Study: Buy NIFTY 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 NIFTY 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 NIFTY 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
116547.5670363451.431319.343406.4-910.25-4565.21.451.530.05236.39
224624.4770403057.142010.46350.08-1859.72-4943.371.081.440.046351.78
336030.7470412958.572546.227554.4-2357.38-6779.571.081.530.056514.72
455164.9170432761.432924.119346.29-2613.78-7265.131.121.780.073788.07
547551.6670412958.573256.0111218.47-2963.61-11308.571.11.550.055679.31
640585.8170393155.713522.9812900.87-3122.92-9882.871.131.420.044579.8
733464.970403057.143658.2612619.86-3762.18-11362.040.971.30.033478.07
838042.8370383254.294300.4915627.02-3917.99-12270.481.11.30.033543.47
941426.1270373352.864887.0915685.42-4224.13-16514.971.161.30.032591.8
1044679.170403057.144930.3715495.93-5084.52-19780.650.971.290.032638.27
Although, strategy looks good but profit factor on day 2 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-16.1978928.3575383750.673944.913655.16-1918.32-3709.872.062.110.0821052.38
atrnil38.8793635.8970264437.147595.0214130.45-2359.88-4409.293.221.90.0851337.66
atrtrail35.0961091.8275383750.673475.5210965.73-1918.32-3709.871.811.860.076814.56
atrtrail24.2553920.2175383750.673286.797603.78-1918.32-3709.871.711.760.076718.94
atrnil25.7862672.974334144.594905.829420.3-2419.98-4409.292.031.630.072846.93

In the table above, row 1 shows the best exit criterion. Profit factor is 2.11. 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 50.67%, 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 0.082, 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.
NIFTY Performance, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019801 Jan 2019 (-1.17%), 16 Jan 2019 (-0.37%), 04 Feb 2019 (0.36%), 26 Feb 2019 (5.42%), 20 May 2019 (-1.29%), 03 Jul 2019 (-0.76%), 23 Sep 2019 (-1.73%), 16 Oct 2019 (0.28%)
2018407 Jun 2018 (-0.07%), 09 Jul 2018 (0.7%), 21 Aug 2018 (0.72%), 14 Dec 2018 (0.33%)
20171222 Feb 2017 (-0.6%), 05 Apr 2017 (-0.72%), 26 Apr 2017 (-0.76%), 11 May 2017 (0.42%), 26 May 2017 (0.09%), 07 Jul 2017 (1.89%), 01 Sep 2017 (-0.89%), 04 Sep 2017 (1.61%), 10 Oct 2017 (1.29%), 27 Nov 2017 (-0.78%), 15 Dec 2017 (-0.94%), 18 Dec 2017 (0.46%)
2016702 Mar 2016 (0.69%), 13 Apr 2016 (0.43%), 26 May 2016 (1.49%), 04 Jul 2016 (1.28%), 31 Aug 2016 (0.99%), 24 Oct 2016 (-0.99%), 30 Dec 2016 (2.16%)
2015901 Jan 2015 (0.26%), 09 Jan 2015 (6.83%), 19 Feb 2015 (-1.25%), 02 Mar 2015 (-0.82%), 06 Apr 2015 (0.77%), 19 Jun 2015 (0.84%), 06 Aug 2015 (-1.06%), 27 Nov 2015 (-0.9%), 17 Dec 2015 (-1.14%)
2014715 Jan 2014 (-1.12%), 18 Feb 2014 (-0.62%), 12 May 2014 (3.55%), 05 Jun 2014 (1.01%), 22 Jul 2014 (-0.38%), 18 Aug 2014 (2.89%), 22 Oct 2014 (5.72%)
2013902 Jan 2013 (-0.49%), 15 Jan 2013 (-0.94%), 07 Mar 2013 (0.26%), 16 Apr 2013 (6.13%), 01 Jul 2013 (-1.57%), 09 Oct 2013 (1.63%), 30 Oct 2013 (-0.31%), 02 Dec 2013 (0.98%), 24 Dec 2013 (-0.44%)
2012703 Apr 2012 (-1.72%), 18 Apr 2012 (-0.9%), 02 Aug 2012 (2.58%), 11 Sep 2012 (2.95%), 08 Nov 2012 (-1.01%), 27 Nov 2012 (2.05%), 19 Dec 2012 (-0.98%)
2011623 Mar 2011 (6.2%), 31 May 2011 (-0.85%), 27 Jun 2011 (2.29%), 25 Jul 2011 (-1.37%), 10 Oct 2011 (0.84%), 02 Dec 2011 (-1.82%)
2010605 Apr 2010 (-1.04%), 31 May 2010 (-1.85%), 12 Jul 2010 (0.08%), 19 Aug 2010 (-0.92%), 06 Sep 2010 (6.49%), 04 Nov 2010 (-0.93%)



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