Study: Buy MUTHOOTFIN when RSI is above 50 and there is Bullish Crossover in MACD

home > technical-strategy > muthootfin > 30

In this study, we evaluate the performance of strategy "Buy MUTHOOTFIN 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 MUTHOOTFIN 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
119310.0654223240.745329.7320274.91-3060.75-10214.551.741.20.022357.59
256826.0854233142.598638.6340893.47-4576.21-14878.731.891.40.0391052.33
38437.3754223240.748651.4430213.73-5684.2-20787.191.521.050.0055156.25
423050.4654262848.15950234682.64-8000.06-27220.751.191.10.013426.86
575529.175427275011494.1432030.65-8696.76-23818.161.321.320.0371398.69
611813.0454233142.5911774.7934712.64-8355.07-31683.171.411.050.0058218.76
7-13840.4454233142.5911497.1750881.23-8976.62-38572.031.280.95-0.0063-256.3
8-7028.4654223240.7412232.5558937.82-8629.52-34751.081.420.97-0.003-130.16
9-42723.7654223240.741280045952.07-10135.12-34723.191.260.87-0.018-791.18
1038954.5654252946.314257.4154329.5-10947.61-39269.281.31.120.014721.38
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
atrnil36.1678720.8463184528.5723261.3240567.36-7555.18-11726.513.081.230.031249.54
atrtrail34.0938949.465234235.3813955.6140567.36-6714.99-11726.512.081.140.017599.22
atrtrail23.7138716.3566254137.8812769.5727044.9-6842.02-11726.511.871.140.02586.61
atrnil24.7435583.7365234235.3815334.4327044.9-7550.19-11726.512.031.110.017547.44
atrtrail-14.685048.0462224035.4812326.4440779.41-6653.34-11726.511.851.020.002581.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
MUTHOOTFIN Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019714 Feb 2019 (11.17%), 29 Mar 2019 (-2.59%), 20 May 2019 (-3.14%), 18 Jul 2019 (-2.83%), 02 Aug 2019 (-3.09%), 27 Aug 2019 (-3.15%), 20 Sep 2019 (10.09%)
2018513 Mar 2018 (-4.06%), 24 Jul 2018 (-3.46%), 27 Jul 2018 (-3.88%), 05 Sep 2018 (-3.19%), 12 Dec 2018 (14.36%)
2017829 Mar 2017 (-3.13%), 30 Mar 2017 (9.74%), 31 May 2017 (10.53%), 14 Jul 2017 (-3.03%), 31 Aug 2017 (-3.43%), 12 Oct 2017 (-3.43%), 01 Nov 2017 (-2.99%), 02 Nov 2017 (-3.13%)
20161308 Jan 2016 (-2.83%), 27 Jan 2016 (-3.78%), 31 Mar 2016 (7.46%), 09 May 2016 (-3.63%), 10 May 2016 (11.5%), 30 May 2016 (13.15%), 29 Jun 2016 (-4.71%), 27 Jul 2016 (12.01%), 08 Sep 2016 (-4.41%), 22 Sep 2016 (-4.2%), 23 Sep 2016 (-4.35%), 24 Oct 2016 (-3.54%), 09 Nov 2016 (-5.08%)
2015901 Jan 2015 (-3.06%), 02 Jan 2015 (-3.52%), 19 Jan 2015 (11.2%), 23 Feb 2015 (10.71%), 28 Feb 2015 (-4.2%), 02 Mar 2015 (-4.9%), 31 Mar 2015 (-4.08%), 29 Jun 2015 (9.59%), 01 Dec 2015 (-3.06%)
2014810 Feb 2014 (14.04%), 11 Feb 2014 (-4.91%), 17 Apr 2014 (-4.3%), 12 Sep 2014 (-3.51%), 19 Sep 2014 (-4.04%), 30 Sep 2014 (-4.35%), 31 Oct 2014 (-3.17%), 01 Dec 2014 (-2.94%)
2013330 Jan 2013 (-3.86%), 12 Aug 2013 (20.28%), 26 Dec 2013 (9.51%)
2012609 Mar 2012 (-3.59%), 03 Aug 2012 (-4.95%), 05 Sep 2012 (11.64%), 12 Nov 2012 (10.55%), 13 Nov 2012 (-3.75%), 31 Dec 2012 (11.82%)
2011411 Aug 2011 (-4.08%), 06 Sep 2011 (-5.11%), 12 Oct 2011 (-3.7%), 08 Dec 2011 (-5.86%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play