Study: Buy KOTAKBANK 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 KOTAKBANK 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 KOTAKBANK 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
190452.9763362757.145358.522797.93-3794.56-11209.351.411.880.0471435.76
255409.5463303347.627738.3453471.5-5355.77-17021.61.441.310.019879.52
377733.1563333052.389329.1258963.73-7670.92-26954.721.221.340.0211233.86
494527.2863333052.3811891.1769740.93-9929.37-34473.741.21.320.021500.43
593487.4163323150.7913558.7169740.93-10980.36-38410.091.231.270.0191483.93
632543.363283544.4413974.661761.66-10249.87-40024.61.361.090.0067516.56
724050.2863303347.6214144.2661968.91-12129.62-49127.391.171.060.0046381.75
85388.4963293446.0316089.9263626.94-13565.27-58076.421.191.010.0009185.53
970055.3663352855.5615397.4268571.43-16744.79-632890.921.150.011111.99
1013926463372658.7317319.3572207.79-19290.48-60361.740.91.280.0192210.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.88. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, 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.

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
nilnil-1190452.9763362757.145358.522797.93-3794.56-11209.351.411.880.0471435.76
atrnil310.2832276967264138.8129893.5464513.04-11084.48-23483.512.71.710.0464817.44
atrtrail-15.9923645970304042.8619704.3478755.34-8866.78-19324.482.221.670.0343377.99
atrtrail3513434371314043.6615706.8740790.6-8814.24-19324.481.781.380.0261892.16
atrnil26.8416115569303943.4819931.6643008.69-11199.86-23483.511.781.370.0292335.58
atrtrail24.4198371.6271323945.0713915.9233162.53-8895.84-19324.481.561.280.0221385.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.88. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, 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.
KOTAKBANK Performance, X=1, Profit Factor:1.88

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018328 Aug 2018 (0.27%), 11 Oct 2018 (4.63%), 09 Nov 2018 (1.6%)
2016302 Feb 2016 (-1.71%), 01 Mar 2016 (2.8%), 27 Dec 2016 (0.13%)
2015111 Sep 2015 (2.3%)
2014117 Feb 2014 (4.54%)
2013203 Apr 2013 (-2.79%), 14 Aug 2013 (-4.39%)
2012307 Jan 2012 (0.45%), 30 May 2012 (2.17%), 07 Aug 2012 (0.6%)
2011503 Jan 2011 (0.74%), 24 Jan 2011 (-2.19%), 11 Feb 2011 (5.3%), 25 May 2011 (1.52%), 02 Sep 2011 (0.71%)
2010118 Feb 2010 (-2.85%)
2009209 Feb 2009 (2.76%), 13 Mar 2009 (2.61%)
2008718 Feb 2008 (-0.73%), 25 Mar 2008 (8.49%), 18 Jun 2008 (-5.6%), 09 Jul 2008 (-0.44%), 04 Nov 2008 (1.24%), 28 Nov 2008 (-4.74%), 31 Dec 2008 (3.69%)
2007122 Mar 2007 (5.1%)
2006122 Jun 2006 (-1.43%)
2005115 Sep 2005 (0.49%)
2004325 May 2004 (-0.54%), 09 Jun 2004 (-1.11%), 08 Sep 2004 (0.03%)
2003221 Mar 2003 (5.82%), 07 May 2003 (-0.1%)
2002305 Jun 2002 (1.98%), 03 Oct 2002 (1.05%), 14 Nov 2002 (-0.71%)
2001218 Jul 2001 (-0.78%), 24 Oct 2001 (1.78%)
1999326 Feb 1999 (-1.08%), 30 Mar 1999 (0.0%), 05 May 1999 (0.64%)
1998524 Feb 1998 (3.64%), 09 Jun 1998 (9.72%), 10 Jul 1998 (-3.61%), 14 Aug 1998 (-1.71%), 11 Dec 1998 (-3.19%)
1997311 Apr 1997 (-1.06%), 02 Jun 1997 (-1.7%), 03 Dec 1997 (1.01%)
1996631 Jan 1996 (11.4%), 04 Apr 1996 (-0.88%), 03 Jun 1996 (-2.08%), 19 Jul 1996 (2.66%), 14 Nov 1996 (1.54%), 12 Dec 1996 (-2.61%)
1995531 Mar 1995 (-1.33%), 09 May 1995 (0.9%), 22 Jun 1995 (-1.86%), 13 Jul 1995 (1.29%), 27 Sep 1995 (0.88%)



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