Study: Buy ITC 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 ITC 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 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
1-56810.164283643.752981.713689.69-3897.16-15609.50.770.6-0.037-887.66
2-64849.9364263840.624471.1915432.62-4765.81-16236.940.940.64-0.033-1013.28
320007.2264313348.445302.1317418.44-4374.51-13654.921.211.140.01312.61
426672.1764352954.695528.8116301.82-5752.98-14111.410.961.160.012416.75
524145.2464333151.566457.1819890.37-6094.89-18511.221.061.130.0096377.27
649975.1364362856.257197.7117175.67-7469.37-25241.350.961.240.018780.86
712563064382659.387962.2421757.62-6805.2-20404.131.171.710.0441962.97
812082064392560.948613.3119188.52-8603.97-27944.0811.560.0371887.81
912567264343053.1210491.7527810.95-7701.6-41609.271.361.540.0341963.62
1086004.7964382659.389296.2725140.96-10278.99-41200.140.91.320.0221343.82
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
atrnil327.1118848463154823.8134407.77289024-6825.69-16340.365.041.580.0162991.8
atrnil219.1510419968204829.4121129.79192682-6633.26-16340.363.191.330.0121532.34
atrtrail25.1283958.6677314640.2610988.1327818.73-5579.85-16340.361.971.330.0221090.37
atrtrail36.0415219.7677314640.268770.7428610.91-5579.85-16340.361.571.060.0045197.66
atrtrail-16.654145.8677314640.268413.5228191.56-5579.85-16340.361.511.020.001353.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 23.81%, which is not acceptable. Avoid this strategy. Average return per trade is 1.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Feb 2019 (5.76%), 22 May 2019 (-2.15%), 20 Jun 2019 (-1.76%), 26 Jul 2019 (-1.76%), 30 Aug 2019 (-2.41%)
2018604 Apr 2018 (5.24%), 29 Jun 2018 (-1.78%), 02 Jul 2018 (5.59%), 17 Oct 2018 (-2.86%), 14 Nov 2018 (-2.35%), 18 Dec 2018 (5.82%)
2017417 Aug 2017 (-2.53%), 12 Sep 2017 (-1.78%), 04 Oct 2017 (-1.98%), 24 Nov 2017 (-1.67%)
2016318 Oct 2016 (-1.87%), 19 Oct 2016 (-2.0%), 01 Dec 2016 (-2.66%)
2015721 Jan 2015 (8.27%), 01 Apr 2015 (-2.63%), 19 May 2015 (-2.23%), 29 May 2015 (-2.27%), 19 Jun 2015 (6.98%), 18 Sep 2015 (-2.29%), 24 Dec 2015 (-2.22%)
2014219 Jun 2014 (-2.01%), 02 Jul 2014 (6.22%)
2013517 Jan 2013 (5.96%), 02 Sep 2013 (-4.15%), 03 Sep 2013 (14.31%), 20 Nov 2013 (-2.46%), 29 Nov 2013 (-2.39%)
2011117 Feb 2011 (-2.79%)
2005111 Oct 2005 (144.51%)
2004127 May 2004 (-5.68%)
2003219 Feb 2003 (-2.28%), 28 Mar 2003 (5.79%)
2002523 Apr 2002 (-2.55%), 30 Apr 2002 (-2.79%), 03 Jun 2002 (-3.04%), 16 Oct 2002 (-2.75%), 15 Nov 2002 (6.22%)
2001526 Feb 2001 (-3.51%), 09 Mar 2001 (-4.3%), 15 Mar 2001 (-4.93%), 14 Jun 2001 (-2.81%), 04 Oct 2001 (17.58%)
2000304 Apr 2000 (-7.88%), 10 Apr 2000 (-7.81%), 05 May 2000 (-8.17%)
1999419 Aug 1999 (-3.3%), 08 Oct 1999 (-3.94%), 11 Oct 1999 (-4.19%), 10 Nov 1999 (-5.38%)
1998318 Jun 1998 (-5.25%), 19 Jun 1998 (-5.73%), 21 Aug 1998 (10.93%)
1996219 Sep 1996 (8.88%), 20 Nov 1996 (-5.19%)
1995428 Mar 1995 (-4.83%), 18 May 1995 (-4.35%), 08 Dec 1995 (-4.04%), 11 Dec 1995 (-4.13%)



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