Study: Buy ITC 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 ITC 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 ITC 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
161455.74169888152.073562.8526843.96-3112.04-19761.791.141.240.015363.64
235846.37169838649.114853.2632246-4267.15-24654.961.141.10.0064212.11
324395.64169917853.855374.0239476.42-5956.92-31164.140.91.050.0036144.35
437804.51169838649.116271.8141845-5613.43-29981.441.121.080.0052223.7
581485.33169947555.626646.0334656.14-7243.21-41862.620.921.150.0099482.16
6137563169917853.85741934573.03-6891.88-46410.891.081.260.016813.98
7138997169898052.668049.9924267.61-7218.15-41243.811.121.240.016822.47
8122094169907953.258773.729752.75-8449.86-42852.721.041.180.013722.45
971543.4169838649.119366.6428523.98-8208-45226.131.141.10.0072423.33
10101417169858450.39795.0535390.05-8704.31-54278.541.131.140.0097600.1
Although, strategy looks good but profit factor on day 3 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
atrnil37.942870351785712132.0217883.4634903.72-6052.25-16400.252.951.390.0281612.56
atrtrail34.8198720.671937711639.98562.4329255.38-4832.64-16400.251.771.180.013511.51
atrtrail24.1591249.11947711739.698526.5219503.59-4831.57-16400.251.761.160.013470.36
atrnil25.7686977.211896812135.9811848.9823269.15-5940.11-16400.251.991.120.01460.2
atrtrail-15.3555940.721917611539.798048.7231050.78-4832.71-16400.251.671.10.0075292.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 32.02%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Feb 2019 (-2.11%), 15 Apr 2019 (-1.7%), 21 May 2019 (-2.04%)
2018608 Jan 2018 (-1.34%), 19 Jan 2018 (-1.79%), 13 Mar 2018 (-2.04%), 19 Oct 2018 (-2.8%), 19 Nov 2018 (-2.25%), 19 Dec 2018 (-1.92%)
2017717 Mar 2017 (-2.29%), 26 Apr 2017 (-2.18%), 27 Apr 2017 (-2.25%), 17 May 2017 (6.0%), 30 Jun 2017 (6.03%), 03 Jul 2017 (-2.41%), 08 Dec 2017 (-1.63%)
2016928 Jan 2016 (-2.32%), 01 Mar 2016 (-3.45%), 18 Apr 2016 (-2.46%), 16 May 2016 (7.67%), 30 Jun 2016 (6.2%), 02 Aug 2016 (-2.3%), 03 Aug 2016 (-2.47%), 30 Aug 2016 (-1.81%), 27 Dec 2016 (7.03%)
20151220 Jan 2015 (-2.33%), 28 Jan 2015 (7.86%), 06 Apr 2015 (-2.64%), 18 May 2015 (-2.28%), 01 Jun 2015 (-2.25%), 31 Jul 2015 (-2.29%), 21 Aug 2015 (-2.37%), 24 Aug 2015 (-2.61%), 24 Sep 2015 (7.08%), 19 Nov 2015 (-2.22%), 20 Nov 2015 (-2.29%), 01 Dec 2015 (-2.22%)
2014710 Jan 2014 (-1.72%), 26 Feb 2014 (5.26%), 12 May 2014 (6.01%), 03 Jul 2014 (5.99%), 02 Sep 2014 (5.51%), 03 Nov 2014 (5.26%), 04 Dec 2014 (-2.24%)
2013418 Jan 2013 (5.88%), 12 Mar 2013 (-2.19%), 17 Apr 2013 (7.02%), 04 Jul 2013 (7.02%)
2012617 Feb 2012 (5.06%), 07 Jun 2012 (8.2%), 10 Jul 2012 (-2.38%), 31 Jul 2012 (-2.07%), 28 Sep 2012 (-2.06%), 27 Nov 2012 (-2.12%)
20111024 Mar 2011 (6.81%), 31 May 2011 (-2.33%), 28 Jun 2011 (6.72%), 01 Aug 2011 (-2.18%), 23 Aug 2011 (-2.76%), 05 Sep 2011 (-2.88%), 29 Sep 2011 (-2.63%), 07 Oct 2011 (8.19%), 02 Dec 2011 (-2.34%), 21 Dec 2011 (-2.42%)
20101427 Jan 2010 (-2.34%), 28 Jan 2010 (-2.43%), 04 Feb 2010 (-2.61%), 16 Feb 2010 (-2.26%), 08 Mar 2010 (7.82%), 14 May 2010 (-2.82%), 21 May 2010 (-3.06%), 27 May 2010 (9.67%), 01 Jul 2010 (-2.52%), 28 Jul 2010 (6.59%), 02 Sep 2010 (-2.17%), 16 Sep 2010 (6.32%), 03 Nov 2010 (-2.58%), 24 Dec 2010 (-2.21%)
20091023 Mar 2009 (10.05%), 05 May 2009 (-3.95%), 18 May 2009 (-4.32%), 03 Jun 2009 (-4.49%), 07 Jul 2009 (12.5%), 27 Aug 2009 (-4.23%), 24 Sep 2009 (9.82%), 23 Oct 2009 (-3.14%), 23 Nov 2009 (-3.09%), 29 Dec 2009 (-2.3%)
2008515 Feb 2008 (-5.92%), 26 Mar 2008 (14.51%), 01 Sep 2008 (-3.22%), 23 Sep 2008 (-3.9%), 04 Nov 2008 (-7.44%)
2007426 Jul 2007 (-2.6%), 28 Aug 2007 (11.94%), 14 Nov 2007 (12.7%), 03 Dec 2007 (13.83%)
2006424 Mar 2006 (8.83%), 03 Aug 2006 (12.24%), 16 Oct 2006 (-2.22%), 30 Nov 2006 (-2.44%)
2005602 Mar 2005 (-2.81%), 01 Apr 2005 (9.31%), 27 Jun 2005 (-2.2%), 28 Jun 2005 (7.17%), 08 Aug 2005 (-2.41%), 01 Sep 2005 (5.94%)
2004805 Jan 2004 (-2.8%), 06 Jan 2004 (9.12%), 16 Feb 2004 (-3.66%), 07 Apr 2004 (-2.89%), 08 Apr 2004 (-3.18%), 27 Jul 2004 (-3.39%), 09 Sep 2004 (6.67%), 03 Nov 2004 (-1.97%)
2003507 Jan 2003 (-2.13%), 19 May 2003 (-2.58%), 09 Jun 2003 (8.09%), 08 Aug 2003 (8.48%), 06 Oct 2003 (8.84%)
2002402 Jan 2002 (9.75%), 15 Feb 2002 (-2.78%), 05 Aug 2002 (-3.63%), 29 Aug 2002 (-3.35%)
2001705 Jan 2001 (-3.03%), 19 Jun 2001 (-3.11%), 13 Jul 2001 (-3.03%), 31 Jul 2001 (-2.86%), 05 Sep 2001 (-3.28%), 19 Nov 2001 (-4.06%), 05 Dec 2001 (-3.76%)
2000810 Feb 2000 (17.45%), 14 Mar 2000 (-8.2%), 03 Apr 2000 (-7.19%), 29 Jun 2000 (-4.45%), 14 Aug 2000 (-4.02%), 12 Sep 2000 (-3.21%), 12 Oct 2000 (10.86%), 27 Nov 2000 (8.1%)
1999711 Feb 1999 (-2.89%), 01 Mar 1999 (9.68%), 30 Apr 1999 (13.34%), 21 Jun 1999 (-3.61%), 18 Aug 1999 (-3.19%), 11 Nov 1999 (-5.21%), 22 Dec 1999 (-4.73%)
1998905 Feb 1998 (8.91%), 03 Apr 1998 (-2.69%), 20 May 1998 (-2.56%), 20 Aug 1998 (11.1%), 24 Sep 1998 (-2.86%), 26 Oct 1998 (-3.4%), 11 Nov 1998 (-2.74%), 08 Dec 1998 (-2.31%), 22 Dec 1998 (6.92%)
1997814 Feb 1997 (-3.86%), 03 Mar 1997 (-3.87%), 15 Apr 1997 (13.33%), 30 Jun 1997 (-3.78%), 04 Aug 1997 (-3.35%), 08 Sep 1997 (10.1%), 26 Nov 1997 (-4.8%), 22 Dec 1997 (-4.6%)
19961002 Feb 1996 (14.63%), 12 Feb 1996 (-5.17%), 04 Apr 1996 (15.5%), 14 May 1996 (-3.71%), 15 May 1996 (-3.81%), 06 Jun 1996 (9.7%), 02 Sep 1996 (-2.87%), 18 Sep 1996 (-2.83%), 29 Oct 1996 (-3.36%), 19 Nov 1996 (-4.91%)
1995529 Mar 1995 (-4.57%), 17 Jul 1995 (-2.94%), 18 Jul 1995 (9.43%), 14 Aug 1995 (-3.93%), 13 Sep 1995 (9.64%)



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