Study: Buy LT 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 LT 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 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
13556.682271531.827559.1920396.1-3290.51-9986.872.31.070.0061161.67
217239.7422101245.456242.1722934.31-3765.16-7679.891.661.380.027783.62
3-5036.0722101245.454511.619130.86-4179.34-7984.891.080.9-0.01-228.91
4-42019.672291340.916484.8728478.1-7721.81-17622.770.840.58-0.051-1909.98
5-21390.8422101245.457629.930344.97-8140.82-24367.290.940.78-0.023-972.31
6-24580.282271531.829522.8721193.97-6082.69-18000.181.570.73-0.03-1117.29
7-7220.1221111508114.8329963.66-8771.2-21056.970.930.93-0.0075-328.19
8-4164.7222121054.558909.2526765.38-11107.57-22074.30.80.96-0.004-189.31
9-6599.52291340.9113524.8933904.97-9871.04-21201.061.370.95-0.0054-299.98
10-17731.0522101245.4512688.3645879.66-12051.22-24808.531.050.88-0.013-805.96
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
atrtrail33.852898.122671926.9213790.1632682.3-4928.05-10155.962.81.030.0027111.47
atrtrail-14.36-5575.87257182811223.5336055.17-4674.48-10155.962.40.93-0.006-223.03
atrtrail23.78-16866.662772025.9311222.121788.2-4771.07-10155.962.350.82-0.019-624.69
atrnil36.64-44358.64254211624533.5732682.3-6785.38-11885.723.620.69-0.038-1774.35
atrnil25.78-52340.262762122.2215409.8921788.2-6895.22-11885.722.230.64-0.052-1938.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 26.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.056%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0027, 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:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018120 Dec 2018 (-1.9%)
2017101 Jun 2017 (-1.59%)
2014227 Mar 2014 (-1.88%), 23 Apr 2014 (-2.5%)
2013107 Mar 2013 (-0.45%)
2012115 Feb 2012 (-3.43%)
2011214 Feb 2011 (-1.47%), 27 Jun 2011 (-0.3%)
2010114 Jul 2010 (1.1%)
2009410 Feb 2009 (-4.59%), 16 Mar 2009 (-3.16%), 18 May 2009 (16.34%), 19 May 2009 (-4.75%)
2007323 Jul 2007 (-1.45%), 26 Oct 2007 (15.16%), 15 Nov 2007 (-5.08%)
2006517 Jan 2006 (8.6%), 05 Apr 2006 (-3.16%), 07 Apr 2006 (-2.86%), 18 Apr 2006 (1.31%), 15 Sep 2006 (-1.07%)
2005303 Jun 2005 (-0.88%), 01 Jul 2005 (2.49%), 04 Aug 2005 (-2.9%)
2004216 Dec 2004 (-3.41%), 17 Dec 2004 (3.26%)



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