Study: Buy JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
1-10471.456213537.55692.4820053.84-3714.67-19047.621.530.92-0.0076-186.99
281916.53562828508490.4825572.01-5564.89-18333.331.531.530.041462.8
313651356332358.938933.1324737.68-6881.74-18907.911.31.860.062437.74
411791356312555.3610905.0844279.95-8805.79-17267.391.241.540.0422105.59
510028856312555.3611584.8130150.04-10353.65-24308.471.121.390.0331790.85
613343956322457.1412000.1927959.04-10440.28-24563.591.151.530.0432382.85
713341656312555.3613678.439811.91-11624.57-36858.011.181.460.0372382.43
817661356322457.1414873.1767816.09-12472.02-40725.081.191.590.0423153.81
916378156302653.5716161.0675653.08-12348.11-32870.091.311.510.0382924.66
1024994356322457.1418224.5471891.33-13885.1-38178.911.311.750.0544463.27
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-17.3718924963293446.0315654.2962833.63-7786.06-12416.542.011.710.0473003.94
atrtrail36.5216074063293446.0314671.2548796.23-7786.06-12416.541.881.610.0442551.43
atrnil27.9221627763283544.4420950.0232614.4-10580.67-20123.41.981.580.0513432.97
atrtrail25.5115195063293446.0314368.1232530.82-7786.06-12416.541.851.570.0452411.9
atrnil312.2113786462194330.6531284.4548921.61-10617.23-20123.42.951.30.0272223.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 46.03%, 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 0.047, 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.
JISLJALEQS Performance, Profit Factor:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Feb 2019 (8.31%), 21 May 2019 (0.75%)
2018827 Feb 2018 (-5.74%), 14 Mar 2018 (-3.92%), 29 May 2018 (-4.2%), 07 Jun 2018 (-3.29%), 10 Jul 2018 (-3.54%), 25 Jul 2018 (6.19%), 16 Oct 2018 (8.44%), 14 Dec 2018 (-0.47%)
2017430 May 2017 (7.43%), 28 Aug 2017 (4.94%), 10 Oct 2017 (-3.3%), 24 Oct 2017 (11.55%)
2016502 Feb 2016 (-5.13%), 08 Feb 2016 (-5.04%), 24 Feb 2016 (1.35%), 05 Dec 2016 (-1.97%), 28 Dec 2016 (9.42%)
2015318 Feb 2015 (0.54%), 01 Apr 2015 (3.54%), 09 Sep 2015 (1.61%)
2014528 Feb 2014 (0.24%), 01 Sep 2014 (-0.94%), 17 Oct 2014 (8.82%), 05 Dec 2014 (-4.47%), 31 Dec 2014 (-2.76%)
2013421 Feb 2013 (-4.43%), 04 Mar 2013 (3.78%), 16 Apr 2013 (14.75%), 09 Jul 2013 (3.7%)
2012509 Apr 2012 (-5.46%), 16 May 2012 (-5.23%), 28 May 2012 (-5.24%), 17 Sep 2012 (6.24%), 29 Nov 2012 (8.95%)
20111015 Mar 2011 (-5.78%), 24 Mar 2011 (-3.58%), 04 Apr 2011 (-3.96%), 20 Apr 2011 (0.92%), 02 Jun 2011 (-3.93%), 24 Jun 2011 (7.57%), 01 Nov 2011 (-5.33%), 02 Nov 2011 (-5.64%), 08 Nov 2011 (-6.21%), 29 Dec 2011 (-0.95%)
2010122 Oct 2010 (-2.95%)
2008403 Apr 2008 (3.64%), 07 Jul 2008 (0.25%), 19 Sep 2008 (-4.86%), 23 Oct 2008 (-5.49%)
2007118 Apr 2007 (2.35%)
2006222 Jun 2006 (-5.4%), 27 Jul 2006 (-1.39%)
2005328 Jan 2005 (31.42%), 07 Jul 2005 (21.29%), 08 Nov 2005 (20.22%)
2004216 Feb 2004 (-2.92%), 29 Mar 2004 (14.43%)
2003407 Feb 2003 (-2.97%), 24 Mar 2003 (-2.08%), 10 Apr 2003 (-3.79%), 05 Sep 2003 (14.35%)



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