Study: Buy MRF 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 MRF 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 MRF 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
140055.3743737504115.8718284.71-3033.3-10526.321.361.360.022541.29
268884.2774403454.055203.2322745.96-4095.44-12855.661.271.490.032930.87
325957.3974403454.055505.0840514.7-5713.12-17912.730.961.130.0091350.78
4-26956.38743737506208.3529425.43-6936.9-19313.360.890.89-0.0084-364.28
5-13455.9874344045.958462.7439723.89-7529.73-29922.871.120.96-0.0034-181.84
6934.53743737509162.3544745.78-9137.09-28947.98110.0002112.63
714466.9174344045.9510685.4632986.33-8720.96-32128.641.231.040.0031195.5
824081.897437375010225.5834119.1-9574.72-32425.381.071.070.0049325.43
9-23568.2974393552.79438.5629779.26-11190.63-48135.590.840.94-0.0045-318.49
10-43580.39743737509883.4831020.46-11061.33-53559.320.890.89-0.0079-588.92
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
atrtrail-16.7684425.0779334641.7710885.5749816.26-5973.88-15777.51.821.310.0191068.67
atrtrail35.6780950.6580344642.510511.5529796.48-6009.61-15777.51.751.290.021011.88
atrtrail25.319910.9180354543.758455.3725245.85-6133.93-15777.51.381.070.0059248.89
atrnil39.5629484.8479225727.8520592.1539455.99-7430.57-15777.52.771.070.0058373.23
atrnil27.99-29285.7279275234.1813463.3626303.99-7553.78-15777.51.780.93-0.0072-370.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 41.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
MRF Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Feb 2019 (3.72%), 16 May 2019 (3.9%)
2018225 Jun 2018 (-1.89%), 11 Oct 2018 (-2.34%)
2017231 Aug 2017 (-0.35%), 04 Oct 2017 (0.86%)
2016217 Feb 2016 (-2.13%), 27 Jun 2016 (8.59%)
2015418 May 2015 (-3.03%), 19 May 2015 (-3.0%), 19 Jun 2015 (0.23%), 19 Nov 2015 (-1.42%)
2014122 Jul 2014 (2.48%)
2013415 Apr 2013 (12.49%), 11 Jul 2013 (9.93%), 05 Sep 2013 (-2.89%), 20 Sep 2013 (24.91%)
2012204 Jul 2012 (0.87%), 26 Sep 2012 (1.4%)
2011521 Jan 2011 (-2.61%), 14 Feb 2011 (-4.32%), 30 Jun 2011 (13.05%), 12 Oct 2011 (-2.37%), 26 Oct 2011 (0.37%)
2009210 Feb 2009 (-1.94%), 17 Mar 2009 (1.37%)
2008605 Feb 2008 (-7.89%), 14 Feb 2008 (-2.64%), 28 Mar 2008 (11.11%), 17 Jun 2008 (-3.55%), 10 Jul 2008 (-4.56%), 04 Nov 2008 (-6.97%)
2007316 Mar 2007 (1.73%), 03 Sep 2007 (-2.55%), 20 Sep 2007 (-2.06%)
2006330 Jan 2006 (13.01%), 21 Jun 2006 (-2.35%), 29 Dec 2006 (-2.55%)
2005428 Apr 2005 (-3.08%), 12 May 2005 (-3.7%), 22 Jun 2005 (-0.21%), 09 Nov 2005 (-1.48%)
2004404 Mar 2004 (-4.39%), 02 Apr 2004 (2.73%), 09 Jun 2004 (0.46%), 01 Jul 2004 (-1.11%)
2003126 Feb 2003 (1.19%)
2002415 Apr 2002 (-4.99%), 29 Apr 2002 (6.02%), 24 Oct 2002 (-2.56%), 05 Nov 2002 (0.64%)
2001514 May 2001 (1.88%), 13 Jun 2001 (-2.63%), 09 Jul 2001 (-0.67%), 09 Aug 2001 (-0.99%), 12 Oct 2001 (-2.23%)
2000416 Feb 2000 (-4.69%), 21 Mar 2000 (-7.7%), 08 May 2000 (-7.8%), 18 Aug 2000 (-2.35%)
1999330 Apr 1999 (4.99%), 11 Oct 1999 (15.5%), 23 Dec 1999 (-3.61%)
1998704 Feb 1998 (-1.93%), 01 Jul 1998 (-4.66%), 03 Jul 1998 (11.82%), 07 Sep 1998 (-3.9%), 08 Sep 1998 (1.6%), 26 Oct 1998 (0.65%), 30 Nov 1998 (0.17%)
1997508 Jul 1997 (-0.92%), 22 Aug 1997 (-1.83%), 26 Sep 1997 (-1.89%), 24 Nov 1997 (1.78%), 22 Dec 1997 (9.99%)
1996305 Sep 1996 (-1.4%), 15 Oct 1996 (-3.27%), 16 Dec 1996 (8.35%)
1995112 Dec 1995 (1.83%)



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