Study: Buy LUPIN 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 LUPIN 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 LUPIN 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
155564.9138201852.635896.7430670.8-3465-17361.721.71.890.0461462.23
212621.4438172144.747176.732531.99-5208.69-35849.961.381.120.0081332.14
323418.87381919507391.5534936.02-6158.97-39410.141.21.20.014616.29
420293.61381919507537.5141011.49-6469.43-41471.81.171.170.011534.04
553320.2538172144.7410313.7939448.28-5810.2-40927.751.781.440.0261403.16
669309.2338201852.6310346.5136331.91-7645.61-42101.751.351.50.0321823.93
772652.3938201852.6310621.0840545.6-7764.96-40603.231.371.520.0341911.91
879340.5238201852.6310982.6141989.84-7795.09-42769.881.411.570.0362087.91
913551538221657.8912446.7148141.21-8644.54-41748.591.441.980.0553566.19
1021478538261268.4213722.9562904.52-11834.34-41643.61.162.510.075652.23
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
LUPIN Performance, X=10, Profit Factor:2.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Apr 2019 (8.54%), 16 Oct 2019 (1.67%)
2018203 Apr 2018 (2.1%), 28 May 2018 (3.45%)
2017103 Nov 2017 (-20.82%)
2016308 Sep 2016 (-5.85%), 10 Oct 2016 (-0.85%), 25 Nov 2016 (0.19%)
2015224 Mar 2015 (0.39%), 16 Dec 2015 (0.46%)
2014422 Jul 2014 (6.28%), 19 Aug 2014 (7.77%), 15 Sep 2014 (-1.41%), 27 Oct 2014 (2.13%)
2013218 Jun 2013 (1.37%), 02 Sep 2013 (2.45%)
2012415 Feb 2012 (-1.36%), 03 Mar 2012 (2.5%), 30 Mar 2012 (4.78%), 30 Nov 2012 (2.41%)
2011130 May 2011 (-3.98%)
2010201 Jun 2010 (1.33%), 30 Dec 2010 (-1.47%)
2009310 Aug 2009 (2.01%), 04 Dec 2009 (5.59%), 18 Dec 2009 (-3.28%)
2008115 May 2008 (11.25%)
2007105 Dec 2007 (14.28%)
2006121 Jun 2006 (-14.93%)
2005105 Sep 2005 (-2.01%)
2004125 Mar 2004 (3.05%)
2003509 Jan 2003 (-8.36%), 29 May 2003 (31.45%), 26 Jun 2003 (30.55%), 25 Jul 2003 (1.96%), 22 Aug 2003 (17.15%)
2002219 Feb 2002 (13.29%), 04 Jul 2002 (-6.68%)

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
atrnil38.5120636141142734.1527071.4250442.39-6394.03-15296.874.232.20.0715033.2
atrnil26.1217646943202346.5116402.7733628.26-6590.73-15296.872.492.160.0794103.92
atrtrail-16.1214281041162539.0216834.7251173-5061.83-15296.873.332.130.0573483.17
atrtrail35.0512986442162638.116460.9450442.39-5135.02-15296.873.211.970.0533092.01
atrtrail24.411207543182541.8613598.4933628.26-5307.93-15296.872.561.840.0572606.38

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.15%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.071, 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.
LUPIN Performance, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Apr 2019 (8.36%)
2018203 Apr 2018 (-2.71%), 28 May 2018 (-2.82%)
2017103 Nov 2017 (-2.6%)
2016408 Sep 2016 (-2.32%), 10 Oct 2016 (-2.04%), 19 Oct 2016 (-2.22%), 25 Nov 2016 (-3.34%)
2015224 Mar 2015 (-2.56%), 16 Dec 2015 (-2.63%)
2014522 Jul 2014 (7.14%), 19 Aug 2014 (7.15%), 15 Sep 2014 (-2.24%), 16 Sep 2014 (-2.65%), 27 Oct 2014 (-2.42%)
2013218 Jun 2013 (-2.73%), 02 Sep 2013 (12.37%)
2012415 Feb 2012 (-3.31%), 03 Mar 2012 (10.46%), 02 Apr 2012 (-3.02%), 30 Nov 2012 (-2.14%)
2011130 May 2011 (-2.66%)
2010201 Jun 2010 (-2.69%), 30 Dec 2010 (-3.34%)
2009310 Aug 2009 (-4.26%), 04 Dec 2009 (-3.59%), 18 Dec 2009 (-3.2%)
2008115 May 2008 (12.15%)
2007105 Dec 2007 (11.56%)
2006121 Jun 2006 (-7.65%)
2005105 Sep 2005 (-3.86%)
2004125 Mar 2004 (25.22%)
2003709 Jan 2003 (-4.39%), 29 May 2003 (13.42%), 26 Jun 2003 (13.63%), 27 Jun 2003 (14.51%), 25 Jul 2003 (19.27%), 22 Aug 2003 (-5.01%), 25 Aug 2003 (18.12%)
2002219 Feb 2002 (16.15%), 04 Jul 2002 (-3.95%)



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