Study: Buy LT 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 LT 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 LT 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
132038.2591444748.353561.0420396.1-2652.08-9986.871.341.260.02352.07
274859.9891523957.144629.8923681.78-4253.7-15725.591.091.450.034822.64
334924.8391474451.655727.525369.33-5324.27-19581.351.081.150.013383.79
4-41696.4291454649.456467.2628478.1-7233.11-31328.060.890.87-0.013-458.2
5-65679.9291474451.656713.2330344.97-8663.67-37920.840.770.83-0.018-721.76
6-66567.3591434847.257629.3924953.88-8221.48-37238.350.930.83-0.018-731.51
7-16412.9491474451.657684.5229963.66-8581.49-34114.340.90.96-0.0043-180.36
848407.1691494253.858897.1127887.34-9227.41-40576.960.961.120.011531.95
961648.3891484352.759472.4633904.97-9140.22-46283.21.041.160.014677.45
1012887.5891474451.6510261.3145879.66-10668.04-49262.970.961.030.0025141.62
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-15.6859638.9397346335.059718.1136055.17-4298.04-10155.962.261.220.018614.83
atrtrail34.9650451.6498346434.699727.0832682.3-4379.21-10155.962.221.180.015514.81
atrnil38.0542631.8495257026.3218485.2932682.3-5992.86-11885.723.081.10.01448.76
atrtrail24.5411389.12102366635.298203.821788.2-4302.24-10155.961.911.040.004111.66
atrnil26.283351.88101346733.6612029.3721788.2-6054.43-11885.721.991.010.0009633.19

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 35.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
LT Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (7.02%)
2018721 Mar 2018 (-2.16%), 30 Apr 2018 (-1.81%), 29 May 2018 (-2.17%), 13 Jun 2018 (-1.94%), 21 Aug 2018 (1.56%), 29 Oct 2018 (11.42%), 20 Dec 2018 (-1.9%)
2017614 Mar 2017 (-0.87%), 01 Jun 2017 (-1.59%), 11 Jul 2017 (0.4%), 08 Sep 2017 (2.9%), 25 Oct 2017 (0.69%), 20 Dec 2017 (1.09%)
2016618 Apr 2016 (-0.19%), 26 May 2016 (-2.0%), 15 Jul 2016 (-0.85%), 31 Aug 2016 (-0.23%), 22 Sep 2016 (-1.94%), 14 Oct 2016 (-2.02%)
2015324 Feb 2015 (-2.56%), 28 Feb 2015 (1.89%), 01 Apr 2015 (1.57%)
2014423 Jan 2014 (-2.56%), 27 Mar 2014 (-1.88%), 23 Apr 2014 (-2.5%), 20 Oct 2014 (9.09%)
2013903 Jan 2013 (-1.86%), 24 Jan 2013 (-0.57%), 07 Mar 2013 (-0.45%), 16 Apr 2013 (4.92%), 16 May 2013 (-0.65%), 17 Jun 2013 (-2.66%), 01 Jul 2013 (-2.89%), 09 Oct 2013 (0.91%), 27 Nov 2013 (3.49%)
2012815 Feb 2012 (-3.43%), 14 Mar 2012 (-3.72%), 02 Apr 2012 (-1.22%), 17 Apr 2012 (-3.15%), 07 Aug 2012 (1.92%), 12 Sep 2012 (7.49%), 25 Oct 2012 (-2.77%), 29 Nov 2012 (-1.28%)
2011314 Feb 2011 (-1.47%), 20 May 2011 (-3.28%), 27 Jun 2011 (-0.3%)
2010517 May 2010 (0.1%), 14 Jul 2010 (1.1%), 20 Aug 2010 (-1.48%), 07 Sep 2010 (6.6%), 02 Nov 2010 (-0.48%)
20091010 Feb 2009 (-4.59%), 16 Mar 2009 (-3.16%), 18 May 2009 (3.88%), 24 Jul 2009 (-2.85%), 24 Aug 2009 (0.68%), 07 Sep 2009 (1.58%), 01 Oct 2009 (-1.79%), 11 Nov 2009 (-1.8%), 08 Dec 2009 (0.3%), 29 Dec 2009 (-1.4%)
2008507 Jan 2008 (-1.7%), 16 May 2008 (-4.12%), 02 Jun 2008 (-4.47%), 17 Jun 2008 (-4.24%), 08 Sep 2008 (-3.88%)
2007904 Jan 2007 (-2.89%), 16 Jan 2007 (1.54%), 22 Mar 2007 (-1.1%), 28 May 2007 (8.91%), 20 Jun 2007 (16.14%), 23 Jul 2007 (-1.45%), 28 Aug 2007 (10.59%), 26 Oct 2007 (9.21%), 15 Nov 2007 (-5.08%)
20061017 Jan 2006 (18.03%), 05 Apr 2006 (-3.16%), 07 Apr 2006 (-2.86%), 18 Apr 2006 (1.31%), 10 May 2006 (-3.3%), 27 Jul 2006 (13.31%), 15 Sep 2006 (-1.07%), 31 Oct 2006 (-0.07%), 05 Dec 2006 (-2.06%), 15 Dec 2006 (-2.36%)
2005831 Jan 2005 (-3.48%), 25 Apr 2005 (0.4%), 03 Jun 2005 (-0.88%), 01 Jul 2005 (2.49%), 04 Aug 2005 (-2.9%), 19 Sep 2005 (-0.58%), 02 Nov 2005 (-3.78%), 07 Nov 2005 (9.41%)
2004305 Nov 2004 (-0.15%), 16 Dec 2004 (-3.41%), 17 Dec 2004 (3.26%)



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