Study: Buy MARICO when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > marico > 64

In this study, we evaluate the performance of strategy "Buy MARICO 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 MARICO 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
1-11155.1252223042.312497.388810.57-2203.25-9972.31.130.83-0.014-214.52
2-9445.8852223042.313642.9715678.14-2986.37-14589.11.220.89-0.0087-181.65
329376.49522626504650.0919871.21-3520.22-15324.751.321.320.021564.93
46525.552213140.385637.7318589.44-3608.61-13481.071.561.060.0046125.49
5-17418.2452232944.236223.1317337.2-5536.21-26464.211.120.89-0.0093-334.97
616618.752232944.237660.3319284.03-5502.37-16499.441.391.10.0085319.59
737329.4452272551.928035.4227332.11-7185.08-26464.211.121.210.016717.87
840386.8652272551.928666.8442330.81-7744.71-22520.211.121.210.016776.67
942531.0952252748.088970.4243166.97-6730.72-21415.891.331.230.017817.91
1010006652292355.779067.936582.18-7082.74-20982.051.281.610.041924.35
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
atrnil311.4219305755203536.3625101.4461032.93-8827.77-16915.082.841.620.0433510.13
atrnil27.9174452.2755233241.8215964.2640688.62-9147.68-16915.081.751.250.0221353.68
atrtrail-16.7448246.8358203834.4814567.2976007.37-6397.34-13791.872.281.20.012831.84
atrtrail35.7947568.4458203834.4814533.3730667.93-6397.34-13791.872.271.20.015820.15
atrtrail25.1245813.0958213736.2113554.940688.62-6455.13-13791.872.11.190.015789.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Mar 2019 (8.32%)
2018116 Oct 2018 (-3.96%)
2017213 Oct 2017 (-2.19%), 01 Nov 2017 (-2.02%)
2016224 Nov 2016 (-3.44%), 28 Dec 2016 (7.57%)
2015114 Sep 2015 (-3.43%)
2014121 Mar 2014 (-2.0%)
2013421 Feb 2013 (-2.78%), 11 Mar 2013 (-2.67%), 08 Jul 2013 (-3.45%), 19 Aug 2013 (-3.64%)
2012115 Jun 2012 (8.62%)
2011403 Jan 2011 (10.76%), 05 Oct 2011 (11.26%), 02 Dec 2011 (-3.74%), 23 Dec 2011 (9.89%)
2010316 Feb 2010 (11.26%), 04 Jun 2010 (12.58%), 21 Dec 2010 (-4.17%)
2008801 Feb 2008 (-8.46%), 12 Mar 2008 (-5.55%), 19 Mar 2008 (16.77%), 04 Jun 2008 (-3.64%), 18 Jul 2008 (15.47%), 23 Oct 2008 (-6.21%), 29 Oct 2008 (-6.54%), 19 Nov 2008 (18.49%)
2007311 May 2007 (12.82%), 22 Jun 2007 (-3.49%), 05 Jul 2007 (9.3%)
2006119 Jun 2006 (30.52%)
2004112 Jul 2004 (-3.56%)
2003308 Apr 2003 (-3.43%), 12 Nov 2003 (-4.14%), 27 Nov 2003 (11.71%)
2002317 Jan 2002 (-3.75%), 18 Jan 2002 (11.68%), 05 Sep 2002 (9.19%)
2001213 Jul 2001 (-7.54%), 27 Sep 2001 (-4.19%)
2000406 Jan 2000 (-6.9%), 13 Jan 2000 (-6.65%), 17 Feb 2000 (-5.58%), 14 Mar 2000 (-7.7%)
1999510 May 1999 (-5.75%), 19 Aug 1999 (-3.76%), 13 Oct 1999 (-4.6%), 25 Nov 1999 (-5.07%), 17 Dec 1999 (-5.16%)
1998126 Jun 1998 (17.67%)
1997404 Jun 1997 (9.27%), 15 Sep 1997 (-1.96%), 01 Oct 1997 (7.85%), 03 Dec 1997 (-3.33%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play