Study: Buy KSCL when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy KSCL when RSI is above 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 KSCL 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
1-13899366303645.454287.0714017.86-7433.48-1580600.580.48-0.031-2105.96
2-41501.3666353153.036771.5427454.49-8984.04-1574370.750.85-0.009-628.81
3-68984.4566363054.556896.0317184.23-10574.71-1592330.650.78-0.015-1045.22
4-29620.0766363054.558582.9823276.63-11286.92-1603410.760.91-0.0061-448.79
5-1733766343251.529983.0825716.56-11148.8-1589580.90.95-0.0035-262.68
614056966372956.0612941.3533482.54-11664.18-1535711.111.420.0282129.83
722644566422463.6412719.3534649.48-12823.67-1534870.991.740.0443430.98
818770266452168.1811517.2138732.21-15741.56-1519860.731.570.0372843.97
922733466442266.6712678.5442922.37-15023.7-1510680.841.690.0443444.46
1025544066422463.6414902.3553357.21-15435.77-1510240.971.690.0463870.31
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
atrtrail25.0320584076373948.6813976.9825713.1-7982.28-15393.341.751.660.0652708.41
atrtrail36.0418448973343946.5814248.2238569.65-7691.05-15393.341.851.620.0542527.24
atrtrail-17.1914735472333945.8313281.951898.33-7460.22-15393.341.781.510.0432046.58
atrnil26.241887047533424417503.9925713.1-9260.19-15393.341.891.490.0552516.05
atrnil39.0318172670234732.8626381.1238569.65-9043.39-15393.342.921.430.0452596.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 48.68%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, 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.
KSCL Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Jan 2019 (-3.46%), 20 May 2019 (-3.38%)
2018328 May 2018 (-0.64%), 20 Jul 2018 (6.68%), 09 Aug 2018 (0.48%)
2017801 Mar 2017 (6.72%), 25 Apr 2017 (-2.57%), 26 Apr 2017 (-2.43%), 29 May 2017 (7.53%), 27 Jul 2017 (6.35%), 22 Nov 2017 (-3.74%), 12 Dec 2017 (-3.48%), 15 Dec 2017 (-3.56%)
2016601 Feb 2016 (-4.48%), 01 Mar 2016 (10.36%), 18 Apr 2016 (-1.48%), 16 May 2016 (-2.65%), 28 Nov 2016 (1.16%), 30 Dec 2016 (-0.99%)
2015204 Feb 2015 (0.53%), 19 Mar 2015 (-2.95%)
2014924 Jan 2014 (-3.51%), 22 May 2014 (10.27%), 20 Jun 2014 (9.13%), 25 Jun 2014 (9.49%), 22 Jul 2014 (-5.3%), 23 Jul 2014 (-5.87%), 11 Aug 2014 (9.53%), 22 Oct 2014 (1.13%), 19 Nov 2014 (-3.39%)
2013907 Jan 2013 (8.0%), 25 Feb 2013 (-3.58%), 09 May 2013 (-3.68%), 10 May 2013 (1.18%), 12 Aug 2013 (-1.53%), 10 Sep 2013 (-4.56%), 09 Oct 2013 (-3.09%), 14 Nov 2013 (-3.82%), 10 Dec 2013 (7.09%)
2012903 Jan 2012 (-4.15%), 17 Jan 2012 (6.89%), 02 Apr 2012 (8.88%), 29 May 2012 (-4.62%), 18 Jun 2012 (8.25%), 19 Jun 2012 (8.52%), 10 Aug 2012 (6.63%), 23 Oct 2012 (-4.07%), 07 Nov 2012 (6.59%)
20111114 Feb 2011 (-5.58%), 31 Mar 2011 (12.79%), 01 Apr 2011 (-6.54%), 21 Apr 2011 (10.19%), 17 May 2011 (-3.53%), 14 Jun 2011 (-3.57%), 28 Jun 2011 (0.75%), 29 Aug 2011 (0.83%), 11 Oct 2011 (8.59%), 30 Nov 2011 (0.98%), 27 Dec 2011 (-4.36%)
2010601 Feb 2010 (-5.94%), 11 Feb 2010 (-6.49%), 12 Mar 2010 (-1.77%), 24 Jun 2010 (9.33%), 08 Sep 2010 (6.71%), 03 Nov 2010 (8.16%)
2009802 Jan 2009 (-5.68%), 31 Mar 2009 (11.22%), 06 Apr 2009 (-6.17%), 21 May 2009 (12.86%), 23 Jul 2009 (12.78%), 11 Sep 2009 (-4.55%), 23 Sep 2009 (9.25%), 24 Dec 2009 (10.5%)
2008321 Apr 2008 (2.26%), 01 Sep 2008 (-6.81%), 12 Sep 2008 (-7.7%)



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