Study: Buy LT when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy LT when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-10746.7793633.331687.273734.91-2634.77-4528.860.640.32-0.13-1194.09
2-11042.4593633.333090.115964.97-3385.46-5756.740.910.46-0.09-1226.94
313044.6995455.564044.815474.97-1794.82-2800.672.252.820.0711449.41
47940.5695455.564028.249488.77-3050.16-5244.91.321.650.051882.28
521884.6994544.4410613.0722579.16-4113.52-9843.212.582.060.0662431.63
611283.2293633.3314460.8230497.08-5349.87-11131.912.71.350.0271253.69
7-2724.3193633.3311772.6730532.46-6340.39-12598.571.860.93-0.0066-302.7
8-16377.5592722.2212247.7723852.82-5839.01-13770.672.10.6-0.046-1819.73
9-25492.5792722.228180.213168.23-5979-12329.61.370.39-0.099-2832.51
10-8700.4883537.56576.0615885.37-5685.73-12094.681.160.69-0.035-1087.56
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
LT Performance, X=3, Profit Factor:2.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Apr 2019 (-1.07%), 01 Nov 2019 (0.25%)
2018112 Dec 2018 (0.55%)
2017116 Mar 2017 (-1.4%)
2016116 Jun 2016 (0.04%)
2013102 Dec 2013 (1.53%)
2012113 Jul 2012 (-0.23%)
2010127 Apr 2010 (-0.89%)
2009102 Jun 2009 (7.74%)

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
atrtrail33.61848.0310191032900.7132900.71-3450.3-5310.199.541.060.0043184.8
atrnil24-4287.5710282015145.2421933.81-4322.26-5310.193.50.88-0.013-428.76
atrnil35.6-5855.6710191032900.7132900.71-4306.26-5310.197.640.85-0.013-585.57
atrtrail23.4-9118.8810191021933.8121933.81-3450.3-5310.196.360.71-0.03-911.89
atrtrail-13.9-12416.7710191018635.9118635.91-3450.3-5310.195.40.6-0.047-1241.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 10%, which is not acceptable. Avoid this strategy. Average return per trade is 0.092%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0043, 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:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Apr 2019 (-1.19%), 01 Nov 2019 (-1.91%)
2018112 Dec 2018 (-0.22%)
2017216 Mar 2017 (-1.69%), 17 Mar 2017 (-1.72%)
2016116 Jun 2016 (-1.56%)
2013102 Dec 2013 (-2.66%)
2012113 Jul 2012 (-2.47%)
2010127 Apr 2010 (-2.13%)
2009102 Jun 2009 (16.45%)



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