Study: Buy NIFTY 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 NIFTY 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 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
113423.842416866.671814.484058.26-1950.97-8000.930.931.860.071559.33
29857.932417770.832472.27014.39-4595.63-11955.450.541.310.031410.75
319661.142416866.672997.077284.38-3536.5-9702.020.851.690.065819.21
425149.0724186753060.667283-4990.45-10533.450.611.840.0771047.88
541389.132416866.674346.8111960.11-3519.97-5953.131.232.470.111724.55
645993.9824141058.335017.4215532.37-2424.98-5209.632.072.90.131916.42
746838.782416866.674885.4316131.8-3916.01-7965.71.252.50.111951.62
862116.8624186755236.2113849.19-5355.82-9198.060.982.930.142588.2
962093.1824186755554.2915562.21-6314-15527.10.882.640.122587.22
1081135.8824186756276.6715448.23-5307.38-15405.461.183.550.163380.66
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
NIFTY Performance, X=10, Profit Factor:3.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020210 Feb 2020 (-1.94%), 31 Mar 2020 (7.72%)
2019227 Feb 2019 (4.97%), 14 Aug 2019 (-0.74%)
2018313 Mar 2018 (-2.33%), 02 Apr 2018 (3.1%), 29 Oct 2018 (3.24%)
2016429 Jan 2016 (-7.7%), 01 Mar 2016 (3.83%), 29 Nov 2016 (0.98%), 29 Dec 2016 (3.75%)
2015318 Jun 2015 (3.31%), 26 Nov 2015 (-2.54%), 18 Dec 2015 (0.38%)
2014117 Feb 2014 (3.7%)
2013130 Aug 2013 (6.74%)
2012125 May 2012 (3.01%)
2011515 Feb 2011 (0.75%), 30 May 2011 (0.18%), 30 Aug 2011 (1.49%), 29 Sep 2011 (2.33%), 26 Dec 2011 (-0.67%)
2010201 Jun 2010 (5.07%), 14 Dec 2010 (1.96%)

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-16.2513272.94241212504030.711396.76-2924.62-11895.991.381.380.037553.04
atrtrail24.2913081.35241212504014.737612.68-2924.62-11895.991.371.370.038545.06
atrtrail35.588921.16241212503668.057212.12-2924.62-11895.991.251.250.027371.71
atrnil39.046515.652481633.338605.5511661.66-3895.55-11895.992.211.10.013271.49
atrnil26.581448.5924101441.675781.77774.44-4026.31-11895.991.441.030.003660.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
NIFTY Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020210 Feb 2020 (0.28%), 31 Mar 2020 (-5.95%)
2019227 Feb 2019 (5.7%), 14 Aug 2019 (-1.2%)
2018313 Mar 2018 (-1.22%), 02 Apr 2018 (-0.84%), 29 Oct 2018 (3.61%)
2016429 Jan 2016 (-1.49%), 01 Mar 2016 (2.73%), 29 Nov 2016 (-0.41%), 29 Dec 2016 (3.2%)
2015318 Jun 2015 (1.46%), 26 Nov 2015 (-0.16%), 18 Dec 2015 (1.59%)
2014117 Feb 2014 (0.26%)
2013130 Aug 2013 (-0.84%)
2012125 May 2012 (-0.15%)
2011515 Feb 2011 (-0.73%), 30 May 2011 (0.73%), 30 Aug 2011 (0.87%), 29 Sep 2011 (-2.28%), 26 Dec 2011 (-2.27%)
2010201 Jun 2010 (1.47%), 14 Dec 2010 (2.29%)



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