666.6723585.5688576.85-10922.24-21516.072.164.320.1412082.96
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
IRB Performance, X=8, Profit Factor:5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Feb 2019 (11.7%), 20 May 2019 (0.2%)
2018230 Apr 2018 (-8.13%), 26 Jul 2018 (-4.27%)
2017315 Mar 2017 (-4.68%), 18 Apr 2017 (5.03%), 18 Dec 2017 (7.16%)
2015324 Mar 2015 (2.13%), 14 May 2015 (2.69%), 21 Sep 2015 (7.08%)
2014431 Mar 2014 (15.49%), 09 May 2014 (39.13%), 30 Jun 2014 (7.3%), 18 Jul 2014 (-3.39%)
2013122 Oct 2013 (3.92%)
2012310 Jan 2012 (14.51%), 15 Feb 2012 (-0.45%), 16 Aug 2012 (-2.36%)

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-14.9553615.891971236.8420371.8574216.21-7415.59-11031.322.751.60.0432821.89
atrtrail34.0542454.83208124016430.2332655.94-7415.59-11031.322.221.480.0452122.74
atrnil23.944914.112191242.8617345.0821770.63-9265.96-11726.571.871.40.0482138.77
atrtrail23.1419501.222181338.113743.9721770.63-6957.73-11031.321.981.220.025928.63
atrnil3627288.19206143025854.9632655.94-9131.54-11726.572.831.210.0251364.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Feb 2019 (11.59%), 20 May 2019 (0.87%)
2018330 Apr 2018 (-4.14%), 02 May 2018 (-4.49%), 26 Jul 2018 (-4.66%)
2017315 Mar 2017 (-1.89%), 18 Apr 2017 (-1.66%), 18 Dec 2017 (3.62%)
2015324 Mar 2015 (-2.58%), 14 May 2015 (0.25%), 21 Sep 2015 (-5.18%)
2014431 Mar 2014 (-1.37%), 09 May 2014 (37.11%), 30 Jun 2014 (12.11%), 18 Jul 2014 (-5.52%)
2013122 Oct 2013 (-4.85%)
2012310 Jan 2012 (-5.14%), 15 Feb 2012 (5.75%), 16 Aug 2012 (-3.02%)



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