Study: Buy KAJARIACER 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 KAJARIACER 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 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
135205.7876393751.325253.5237826.09-4585.99-18760.471.151.210.012463.23
262321.4976344244.749670.2485652.17-6344.44-17196.261.521.230.013820.02
310998476364047.3711407.19102174-7516.89-27405.251.521.370.0191447.15
477487.1676373948.6811834.0475217.39-9240.31-39650.151.281.220.0141019.57
511166676403652.6312238.2573043.48-10496.23-30658.441.171.30.0191469.28
610103976413553.9512173.0759767.44-11373.06-35986.341.071.250.0171329.46
710033176373948.6813614.3764418.6-10343.61-33254.531.321.250.0161320.14
815373976344244.7416153.973488.37-9416.51-34110.791.721.390.0242022.88
914257776344244.7417416.0987441.86-10704.04-45267.491.631.320.021876.02
1020551576344244.7419276.68109535-10711.71-42503.261.81.460.0252704.15
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-16.4912001291296231.8722715.5695353.13-8689.34-21413.572.611.220.0131318.82
atrtrail35.4210871.891296231.8718952.0948146.88-8689.34-21413.572.181.020.0016119.47
atrtrail24.65-21026.7492316133.716494.336177.89-8727.05-21413.571.890.96-0.0035-228.55
atrnil27.26-34832.4288276130.6822864.12102245-10691.21-28223.292.140.95-0.0044-395.82
atrnil310.93-75543.8885196622.3533670.0854266.83-10837.5-51122.73.110.89-0.0092-888.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 31.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jul 2019 (-3.12%), 08 Aug 2019 (0.43%)
2018727 Feb 2018 (-3.05%), 14 May 2018 (0.11%), 12 Jul 2018 (-3.03%), 13 Jul 2018 (-3.11%), 26 Jul 2018 (2.61%), 16 Oct 2018 (-5.59%), 25 Oct 2018 (23.67%)
2017121 Aug 2017 (14.02%)
2016228 Nov 2016 (-1.29%), 30 Dec 2016 (21.84%)
2015209 Jul 2015 (2.37%), 04 Sep 2015 (30.09%)
2014217 Nov 2014 (-1.6%), 29 Dec 2014 (2.09%)
2013507 Feb 2013 (-3.63%), 20 Feb 2013 (-3.03%), 28 Mar 2013 (-2.41%), 22 Apr 2013 (22.63%), 03 Sep 2013 (-1.5%)
2012112 Jun 2012 (5.69%)
2011101 Dec 2011 (-1.81%)
2010130 Dec 2010 (-2.67%)
2009426 Feb 2009 (-6.45%), 27 Feb 2009 (-7.15%), 13 Mar 2009 (-6.91%), 08 Jul 2009 (-6.61%)
2008408 Jul 2008 (3.48%), 23 Oct 2008 (-10.71%), 29 Oct 2008 (-8.93%), 04 Dec 2008 (2.29%)
2007408 Mar 2007 (-4.71%), 04 Jun 2007 (-5.75%), 21 Jun 2007 (42.82%), 16 Nov 2007 (6.46%)
2006523 Feb 2006 (-0.52%), 16 Jun 2006 (-5.14%), 04 Jul 2006 (-7.02%), 14 Jul 2006 (13.18%), 01 Dec 2006 (0.31%)
2005110 Nov 2005 (12.62%)
2004401 Mar 2004 (-7.58%), 30 Mar 2004 (14.51%), 15 Jun 2004 (-5.14%), 28 Jun 2004 (7.28%)
2003316 Jan 2003 (2.61%), 03 Feb 2003 (-4.37%), 11 Mar 2003 (-3.91%)
2002211 Feb 2002 (9.33%), 14 Aug 2002 (-6.92%)
2001809 Feb 2001 (-7.14%), 15 Feb 2001 (-6.69%), 07 Mar 2001 (-7.83%), 15 Mar 2001 (-8.58%), 19 Apr 2001 (-5.98%), 02 May 2001 (-5.79%), 24 Aug 2001 (-3.63%), 05 Oct 2001 (-1.32%)
2000529 Mar 2000 (-7.62%), 09 May 2000 (-5.07%), 27 Jun 2000 (-4.59%), 04 Aug 2000 (-0.2%), 13 Oct 2000 (-5.31%)
1999217 May 1999 (9.18%), 23 Jun 1999 (-4.58%)
1998902 Jan 1998 (-1.6%), 19 Feb 1998 (-7.87%), 20 Feb 1998 (6.19%), 25 Mar 1998 (47.68%), 02 Jul 1998 (-7.22%), 03 Jul 1998 (18.74%), 21 Aug 1998 (-5.51%), 09 Dec 1998 (-4.93%), 30 Dec 1998 (2.68%)
19971117 Apr 1997 (-3.68%), 17 Jun 1997 (-2.48%), 10 Jul 1997 (-3.45%), 25 Jul 1997 (1.66%), 13 Aug 1997 (-3.18%), 25 Aug 1997 (-2.96%), 26 Aug 1997 (-3.01%), 09 Sep 1997 (-2.34%), 10 Sep 1997 (-1.76%), 13 Oct 1997 (-2.62%), 27 Nov 1997 (-1.36%)
1996423 Jul 1996 (-2.16%), 24 Jul 1996 (-2.21%), 02 Sep 1996 (-1.48%), 15 Oct 1996 (2.82%)
1995128 Jun 1995 (-1.56%)



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