Study: Buy KAJARIACER 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 KAJARIACER 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 KAJARIACER 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
181044.9262283445.166201.2540219.38-2723.24-9271.522.281.880.0371307.18
214833062303248.398787.3454113.35-3602.81-15361.892.442.290.0482392.43
314647762372559.687036.7536966.82-4555.3-13432.841.542.290.0542362.53
415213862352756.457662.4931595.58-4298.1-17014.931.782.310.0612453.84
510212262352756.458140.4527804.11-6770.15-19426.751.21.560.0361647.13
6113043623131501013435294.12-6487.45-21192.051.561.560.0341823.27
799047.0962342854.849620.8337914.69-8145.04-25968.991.181.430.0281597.53
817359362392362.99426.943532.34-8437.21-25320.511.121.890.0492799.89
918382062402264.529725.7641791.04-9327.74-28360.411.041.90.052964.84
1026740262402264.5211771.7759950.25-9248.6-32200.891.272.310.0644312.93
Although, strategy looks good but profit factor on day 7 is less than minimum accepted value so avoid this, see below for further analysis.
KAJARIACER Performance, X=10, Profit Factor:2.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Apr 2019 (4.07%)
2018221 Aug 2018 (-2.49%), 19 Dec 2018 (4.81%)
2017202 Jan 2017 (5.87%), 09 May 2017 (-6.27%)
2016602 Mar 2016 (0.9%), 01 Jun 2016 (5.36%), 08 Jul 2016 (-0.05%), 01 Aug 2016 (-1.02%), 23 Aug 2016 (5.12%), 28 Sep 2016 (4.19%)
2015223 Nov 2015 (2.11%), 15 Dec 2015 (0.46%)
2014324 Jan 2014 (1.94%), 22 Aug 2014 (3.71%), 07 Oct 2014 (-6.85%)
2013231 May 2013 (2.25%), 02 Sep 2013 (-5.27%)
2012428 Feb 2012 (4.52%), 19 Mar 2012 (0.6%), 10 Apr 2012 (6.09%), 12 Sep 2012 (9.89%)
2011428 Apr 2011 (-1.52%), 27 Jun 2011 (3.66%), 07 Sep 2011 (9.21%), 13 Oct 2011 (0.0%)
2010222 Apr 2010 (3.94%), 06 Sep 2010 (1.14%)
2009405 Jan 2009 (-4.6%), 04 May 2009 (4.31%), 15 Oct 2009 (-5.71%), 24 Dec 2009 (6.21%)
2008108 Sep 2008 (-6.49%)
2007222 Jun 2007 (6.03%), 19 Nov 2007 (8.72%)
2006330 Aug 2006 (0.29%), 18 Sep 2006 (3.6%), 29 Dec 2006 (-5.56%)
2005808 Apr 2005 (-1.07%), 10 May 2005 (13.38%), 10 Jun 2005 (9.05%), 24 Jun 2005 (2.51%), 11 Jul 2005 (12.98%), 17 Aug 2005 (-4.83%), 13 Sep 2005 (2.34%), 27 Sep 2005 (-0.57%)
2004106 Aug 2004 (2.14%)
2003404 Jul 2003 (17.85%), 13 Aug 2003 (5.86%), 26 Sep 2003 (29.98%), 21 Nov 2003 (11.4%)
2002111 Apr 2002 (2.24%)
2000128 Nov 2000 (7.33%)
1999229 Jan 1999 (-16.1%), 01 Mar 1999 (-2.72%)
1998105 Jan 1998 (-4.46%)
1997118 Feb 1997 (3.35%)
1996216 Jan 1996 (-10.24%), 13 Feb 1996 (6.04%)
1995329 Sep 1995 (-4.91%), 01 Nov 1995 (-10.45%), 12 Dec 1995 (-0.56%)

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
atrnil38.9527483766234334.8527286.0144147.14-8203.29-14311.923.331.780.0494164.19
atrnil27.1622620169323746.3816791.5529431.43-8408.88-14311.9221.730.0513278.28
atrtrail35.6715556772254734.7217566.4835804.84-6033.93-14311.922.911.550.0342160.66
atrtrail25.0111937074274736.4914992.0229431.43-6072.65-14311.922.471.420.0291613.11
atrtrail-16.4687746.1270234732.8616076.7175698.64-6000.39-14311.922.681.310.0181253.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 34.85%, which is not acceptable. Avoid this strategy. Average return per trade is 2.08%, which is very good. Sharpe Ratio is 0.049, 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.
KAJARIACER Performance, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Apr 2019 (-2.71%)
2018221 Aug 2018 (10.55%), 19 Dec 2018 (10.93%)
2017302 Jan 2017 (11.84%), 09 May 2017 (7.67%), 10 May 2017 (-3.16%)
2016502 Mar 2016 (-3.55%), 03 Mar 2016 (11.28%), 01 Jun 2016 (6.63%), 08 Jul 2016 (7.82%), 28 Sep 2016 (-2.91%)
2015123 Nov 2015 (-3.67%)
2014424 Jan 2014 (-3.28%), 05 Feb 2014 (-2.97%), 22 Aug 2014 (-2.9%), 07 Oct 2014 (-3.94%)
2013231 May 2013 (-3.55%), 02 Sep 2013 (-4.63%)
2012428 Feb 2012 (-3.76%), 19 Mar 2012 (-3.73%), 10 Apr 2012 (-3.86%), 12 Sep 2012 (10.46%)
2011428 Apr 2011 (-4.0%), 27 Jun 2011 (-3.22%), 07 Sep 2011 (12.89%), 13 Oct 2011 (-3.74%)
2010222 Apr 2010 (-3.88%), 06 Sep 2010 (9.74%)
2009505 Jan 2009 (-6.86%), 04 May 2009 (-5.67%), 05 May 2009 (17.9%), 15 Oct 2009 (-4.56%), 24 Dec 2009 (13.07%)
2008208 Sep 2008 (-5.68%), 09 Sep 2008 (-6.02%)
2007222 Jun 2007 (16.56%), 19 Nov 2007 (-7.16%)
2006230 Aug 2006 (17.01%), 29 Dec 2006 (-4.95%)
2005608 Apr 2005 (14.46%), 10 Jun 2005 (10.91%), 27 Jun 2005 (11.91%), 17 Aug 2005 (-4.75%), 13 Sep 2005 (-4.6%), 27 Sep 2005 (-5.65%)
2004106 Aug 2004 (-4.13%)
2003504 Jul 2003 (14.84%), 13 Aug 2003 (-6.75%), 26 Sep 2003 (-6.95%), 29 Sep 2003 (22.07%), 21 Nov 2003 (21.69%)
2002111 Apr 2002 (20.15%)
2000128 Nov 2000 (16.85%)
1999329 Jan 1999 (-4.31%), 01 Feb 1999 (-4.37%), 01 Mar 1999 (16.56%)
1998105 Jan 1998 (-3.79%)
1997118 Feb 1997 (-2.85%)
1996416 Jan 1996 (-2.67%), 17 Jan 1996 (-2.75%), 13 Feb 1996 (-2.86%), 14 Feb 1996 (-3.12%)
1995429 Sep 1995 (-2.42%), 10 Oct 1995 (-2.46%), 01 Nov 1995 (-4.34%), 12 Dec 1995 (-3.25%)



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