Study: Buy MRPL 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 MRPL 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 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
1-13198.9642142833.337598.6329398.41-4270.71-20851.061.780.89-0.008-314.26
2-80767.142152735.717042.9223042-6904.11-21489.361.020.57-0.046-1923.03
3-10670342162638.19535.0524858.12-9971.69-31730.770.960.59-0.045-2540.55
4-95827.2742172540.489239.5243445.69-10115.97-28269.230.910.62-0.037-2281.6
5-38054.7742142833.3316221.4442509.36-9469.82-26153.851.710.86-0.012-906.07
6-48089.0642142833.3318419.955621.3-10927.42-33076.921.690.84-0.013-1144.98
7-68837.1542142833.3318531.4566272.19-11724.2-33269.231.580.79-0.018-1638.98
8-46877.9742123028.5722993.2648520.71-10759.9-31730.772.140.85-0.012-1116.14
9-62585.942152735.7118325.3536891.39-12498.75-38936.171.470.81-0.017-1490.14
10-82712.6342172540.4819310.2156721.92-16439.45-52100.841.170.8-0.018-1969.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.

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-11-13198.9642142833.337598.6329398.41-4270.71-20851.061.780.89-0.008-314.26
atrtrail34.09-76193.5547133427.6619215.7244444.58-9588.17-19934.820.77-0.022-1621.14
atrtrail23.52-74755.0548153331.2515911.9229629.72-9498-19934.81.680.76-0.025-1557.4
atrtrail-14.71-87075.8945133228.8916920.541707.66-9595.07-19934.81.760.72-0.028-1935.02
atrnil24.96-11532948133527.0820342.9729629.72-10851.07-19934.81.870.7-0.035-2402.68
atrnil36.63-1289664693719.5730444.6944444.58-10891.02-19934.82.80.68-0.035-2803.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, X=1, Profit Factor:0.89

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018227 Feb 2018 (-2.77%), 11 Oct 2018 (7.1%)
2016301 Mar 2016 (-4.34%), 10 Oct 2016 (-0.69%), 25 Nov 2016 (14.7%)
2015301 Apr 2015 (2.2%), 19 Nov 2015 (-0.7%), 18 Dec 2015 (-1.4%)
2014320 May 2014 (10.86%), 05 Jun 2014 (1.36%), 01 Jul 2014 (0.2%)
2013307 Nov 2013 (-1.3%), 27 Nov 2013 (-2.44%), 26 Dec 2013 (-1.62%)
2011212 Oct 2011 (-0.69%), 28 Oct 2011 (-1.23%)
2009311 May 2009 (-1.2%), 21 Jul 2009 (-0.7%), 11 Nov 2009 (-2.09%)
2008104 Nov 2008 (-10.43%)
2007321 Jun 2007 (-2.49%), 31 Oct 2007 (-5.73%), 04 Dec 2007 (0.75%)
2006125 Jul 2006 (0.14%)
2005103 Jan 2005 (1.98%)
2004202 Jan 2004 (1.69%), 26 May 2004 (-3.56%)
2003520 Feb 2003 (1.74%), 06 Mar 2003 (-4.42%), 16 Jun 2003 (0.0%), 25 Nov 2003 (-0.11%), 11 Dec 2003 (-0.1%)
2002515 Jan 2002 (7.19%), 16 Apr 2002 (-3.64%), 06 May 2002 (-0.65%), 27 May 2002 (-3.55%), 02 Jul 2002 (-0.84%)
2001114 Nov 2001 (0.0%)
1998125 Feb 1998 (2.8%)
1997216 Jan 1997 (-2.62%), 26 Nov 1997 (0.48%)
1996112 Feb 1996 (-0.49%)



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