Study: Buy LUPIN 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 LUPIN 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 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
151342.5651302158.823136.1115084.98-2035.27-4493.921.542.20.0691006.72
232514.78502822564081.115581.29-3716.18-13511.431.11.40.031650.3
312584.68502426485172.4919075.18-4290.58-19059.851.211.110.0096251.69
437372.32502624525532.1512822.7-4435.98-15891.771.251.350.029747.45
522378.84502822564972.6610442.8-5311.62-18813.310.941.190.017447.58
64883.74502822564978.0512544.33-6113.71-20025.330.811.040.003497.67
7-19120.86502426487350.2322659.95-7520.25-23621.320.980.9-0.0097-382.42
86022.03502723547517.7321158.32-8563.33-27898.520.881.030.0028120.44
94788.6502723547351.1920329.27-8421.45-28262.050.871.020.002395.77
1023418.515023274610382.8427161.88-7977.29-32049.931.31.110.0096468.37

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
LUPIN Performance, X=1, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Mar 2019 (-0.25%), 14 Jun 2019 (-2.25%), 04 Sep 2019 (3.15%), 15 Oct 2019 (1.62%)
2018627 Feb 2018 (-0.77%), 14 Mar 2018 (-0.63%), 02 Apr 2018 (1.47%), 19 Oct 2018 (0.25%), 19 Nov 2018 (-0.81%), 31 Dec 2018 (-0.34%)
2017727 Feb 2017 (0.68%), 17 Mar 2017 (0.56%), 16 May 2017 (0.49%), 07 Jun 2017 (1.15%), 05 Jul 2017 (-0.25%), 23 Aug 2017 (3.83%), 27 Nov 2017 (0.1%)
2016625 Jan 2016 (-0.58%), 08 Apr 2016 (-1.39%), 14 Jun 2016 (0.83%), 07 Sep 2016 (2.5%), 07 Oct 2016 (1.34%), 24 Nov 2016 (3.44%)
2015414 Jan 2015 (0.97%), 20 May 2015 (-0.7%), 11 Aug 2015 (1.41%), 24 Nov 2015 (-1.33%)
2012222 Jun 2012 (-1.01%), 22 Oct 2012 (-1.2%)
2011315 Feb 2011 (-1.55%), 03 Mar 2011 (-0.15%), 28 Dec 2011 (0.73%)
2010107 Sep 2010 (1.95%)
2008504 Feb 2008 (1.16%), 20 Feb 2008 (1.73%), 07 Apr 2008 (0.51%), 31 Oct 2008 (7.54%), 02 Dec 2008 (0.62%)
2007228 Aug 2007 (-1.65%), 28 Sep 2007 (1.34%)
2006320 Jun 2006 (3.89%), 10 Jul 2006 (0.51%), 01 Aug 2006 (0.95%)
2005202 Feb 2005 (-1.1%), 10 Nov 2005 (-0.39%)
2004229 Jun 2004 (-2.03%), 05 Nov 2004 (-0.84%)
2002405 Jun 2002 (0.55%), 09 Aug 2002 (0.56%), 08 Oct 2002 (-2.16%), 28 Oct 2002 (1.19%)

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-1151342.5651302158.823136.1115084.98-2035.27-4493.921.542.20.0691006.72
atrnil311.0923207.4453163730.1919929.533113.58-7990.93-16249.132.491.080.0078437.88
atrtrail36.286526.4154223240.747983.4833113.58-5284.69-13383.061.511.040.0032120.86
atrtrail26.06-11376.8954223240.747169.6922075.72-5284.69-13383.061.360.93-0.0065-210.68
atrnil28.91-44451.7853183533.9613240.8722075.72-8079.64-16249.131.640.84-0.019-838.71
atrtrail-16.83-32881.2954223240.746192.2231739.38-5284.69-13383.061.170.81-0.019-608.91

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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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