Study: Buy NMDC 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 NMDC 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 NMDC 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
141260.1460263443.335655.3939944.48-3111.17-13570.131.821.390.028687.67
2108270603030507250.156322-3641.12-12620.241.991.990.0551804.49
371801.13603030507111.8942165.16-4718.52-17300.131.511.510.0411196.69
455219.160342656.676635.1841748.79-6552.96-18348.621.011.320.029920.32
564590.4260293148.338585.8141498.96-5948.33-20358.241.441.350.0321076.51
650278.7760322853.337453.9536613.46-6723.13-23416.341.111.270.025837.98
710277460342656.678524.2136752.26-7194.19-19484.491.181.550.0491712.9
815349160342656.6710168.1341559.03-7393.29-20096.111.381.80.0642558.18
91326146030305011616.0334896.9-7195.56-21192.281.611.610.0542210.24
101345226030305012086.4150532.52-7602.35-23632.391.591.590.0492242.03
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
atrtrail-15.8821219966293743.9414600.97131728-5708.9-13906.672.5620.0493215.13
atrtrail24.5710926669323746.3810015.4831479.42-5708.9-13906.671.751.520.0491583.56
atrtrail35.1310605268313745.5910234.8747219.14-5708.9-13906.671.791.50.0421559.58
atrnil26.0312740869284140.5814893.4831479.42-7063.65-13906.672.111.440.0481846.49
atrnil37.3413841368214730.8822405.9847219.14-7066.22-13906.673.171.420.0412035.49

In the table above, row 1 shows the best exit criterion. Profit factor is 2. 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 43.94%, which is not acceptable. Avoid this strategy. Average return per trade is 1.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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.
NMDC Performance, Profit Factor:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Feb 2019 (21.13%)
2018228 Aug 2018 (0.46%), 01 Nov 2018 (-2.98%)
2017703 Jan 2017 (9.15%), 28 Feb 2017 (-2.89%), 03 Jul 2017 (6.65%), 31 Aug 2017 (5.61%), 17 Oct 2017 (-2.53%), 29 Nov 2017 (1.76%), 18 Dec 2017 (2.82%)
20161005 Feb 2016 (-3.17%), 04 Mar 2016 (10.42%), 08 Apr 2016 (-2.33%), 07 Jun 2016 (-0.53%), 22 Jul 2016 (2.86%), 18 Aug 2016 (-0.26%), 07 Sep 2016 (-2.62%), 28 Sep 2016 (-2.81%), 03 Oct 2016 (6.27%), 06 Dec 2016 (1.06%)
2015520 Jan 2015 (-2.59%), 04 May 2015 (0.97%), 12 Oct 2015 (2.4%), 30 Nov 2015 (-2.05%), 17 Dec 2015 (-2.63%)
2014716 Jan 2014 (-2.21%), 14 May 2014 (-2.56%), 15 May 2014 (11.43%), 03 Jun 2014 (2.59%), 23 Jul 2014 (-1.97%), 04 Aug 2014 (-1.75%), 03 Sep 2014 (1.11%)
2013412 Aug 2013 (1.28%), 10 Oct 2013 (3.7%), 03 Dec 2013 (1.01%), 30 Dec 2013 (-2.64%)
2012518 May 2012 (-3.93%), 08 Jun 2012 (14.87%), 23 Aug 2012 (0.42%), 10 Sep 2012 (-2.81%), 28 Sep 2012 (-2.4%)
2011907 Feb 2011 (-1.34%), 16 Feb 2011 (-1.91%), 03 Mar 2011 (0.21%), 01 Apr 2011 (-1.62%), 30 May 2011 (0.64%), 01 Jul 2011 (-2.29%), 25 Jul 2011 (-2.31%), 05 Sep 2011 (-2.78%), 10 Oct 2011 (1.71%)
2010515 Jan 2010 (11.11%), 07 Sep 2010 (1.32%), 04 Oct 2010 (-1.37%), 05 Nov 2010 (-3.03%), 03 Dec 2010 (-4.25%)
20091128 Jan 2009 (-6.8%), 18 Mar 2009 (1.05%), 06 May 2009 (-2.38%), 18 May 2009 (-6.39%), 19 May 2009 (65.86%), 17 Jul 2009 (-6.95%), 05 Aug 2009 (-5.43%), 27 Aug 2009 (-3.48%), 07 Sep 2009 (-3.83%), 09 Nov 2009 (21.83%), 30 Dec 2009 (-1.81%)



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