Study: Buy LT 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 LT 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 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
17089.7247222546.814092.822390.19-3318.08-9599.971.231.090.0071150.85
2-2685.7147202742.556483.3528759.06-4901.95-13583.91.320.98-0.0019-57.14
3-10963.247212644.687295.8314963.64-6314.45-25721.091.160.93-0.0068-233.26
4-53425.4547192840.437766.8821975.4-7178.44-32533.031.080.73-0.028-1136.71
5-72911.7347232448.947175.3617756.87-9914.38-31827.850.720.69-0.036-1551.31
6-28758.7347212644.689593.0428684.72-8854.33-300211.080.88-0.013-611.89
7-47138.1247212644.688277.0325905.73-8498.3-35277.440.970.79-0.023-1002.94
8-44135.7247232448.947935.924953.42-9444.23-41173.370.840.81-0.02-939.06
9-16696.6747242351.069227.530874.34-10354.64-44252.190.890.93-0.007-355.25
10157.3847232448.9410703.3328666.07-10250.8-33078.281.0416.3e-053.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 46.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.075%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0071, which is low, don't trade solely on the basis of this study.

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
nilnil-117089.7247222546.814092.822390.19-3318.08-9599.971.231.090.0071150.85
atrnil25.92-45504.5751153629.4114290.0134254.43-7218.19-20099.81.980.82-0.021-892.25
atrnil38.28-72917.585010402021376.1151381.65-7166.97-20099.82.980.75-0.029-1458.35
atrtrail23.88-48751.8951153629.419112.7423712.85-5151.19-18160.211.770.74-0.031-955.92
atrtrail34.18-63990.6551153629.418096.8218363.79-5151.19-18160.211.570.65-0.044-1254.72
atrtrail-14.73-65852.0351153629.417972.7317183.69-5151.19-18160.211.550.64-0.046-1291.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 46.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.075%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0071, 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, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Feb 2019 (-1.3%), 20 Feb 2019 (0.59%), 09 Aug 2019 (-3.76%), 27 Aug 2019 (-0.91%)
2018214 Mar 2018 (-0.63%), 09 Jul 2018 (-0.26%)
2017201 Sep 2017 (-0.75%), 24 Oct 2017 (5.4%)
2016429 Jan 2016 (1.85%), 17 Oct 2016 (2.78%), 30 Nov 2016 (0.4%), 27 Dec 2016 (-0.42%)
2015519 May 2015 (-0.5%), 10 Sep 2015 (-0.77%), 05 Oct 2015 (0.27%), 19 Nov 2015 (0.58%), 18 Dec 2015 (0.23%)
2014324 Jan 2014 (-2.6%), 10 Feb 2014 (-0.23%), 19 Aug 2014 (-0.96%)
2013604 Jan 2013 (-2.45%), 23 Jan 2013 (1.53%), 06 Mar 2013 (2.2%), 15 Apr 2013 (3.26%), 18 Jun 2013 (-0.0%), 30 Aug 2013 (0.43%)
2012115 May 2012 (-1.34%)
2011403 Feb 2011 (-3.71%), 23 Mar 2011 (1.25%), 30 Aug 2011 (0.02%), 28 Nov 2011 (-0.2%)
2010215 Dec 2010 (-0.8%), 30 Dec 2010 (0.19%)
2009209 Feb 2009 (3.58%), 13 Mar 2009 (1.9%)
2008905 Feb 2008 (-1.9%), 19 Feb 2008 (-2.58%), 25 Mar 2008 (-0.04%), 11 Apr 2008 (1.06%), 03 Jun 2008 (-3.19%), 18 Jun 2008 (-4.8%), 07 Jul 2008 (1.49%), 31 Oct 2008 (11.2%), 24 Nov 2008 (-2.89%)
2007121 Mar 2007 (4.53%)
2006119 Jun 2006 (-4.49%)
2005122 Apr 2005 (0.28%)



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