Study: Buy KTKBANK 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 KTKBANK 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 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
12320.0971294240.854441.2340000-3011.33-9051.551.471.020.001232.68
240992.6171284339.448746.5364537.04-4742.1-18890.21.841.20.012577.36
322531.4871323945.078194.7754814.81-6146.18-24557.261.331.090.007317.34
457633.4871343747.899542.8563611.11-7211.44-22668.241.321.220.016811.74
5298.571304142.2510964.1859722.22-8015.29-27904.621.3717.5e-054.2
6-89691.4871323945.0710117.2757962.96-10601.13-41197.360.950.78-0.02-1263.26
7-49113.8971333846.4811861.2358333.33-11593.01-37729.551.020.89-0.01-691.74
8-60441.6371323945.0714482.3756111.11-13432.75-36599.761.080.88-0.011-851.29
9-39514.3671363550.713757.0757037.04-15279.11-41501.780.90.93-0.0067-556.54
10-20514.8771373452.1113554.4765596.11-15353.83-42212.080.880.96-0.0034-288.94
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-15.9947705.7973264735.6215038.0451312.63-7303.9-14845.72.061.140.011653.5
atrnil26.5750254.8374284637.8417072.7831618.37-9299.63-14845.71.841.120.012679.12
atrnil39.649364.8470205028.5725938.9347427.55-9388.28-14845.72.761.110.0098705.21
atrtrail35.3822409.1473264735.6214065.0942920.88-7303.9-14845.71.931.070.0057306.97
atrtrail24.555766.7874274736.4912927.7728613.92-7303.9-14845.71.771.020.001677.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 35.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 May 2019 (-3.92%)
2018426 Feb 2018 (-3.62%), 02 May 2018 (-3.04%), 21 May 2018 (2.1%), 11 Oct 2018 (-3.89%)
2017218 Aug 2017 (-3.68%), 21 Dec 2017 (-1.84%)
2016401 Feb 2016 (-3.65%), 15 Feb 2016 (-4.3%), 10 Nov 2016 (-4.95%), 11 Nov 2016 (-5.33%)
2015620 Feb 2015 (-3.57%), 01 Apr 2015 (2.89%), 18 May 2015 (9.16%), 14 Sep 2015 (-0.76%), 23 Nov 2015 (1.35%), 22 Dec 2015 (-0.5%)
2014318 Feb 2014 (7.62%), 19 Aug 2014 (-0.73%), 17 Oct 2014 (16.68%)
2013518 Feb 2013 (-2.0%), 11 Mar 2013 (-5.18%), 02 Apr 2013 (-4.92%), 10 Jul 2013 (-4.98%), 13 Aug 2013 (-7.37%)
2012403 Jan 2012 (8.59%), 17 Apr 2012 (-3.76%), 28 May 2012 (-4.51%), 08 Sep 2012 (-3.06%)
2011821 Jan 2011 (-2.67%), 15 Feb 2011 (-4.68%), 03 Mar 2011 (-5.48%), 23 Mar 2011 (14.45%), 26 May 2011 (6.18%), 30 Aug 2011 (-0.54%), 12 Oct 2011 (-3.77%), 28 Nov 2011 (-4.15%)
2010202 Mar 2010 (6.2%), 21 Dec 2010 (-0.32%)
2009330 Jan 2009 (-3.92%), 16 Mar 2009 (5.39%), 28 Aug 2009 (8.97%)
2008204 Apr 2008 (1.27%), 10 Jul 2008 (-6.55%)
2007426 Mar 2007 (-3.38%), 27 Apr 2007 (1.27%), 22 Jun 2007 (-0.01%), 07 Dec 2007 (2.28%)
2006416 Mar 2006 (-3.62%), 03 Apr 2006 (2.89%), 31 May 2006 (-7.42%), 20 Jun 2006 (0.69%)
2005424 Feb 2005 (4.42%), 20 Apr 2005 (-4.35%), 07 Oct 2005 (-4.02%), 08 Nov 2005 (4.15%)
2004308 Mar 2004 (-1.84%), 08 Jun 2004 (-5.06%), 30 Aug 2004 (8.01%)
2003227 Feb 2003 (4.31%), 21 Mar 2003 (-4.03%)
2002407 Jan 2002 (24.77%), 30 May 2002 (25.66%), 22 Aug 2002 (25.39%), 20 Nov 2002 (0.17%)
2001319 Apr 2001 (-6.78%), 07 Aug 2001 (0.65%), 08 Oct 2001 (-2.16%)
2000531 Jul 2000 (-4.42%), 21 Aug 2000 (-3.94%), 22 Aug 2000 (-0.35%), 07 Sep 2000 (-4.75%), 06 Oct 2000 (-3.89%)



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