Study: Buy MRPL 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 MRPL 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 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
1-60140.0692434946.743630.5221436.98-4413.31-16567.160.820.72-0.024-653.7
2-90933.8892395342.396102.6732000-6206.38-25523.430.980.72-0.024-988.41
3-66334.1292415144.577612.0437090.91-7420.16-28602.621.030.82-0.014-721.02
4-41532.1892405243.489929.2137154.7-8436.55-33333.331.180.91-0.0079-451.44
5-14038992385441.310243.9734545.45-9808.53-31557.381.040.73-0.025-1525.97
6-11735292415144.579868.6137270.34-10234.61-38114.750.960.78-0.02-1275.56
7-15042692355738.0411351.7245321.64-9609.4-43989.071.180.73-0.024-1635.06
8-20262792335935.8712322.242403.31-10326.43-57650.271.190.67-0.03-2202.47
9-21456892326034.7813261.1548756.91-10648.75-69945.361.250.66-0.03-2332.27
10-26427692335935.8714059.950000-12343.27-67349.731.140.64-0.034-2872.57
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
atrnil38.8421383210029712930741.1158908.65-9544.51-25045.983.221.320.0232138.32
atrnil26.83136542102386437.2519783.8239272.43-9613.17-25045.982.061.220.0181338.65
atrtrail25.05-29735.19103366734.9513722.2839272.43-7816.98-25045.981.760.94-0.0049-288.69
atrtrail-15.92-79739.16102336932.3514002.12140016-7852.3-25045.981.780.85-0.0093-781.76
atrtrail35.46-112741102346833.3312371.1840007.66-7843.54-25045.981.580.79-0.019-1105.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 29%, which is not acceptable. Avoid this strategy. Average return per trade is 1.07%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (9.13%), 28 May 2019 (-3.36%)
20181126 Feb 2018 (-3.6%), 05 Apr 2018 (-3.11%), 25 Apr 2018 (-2.78%), 08 May 2018 (-2.66%), 09 May 2018 (-2.72%), 08 Jun 2018 (-3.65%), 25 Jun 2018 (-3.56%), 12 Jul 2018 (-4.04%), 13 Jul 2018 (-4.18%), 27 Sep 2018 (-4.64%), 13 Dec 2018 (-3.71%)
2017407 Jul 2017 (-3.19%), 27 Nov 2017 (-3.23%), 11 Dec 2017 (-2.72%), 14 Dec 2017 (-2.99%)
2016202 Mar 2016 (17.63%), 29 Jun 2016 (7.62%)
2015210 Aug 2015 (-5.41%), 10 Sep 2015 (20.82%)
2014520 Aug 2014 (-3.96%), 24 Sep 2014 (-3.87%), 31 Oct 2014 (8.95%), 04 Dec 2014 (-3.83%), 26 Dec 2014 (12.08%)
2013502 Apr 2013 (-3.87%), 03 Apr 2013 (-4.13%), 03 Jun 2013 (-3.83%), 02 Jul 2013 (12.67%), 22 Aug 2013 (18.09%)
2012318 May 2012 (-4.64%), 15 Jun 2012 (12.22%), 05 Dec 2012 (-3.57%)
2011824 Jan 2011 (-3.05%), 07 Feb 2011 (-3.03%), 08 Feb 2011 (-3.26%), 07 Mar 2011 (14.33%), 02 Sep 2011 (-5.07%), 11 Oct 2011 (-3.72%), 28 Nov 2011 (-4.27%), 29 Nov 2011 (-4.88%)
2010329 Mar 2010 (8.47%), 02 Jun 2010 (-3.5%), 15 Dec 2010 (-4.3%)
2009405 Feb 2009 (18.25%), 12 Nov 2009 (-4.33%), 07 Dec 2009 (-3.98%), 24 Dec 2009 (9.2%)
2008606 Feb 2008 (-12.52%), 26 Mar 2008 (29.45%), 18 Jun 2008 (-6.78%), 10 Jul 2008 (27.57%), 03 Nov 2008 (-9.89%), 04 Dec 2008 (24.13%)
2007219 Mar 2007 (14.07%), 30 Aug 2007 (12.94%)
2006316 Feb 2006 (-2.97%), 20 Jun 2006 (-9.1%), 28 Dec 2006 (11.59%)
2005405 Apr 2005 (-3.71%), 27 Apr 2005 (-4.58%), 05 May 2005 (-3.89%), 09 Nov 2005 (-4.07%)
2004327 May 2004 (-10.01%), 10 Jun 2004 (-8.07%), 29 Jun 2004 (23.85%)
2002517 Apr 2002 (-8.58%), 07 May 2002 (-6.15%), 20 Aug 2002 (-7.3%), 17 Sep 2002 (-5.89%), 21 Oct 2002 (-5.11%)
2001218 Jul 2001 (-12.03%), 26 Sep 2001 (26.68%)
2000118 Feb 2000 (-6.15%)
1999622 Feb 1999 (18.11%), 25 Mar 1999 (-6.6%), 17 Apr 1999 (-7.34%), 30 Apr 1999 (20.0%), 24 Nov 1999 (-5.88%), 23 Dec 1999 (19.0%)
1998601 Jun 1998 (-4.85%), 26 Jun 1998 (-4.93%), 13 Jul 1998 (-4.55%), 11 Sep 1998 (9.54%), 22 Oct 1998 (-5.19%), 23 Dec 1998 (10.02%)
1997308 May 1997 (-3.72%), 25 Nov 1997 (-3.37%), 12 Dec 1997 (10.92%)
1996529 Mar 1996 (8.81%), 05 Jun 1996 (-3.16%), 08 Jul 1996 (-3.36%), 11 Jul 1996 (-3.3%), 23 Oct 1996 (-5.11%)
1995504 Apr 1995 (-3.15%), 13 Jul 1995 (9.59%), 19 Sep 1995 (-3.2%), 30 Nov 1995 (-4.55%), 01 Dec 1995 (-5.13%)



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