Study: Buy MARUTI 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 MARUTI 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 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
121113.5537172045.953562.2513152.85-1972.24-7182.981.811.540.037570.64
25502.7737181948.653766.7322095.5-3278.86-7516.141.151.090.007148.72
330994.737211656.763970.9212748.89-3274.66-9406.091.211.590.044837.69
413989.2437211656.764065.4410488.96-4461.56-10141.610.911.20.018378.09
530260.5837201754.055857.6631177.71-5111.33-11211.921.151.350.026817.85
693774.8237211656.767989.1436663.83-4624.82-10803.021.732.270.0722534.45
788933.0437211656.768887.6837957.45-6106.76-18926.481.461.910.0592403.6
810631637201754.0510848.9828834.04-6509.6-15331.131.671.960.0672873.42
991011.7837211656.7611247.5430434.04-9074.16-17395.781.241.630.0512459.78
1010530637211656.7612032.9126893.62-9211.56-18144.591.311.710.0582846.11
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
MARUTI Performance, X=6, Profit Factor:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-0.42%)
2018129 May 2018 (1.46%)
2017527 Jan 2017 (3.95%), 26 May 2017 (0.86%), 09 Jun 2017 (-2.89%), 31 Jul 2017 (0.08%), 07 Dec 2017 (3.19%)
2016302 Sep 2016 (3.94%), 27 Oct 2016 (-2.65%), 30 Nov 2016 (-0.6%)
2015215 Jul 2015 (1.97%), 11 Sep 2015 (3.6%)
2014607 Jan 2014 (-2.47%), 07 Mar 2014 (7.67%), 02 Jul 2014 (-4.17%), 04 Aug 2014 (0.7%), 19 Sep 2014 (-2.41%), 22 Oct 2014 (5.04%)
2013305 Apr 2013 (1.18%), 09 Dec 2013 (-3.51%), 23 Dec 2013 (-2.13%)
2012115 Feb 2012 (-1.35%)
2011219 Sep 2011 (-3.03%), 21 Oct 2011 (3.56%)
2009313 Mar 2009 (2.8%), 18 May 2009 (2.1%), 18 Sep 2009 (3.79%)
2008102 May 2008 (-2.23%)
2007103 Aug 2007 (-2.11%)
2006229 Nov 2006 (2.6%), 21 Dec 2006 (4.59%)
2005228 Jan 2005 (2.33%), 04 Oct 2005 (-5.4%)
2004202 Jan 2004 (10.13%), 01 Sep 2004 (-0.8%)
2003225 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-15.6653347.69381919507558.4541530.97-4750.68-8966.211.591.590.0391403.89
atrtrail34.5849913.6440192147.57942.3323314.26-4809.08-8966.211.651.490.0381247.84
atrtrail24.0740177.241192246.347543.5319217.14-4688.63-8966.211.611.390.033979.93
atrnil36.541766.764012283016876.728825.71-5741.2-8966.212.941.260.0231044.17
atrnil25.29-410.7441142734.1511334.2219217.14-5892.22-10169.011.921-0.00029-10.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 May 2019 (-2.47%), 21 May 2019 (0.48%)
2018129 May 2018 (-1.74%)
2017427 Jan 2017 (3.38%), 26 May 2017 (3.87%), 31 Jul 2017 (-0.18%), 07 Dec 2017 (1.68%)
2016302 Sep 2016 (4.37%), 27 Oct 2016 (-0.92%), 30 Nov 2016 (-2.74%)
2015215 Jul 2015 (0.46%), 11 Sep 2015 (5.87%)
2014607 Jan 2014 (-2.12%), 07 Mar 2014 (0.75%), 02 Jul 2014 (-2.61%), 04 Aug 2014 (-1.77%), 19 Sep 2014 (-1.87%), 22 Oct 2014 (-2.1%)
2013305 Apr 2013 (20.77%), 09 Dec 2013 (-2.33%), 20 Dec 2013 (-2.41%)
2012115 Feb 2012 (0.84%)
2011219 Sep 2011 (-2.44%), 21 Oct 2011 (1.71%)
2009313 Mar 2009 (3.3%), 18 May 2009 (5.43%), 18 Sep 2009 (0.18%)
2008102 May 2008 (0.93%)
2007103 Aug 2007 (-3.36%)
2006229 Nov 2006 (1.86%), 21 Dec 2006 (2.33%)
2005228 Jan 2005 (7.83%), 04 Oct 2005 (-3.81%)
2004302 Jan 2004 (-3.15%), 08 Jan 2004 (5.8%), 01 Sep 2004 (-0.93%)
2003225 Oct 2003 (-4.48%), 10 Dec 2003 (-3.69%)



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