Study: Buy MARUTI when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MARUTI when RSI is above 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 MARUTI 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
169937.0696524454.173235.4313152.85-2234.21-10587.011.451.710.049728.51
210473796573959.384054.6122095.5-3240.4-11378.951.251.830.0551091.01
316844496633365.624810.5317593.05-4079.39-22021.541.182.250.0751754.62
418942196623464.585677.0818615.92-4781.12-17617.231.192.170.0731973.13
520757596573959.387284.0531177.71-5323.48-18270.991.3720.0632162.24
630586696623464.588441.5341374.78-6397.31-19742.971.322.410.083186.11
732576596613563.549658.6139912.43-7526.01-34553.661.282.240.0743393.39
835145896613563.5410414.1243266.2-8108.66-50434.181.282.240.0733661.02
936341296603662.511510.6944842.38-9089.7-56686.351.272.110.0683785.54
1036667096603662.511751.6244667.25-9400.73-47961.11.252.080.0713819.48

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 2.41. 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 64.58%, which is good. Average return per trade is 1.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, 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.
MARUTI Performance, X=6, Profit Factor:2.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019505 Feb 2019 (-0.92%), 02 Apr 2019 (4.31%), 20 May 2019 (-0.42%), 09 Sep 2019 (-3.8%), 15 Oct 2019 (5.81%)
2018429 May 2018 (1.46%), 04 Jul 2018 (1.37%), 28 Aug 2018 (-5.64%), 14 Dec 2018 (-1.74%)
20171127 Jan 2017 (3.95%), 15 Mar 2017 (-1.67%), 05 Apr 2017 (-4.17%), 20 Apr 2017 (4.01%), 26 May 2017 (0.86%), 09 Jun 2017 (-2.89%), 31 Jul 2017 (0.08%), 01 Sep 2017 (4.23%), 26 Oct 2017 (1.88%), 20 Nov 2017 (2.36%), 07 Dec 2017 (3.19%)
2016601 Jan 2016 (-7.89%), 13 Apr 2016 (3.75%), 11 Jul 2016 (5.0%), 02 Sep 2016 (3.94%), 27 Oct 2016 (-2.65%), 30 Nov 2016 (-0.6%)
20151005 Jan 2015 (0.59%), 28 Feb 2015 (0.72%), 10 Apr 2015 (-4.81%), 28 Apr 2015 (-7.3%), 18 May 2015 (0.78%), 17 Jun 2015 (5.85%), 15 Jul 2015 (1.97%), 11 Sep 2015 (3.6%), 20 Oct 2015 (-1.53%), 17 Dec 2015 (-0.57%)
2014707 Jan 2014 (-2.47%), 07 Mar 2014 (7.67%), 12 May 2014 (7.03%), 02 Jul 2014 (-4.17%), 04 Aug 2014 (0.7%), 19 Sep 2014 (-2.41%), 22 Oct 2014 (5.04%)
2013502 Jan 2013 (0.96%), 23 Jan 2013 (0.5%), 05 Apr 2013 (1.18%), 09 Dec 2013 (-3.51%), 23 Dec 2013 (-2.13%)
2012515 Feb 2012 (-1.35%), 17 Apr 2012 (2.97%), 07 Aug 2012 (2.24%), 06 Sep 2012 (2.29%), 01 Nov 2012 (0.25%)
2011529 Mar 2011 (4.81%), 25 Apr 2011 (-3.97%), 01 Jun 2011 (-2.8%), 19 Sep 2011 (-3.03%), 21 Oct 2011 (3.56%)
2009703 Feb 2009 (8.32%), 13 Mar 2009 (2.8%), 18 May 2009 (2.1%), 16 Jul 2009 (20.69%), 27 Aug 2009 (9.23%), 18 Sep 2009 (3.79%), 16 Nov 2009 (2.65%)
2008427 Feb 2008 (11.4%), 02 May 2008 (-2.23%), 02 Sep 2008 (2.12%), 14 Oct 2008 (-9.87%)
2007322 Jan 2007 (0.15%), 03 Aug 2007 (-2.11%), 28 Aug 2007 (4.95%)
2006720 Jan 2006 (7.4%), 04 Apr 2006 (-3.37%), 26 Apr 2006 (3.7%), 28 Jul 2006 (-0.08%), 02 Nov 2006 (-7.64%), 29 Nov 2006 (2.6%), 21 Dec 2006 (4.59%)
2005828 Jan 2005 (2.33%), 06 May 2005 (4.91%), 23 Jun 2005 (1.34%), 21 Jul 2005 (5.91%), 02 Sep 2005 (1.79%), 04 Oct 2005 (-5.4%), 08 Nov 2005 (2.85%), 09 Dec 2005 (2.59%)
2004602 Jan 2004 (10.13%), 05 Feb 2004 (14.03%), 01 Apr 2004 (2.43%), 01 Sep 2004 (-0.8%), 04 Oct 2004 (-3.97%), 28 Oct 2004 (3.92%)
2003329 Sep 2003 (5.74%), 25 Oct 2003 (18.33%), 10 Dec 2003 (-0.83%)

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
atrtrail-16.5320401101554654.469364.2851303.26-4231.18-12241.542.212.650.0773172.29
nilnil-1630586696623464.588441.5341374.78-6397.31-19742.971.322.410.083186.11
atrtrail24.49288108104564853.858830.1329438.92-4299.56-12241.542.052.40.0852770.27
atrnil39.7342292495395641.0519014.5744158.38-5690.08-12241.543.342.330.0834451.83
atrtrail35.34270537103554853.48652.7228511.99-4278.38-12241.542.022.320.0762626.58
atrnil25.92291870103485546.612502.5729438.92-5604.61-12241.542.231.950.0722833.69

In the table above, row 1 shows the best exit criterion. Profit factor is 2.65. 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 54.46%, which is not acceptable. Avoid this strategy. Average return per trade is 1.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.077, 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.
MARUTI Performance, Profit Factor:2.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019705 Feb 2019 (0.17%), 02 Apr 2019 (6.24%), 20 May 2019 (-2.47%), 21 May 2019 (0.48%), 09 Sep 2019 (0.68%), 20 Sep 2019 (1.94%), 15 Oct 2019 (7.31%)
2018429 May 2018 (-1.74%), 04 Jul 2018 (1.69%), 28 Aug 2018 (-1.74%), 14 Dec 2018 (1.16%)
20171027 Jan 2017 (3.38%), 15 Mar 2017 (-0.67%), 05 Apr 2017 (-1.61%), 20 Apr 2017 (9.19%), 26 May 2017 (3.87%), 31 Jul 2017 (-0.18%), 01 Sep 2017 (2.96%), 26 Oct 2017 (1.51%), 20 Nov 2017 (1.58%), 07 Dec 2017 (1.68%)
2016601 Jan 2016 (-1.61%), 13 Apr 2016 (-0.47%), 11 Jul 2016 (4.5%), 02 Sep 2016 (4.37%), 27 Oct 2016 (-0.92%), 30 Nov 2016 (-2.74%)
20151205 Jan 2015 (-1.81%), 06 Jan 2015 (7.74%), 28 Feb 2015 (0.31%), 10 Apr 2015 (-1.48%), 28 Apr 2015 (-2.41%), 18 May 2015 (2.98%), 17 Jun 2015 (5.08%), 15 Jul 2015 (0.46%), 11 Sep 2015 (5.87%), 20 Oct 2015 (-2.3%), 28 Oct 2015 (3.49%), 17 Dec 2015 (-2.0%)
2014707 Jan 2014 (-2.12%), 07 Mar 2014 (0.75%), 12 May 2014 (12.85%), 02 Jul 2014 (-2.61%), 04 Aug 2014 (-1.77%), 19 Sep 2014 (-1.87%), 22 Oct 2014 (-2.1%)
2013602 Jan 2013 (-0.33%), 23 Jan 2013 (-2.28%), 28 Jan 2013 (-1.04%), 05 Apr 2013 (20.77%), 09 Dec 2013 (-2.33%), 20 Dec 2013 (-2.41%)
2012515 Feb 2012 (0.84%), 17 Apr 2012 (1.43%), 07 Aug 2012 (1.28%), 06 Sep 2012 (11.61%), 01 Nov 2012 (-1.12%)
2011529 Mar 2011 (2.54%), 25 Apr 2011 (-2.93%), 01 Jun 2011 (-2.46%), 19 Sep 2011 (-2.44%), 21 Oct 2011 (1.71%)
2009703 Feb 2009 (3.09%), 13 Mar 2009 (3.3%), 18 May 2009 (5.43%), 16 Jul 2009 (25.65%), 27 Aug 2009 (5.54%), 18 Sep 2009 (0.18%), 16 Nov 2009 (0.54%)
2008427 Feb 2008 (7.89%), 02 May 2008 (0.93%), 02 Sep 2008 (-1.77%), 14 Oct 2008 (-6.12%)
2007322 Jan 2007 (-2.9%), 03 Aug 2007 (-3.36%), 28 Aug 2007 (3.16%)
2006720 Jan 2006 (4.05%), 04 Apr 2006 (-2.55%), 26 Apr 2006 (-3.62%), 28 Jul 2006 (-0.37%), 02 Nov 2006 (-2.36%), 29 Nov 2006 (1.86%), 21 Dec 2006 (2.33%)
2005828 Jan 2005 (7.83%), 06 May 2005 (1.65%), 23 Jun 2005 (-0.08%), 21 Jul 2005 (1.17%), 02 Sep 2005 (-3.14%), 04 Oct 2005 (-3.81%), 08 Nov 2005 (2.5%), 09 Dec 2005 (-0.57%)
2004702 Jan 2004 (-3.15%), 08 Jan 2004 (5.8%), 05 Feb 2004 (13.61%), 01 Apr 2004 (9.73%), 01 Sep 2004 (-0.93%), 04 Oct 2004 (-2.45%), 28 Oct 2004 (1.71%)
2003329 Sep 2003 (17.17%), 25 Oct 2003 (-4.48%), 10 Dec 2003 (-3.69%)



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