Study: Buy MARUTI 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 MARUTI 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 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
129033.5648262254.173396.7714522.16-2694.66-12882.171.261.490.035604.87
2-19251.6548222645.835818.2416634.89-5663.57-18623.861.030.87-0.013-401.08
3-34887.39482424506055.9114689.95-7509.56-26953.820.810.81-0.021-726.82
4-20116.5848242450638615483.18-7224.19-18009.430.880.88-0.012-419.1
5-36735.0248252352.086366.2722439.44-8517.04-21536.160.750.81-0.021-765.31
6-15443.6748252352.087472.3731206.2-8793.6-17870.720.850.92-0.0082-321.74
7-15816.5248262254.177945.1928169.19-10108.7-29158.690.790.93-0.0074-329.51
8-70834.6348232547.927824.626077.34-10032.02-28160.110.780.72-0.033-1475.72
9-72610.2548212743.758236.8727976.51-9095.72-39410.830.910.7-0.033-1512.71
10-51712.6248212743.759833.0132568.07-9563.18-30257.141.030.8-0.022-1077.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.49. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study.

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-1129033.5648262254.173396.7714522.16-2694.66-12882.171.261.490.035604.87
atrnil38.3943852.1654144025.9324954.653405.29-7637.81-16727.063.271.140.013812.08
atrnil26.24-36594.5654163829.6316057.1935603.53-7723.94-16727.062.080.88-0.014-677.68
atrtrail-15.07-47416.1754183633.339711.3859068.72-6172.81-16359.091.570.79-0.02-878.08
atrtrail23.89-52815.8654183633.339411.420258.28-6172.81-16359.091.520.76-0.028-978.07
atrtrail34.44-59451.5454183633.339042.7530387.42-6172.81-16359.091.460.73-0.03-1100.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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, X=1, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Feb 2019 (-0.3%), 03 Jul 2019 (0.16%), 05 Aug 2019 (2.87%)
2018328 Feb 2018 (0.25%), 28 May 2018 (0.06%), 15 Oct 2018 (-0.43%)
2016217 Feb 2016 (-2.56%), 02 Mar 2016 (-0.11%)
2014114 Feb 2014 (1.36%)
2013508 Mar 2013 (-0.77%), 04 Apr 2013 (7.26%), 21 Jun 2013 (-0.66%), 08 Aug 2013 (-0.35%), 02 Sep 2013 (-1.84%)
2012207 Jun 2012 (-1.68%), 08 Aug 2012 (0.41%)
2011714 Feb 2011 (1.03%), 31 May 2011 (1.62%), 30 Jun 2011 (-1.44%), 16 Sep 2011 (2.82%), 20 Oct 2011 (1.59%), 02 Dec 2011 (0.73%), 21 Dec 2011 (0.41%)
2010722 Jan 2010 (0.12%), 11 Feb 2010 (-1.5%), 23 Apr 2010 (-2.03%), 13 May 2010 (-1.28%), 27 May 2010 (-1.05%), 12 Aug 2010 (1.89%), 07 Dec 2010 (-0.8%)
2009113 Nov 2009 (5.41%)
2008629 Jan 2008 (-2.1%), 26 Feb 2008 (2.41%), 22 Apr 2008 (0.95%), 17 Jul 2008 (3.33%), 06 Nov 2008 (-0.23%), 26 Nov 2008 (0.36%)
2007423 Jan 2007 (1.65%), 20 Mar 2007 (0.25%), 10 Apr 2007 (-0.53%), 21 Jun 2007 (0.3%)
2006212 Jun 2006 (-6.44%), 28 Nov 2006 (1.0%)
2005213 Apr 2005 (-1.69%), 05 May 2005 (4.1%)
2004309 Jun 2004 (-1.51%), 31 Aug 2004 (1.79%), 24 Sep 2004 (-0.34%)



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