Study: Buy MRPL 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 MRPL 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 MRPL 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
121372.921204872406333.0729398.41-3925.2-21437.271.611.080.0051178.11
231699.551204872408502.6235013.26-5228.14-21489.361.631.080.0061264.16
3-18617.86120576347.58416.530922.69-7910.45-31730.771.060.96-0.003-155.15
463803.94120536744.1710930.2248275.86-7693.99-36784.411.421.120.0088531.7
5144545120556545.8313077.4468435.01-8841.75-33252.131.481.250.0171204.55
6179689120586248.331436590185.68-10540.02-37515.231.361.270.0181497.41
7152620120586248.3314392.9967374.01-11002.8-33269.231.311.220.0151271.83
8164976120536744.1716395.1565251.99-10506.96-35079.171.561.230.0161374.8
9186841120586248.3316234.4161601.64-12173.46-39220.461.331.250.0181557.01
10131192120586248.3316833.9363244.35-13631.86-52100.841.231.160.0121093.27
Although, strategy looks good but profit factor on day 3 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-15.52240553129507938.7617288.96133562-7897.4-19934.82.191.390.0211864.75
atrtrail34.68146198133508337.5916074.4844444.58-7922.01-19934.82.031.220.0161099.23
atrtrail24.07104383135528338.5214534.4935894.92-7848.31-19934.81.851.160.013773.21
atrnil37.37127842126388830.1625408.1353842.38-9518.94-19934.82.671.150.0131014.62
atrnil25.287817.54133518238.3517056.8735894.92-9537.6-19934.81.791.110.01660.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 38.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
MRPL Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018227 Feb 2018 (-3.5%), 11 Oct 2018 (2.83%)
2017507 Feb 2017 (-4.12%), 30 Mar 2017 (2.5%), 31 Jul 2017 (7.99%), 28 Aug 2017 (4.36%), 12 Oct 2017 (6.72%)
2016801 Mar 2016 (-5.44%), 25 Apr 2016 (-4.47%), 01 Jun 2016 (-3.17%), 30 Jun 2016 (-0.43%), 06 Sep 2016 (3.09%), 07 Oct 2016 (-2.58%), 25 Nov 2016 (9.65%), 30 Dec 2016 (9.96%)
2015801 Apr 2015 (0.86%), 01 Jun 2015 (-4.05%), 12 Jun 2015 (1.66%), 14 Jul 2015 (-4.63%), 15 Jul 2015 (-0.85%), 07 Aug 2015 (-4.31%), 19 Nov 2015 (14.57%), 18 Dec 2015 (-3.91%)
2014605 Feb 2014 (-1.74%), 06 Mar 2014 (-0.37%), 20 May 2014 (5.23%), 05 Jun 2014 (-2.6%), 01 Jul 2014 (-3.98%), 23 Sep 2014 (-3.71%)
2013501 Jan 2013 (8.64%), 14 Oct 2013 (11.05%), 07 Nov 2013 (-3.71%), 27 Nov 2013 (-4.86%), 26 Dec 2013 (-3.98%)
2012403 Apr 2012 (-5.21%), 10 Aug 2012 (8.25%), 03 Oct 2012 (1.97%), 04 Dec 2012 (-3.37%)
2011402 Jun 2011 (1.65%), 01 Jul 2011 (3.12%), 12 Oct 2011 (-2.04%), 28 Oct 2011 (-4.1%)
2010530 Mar 2010 (5.89%), 13 Aug 2010 (-1.63%), 14 Sep 2010 (-2.75%), 05 Oct 2010 (-2.69%), 25 Oct 2010 (-3.24%)
20091406 Feb 2009 (1.4%), 18 Mar 2009 (4.19%), 11 May 2009 (-5.7%), 18 May 2009 (-5.68%), 19 May 2009 (16.32%), 21 Jul 2009 (1.99%), 28 Aug 2009 (-4.33%), 31 Aug 2009 (-0.24%), 17 Sep 2009 (-3.81%), 29 Sep 2009 (-3.69%), 17 Oct 2009 (-4.05%), 11 Nov 2009 (-2.95%), 04 Dec 2009 (-3.92%), 29 Dec 2009 (3.71%)
2008104 Nov 2008 (-9.07%)
2007521 Jun 2007 (-3.81%), 20 Jul 2007 (-0.86%), 29 Aug 2007 (66.78%), 30 Oct 2007 (-6.02%), 04 Dec 2007 (-7.45%)
2006403 Apr 2006 (7.42%), 25 Jul 2006 (20.85%), 16 Nov 2006 (-3.27%), 29 Dec 2006 (-2.83%)
2005703 Jan 2005 (-1.41%), 31 Jan 2005 (0.89%), 07 Mar 2005 (-3.27%), 26 Apr 2005 (-3.38%), 18 Jul 2005 (-2.75%), 19 Jul 2005 (6.46%), 01 Sep 2005 (-1.63%)
2004902 Jan 2004 (15.38%), 13 Feb 2004 (-4.32%), 08 Mar 2004 (-5.23%), 09 Mar 2004 (-4.41%), 30 Mar 2004 (6.45%), 26 May 2004 (-9.97%), 30 Aug 2004 (-0.31%), 01 Oct 2004 (-3.15%), 19 Nov 2004 (10.65%)
20031022 Jan 2003 (8.99%), 19 Feb 2003 (-5.03%), 05 Mar 2003 (-5.9%), 04 Apr 2003 (0.56%), 16 Jun 2003 (-6.16%), 31 Jul 2003 (-4.6%), 06 Oct 2003 (-3.77%), 31 Oct 2003 (23.39%), 25 Nov 2003 (-2.49%), 11 Dec 2003 (-4.43%)
2002915 Jan 2002 (-0.19%), 06 Feb 2002 (-6.32%), 07 Feb 2002 (9.46%), 16 Apr 2002 (-8.34%), 06 May 2002 (-6.28%), 27 May 2002 (-6.28%), 28 May 2002 (11.33%), 02 Jul 2002 (-6.99%), 30 Oct 2002 (-5.41%)
2001225 Sep 2001 (5.98%), 14 Nov 2001 (5.86%)
1999424 Mar 1999 (-6.61%), 16 Apr 1999 (-6.07%), 16 Aug 1999 (36.79%), 07 Oct 1999 (-5.92%)
1998525 Feb 1998 (3.85%), 25 Mar 1998 (0.92%), 06 Aug 1998 (-4.72%), 10 Sep 1998 (-3.24%), 24 Dec 1998 (1.44%)
1997916 Jan 1997 (-4.68%), 27 Feb 1997 (14.03%), 17 Apr 1997 (-1.55%), 21 May 1997 (-1.16%), 11 Jun 1997 (7.46%), 04 Jul 1997 (7.35%), 24 Jul 1997 (15.76%), 01 Oct 1997 (-4.08%), 26 Nov 1997 (-2.79%)
1996212 Feb 1996 (1.26%), 01 Apr 1996 (3.31%)
1995105 May 1995 (1.99%)



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