Study: Buy KTKBANK 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 KTKBANK 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 KTKBANK 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
114181.0135161945.716456.9221510.67-4691.04-19209.041.381.160.012405.17
273269.9835171848.5711212.3432676.52-6518.87-24051.651.721.620.0412093.43
396418.2535201557.1410271.0629256.59-7266.86-19370.461.411.880.0552754.81
468196.7335181751.4310611.3330215.83-7223.95-25665.861.471.560.0381948.48
554060.1835181751.4312543.2129539.53-10101.04-32122.681.241.310.0251544.58
616776.7135181751.4313457.2533102.65-13261.99-36965.291.011.070.0064479.33
724436.4635161945.7116577.4837410.07-12673.86-46418.061.311.10.0084698.18
814161835181751.4320351.2758735.5-13217.93-44207.321.541.630.0424046.23
919677635181751.4323998.19110213-13834.81-40609.761.731.840.0475622.16
1022320535191654.2924555.56124504-15209.44-48353.661.611.920.0486377.27
Although, strategy looks good but profit factor on day 6 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-15.0518814640192147.518000.21106822-7326.56-16267.252.462.220.0524703.66
atrnil35.722025434016244025251.6641167.94-8395.14-16267.253.012.010.0685063.58
atrtrail23.121247244221215013364.2327445.3-7424.99-16267.251.81.80.0582969.62
atrtrail34.1711058840192147.513918.1841167.94-7326.56-16267.251.91.720.0492764.7
atrnil23.7410873742192345.2416316.8727445.3-8751.47-16267.251.861.540.0462588.97

In the table above, row 1 shows the best exit criterion. Profit factor is 2.22. 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 47.5%, which is not acceptable. Avoid this strategy. Average return per trade is 2.35%, which is very good. Sharpe Ratio is 0.052, 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.
KTKBANK Performance, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Apr 2019 (-3.4%)
2017306 Apr 2017 (-2.2%), 07 Apr 2017 (7.56%), 28 Apr 2017 (1.89%)
2016311 May 2016 (-1.25%), 23 May 2016 (2.97%), 04 Jul 2016 (3.38%)
2014228 Apr 2014 (-3.32%), 06 Jun 2014 (-4.11%)
2012217 Sep 2012 (26.28%), 01 Nov 2012 (0.82%)
2011127 Jun 2011 (-2.53%)
2010303 Mar 2010 (-1.9%), 19 May 2010 (0.14%), 22 Jun 2010 (1.39%)
2009306 May 2009 (2.22%), 21 Jul 2009 (-3.79%), 17 Oct 2009 (-1.18%)
2007422 Jan 2007 (11.13%), 23 Mar 2007 (-4.65%), 09 Apr 2007 (-2.73%), 29 May 2007 (-3.11%)
2006430 May 2006 (-7.25%), 05 Sep 2006 (-3.34%), 16 Oct 2006 (-3.51%), 27 Nov 2006 (10.54%)
2005605 May 2005 (-4.64%), 06 May 2005 (8.14%), 06 Jun 2005 (10.64%), 06 Jul 2005 (-4.55%), 07 Jul 2005 (5.96%), 29 Jul 2005 (1.07%)
2004316 Feb 2004 (-3.84%), 02 Nov 2004 (3.9%), 06 Dec 2004 (53.41%)
2003110 Jan 2003 (11.27%)
2002314 Mar 2002 (8.3%), 01 Apr 2002 (-8.13%), 03 Oct 2002 (-3.43%)
2001114 Sep 2001 (-4.04%)



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