Study: Buy ONGC 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 ONGC 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 ONGC 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
11593351447272504887.7940014.56-2674.81-11688.61.831.830.0391106.49
297828.77144707448.615847.751847.81-4209.6-20717.361.391.310.018679.37
377130.16143677646.856926.1453886.76-5091.07-26653.431.361.20.012539.37
4100258143707348.957687.9856452.73-5998.63-26266.851.281.230.014701.11
554930.28143657845.458561.6748607.32-6430.49-26325.751.331.110.0076384.13
663699.58143697448.259261.3157236.48-7774.74-29612.631.191.110.0078445.45
7110351143707348.959786.9641798.65-7873.09-30071.741.241.190.014771.69
8109560143677646.8511019.3257418.73-8272.81-38450.51.331.170.012766.16
9270324143717249.6512955.792891.65-9021.26-36973.391.441.420.0231890.38
10307322143717249.6514247.87130711-9781.62-33924.611.461.440.0222149.1

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.83. 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 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study.

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
nilnil-111593351447272504887.7940014.56-2674.81-11688.61.831.830.0391106.49
atrtrail23.712125411747010440.2310915.0422862.43-5302.99-11689.382.061.390.0281221.5
atrtrail34.28170260166699741.579931.5530588.05-5309.46-11689.381.871.330.0221025.66
atrnil24.541998981746710738.5113301.0122862.43-6460.47-11689.382.061.290.0241148.84
atrtrail-14.75143500163659839.8810048.5588272.1-5200.57-11689.381.931.280.016880.37
atrnil37.9982675.381564211426.9219878.3134293.65-6598.36-11689.383.011.110.0089529.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. 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 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
ONGC Performance, X=1, Profit Factor:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019618 Jan 2019 (-1.4%), 04 Feb 2019 (-2.26%), 20 Feb 2019 (2.01%), 23 Apr 2019 (2.99%), 21 May 2019 (1.29%), 14 Oct 2019 (2.51%)
2018323 Jan 2018 (1.69%), 21 Aug 2018 (1.0%), 21 Sep 2018 (0.11%)
2017706 Jan 2017 (-2.25%), 24 Jan 2017 (1.64%), 07 Mar 2017 (-1.76%), 28 Apr 2017 (3.14%), 04 Sep 2017 (0.62%), 24 Oct 2017 (0.48%), 13 Dec 2017 (0.24%)
2016929 Jan 2016 (-0.53%), 22 Feb 2016 (0.09%), 13 Apr 2016 (-2.72%), 20 May 2016 (-2.32%), 21 Jun 2016 (0.37%), 09 Aug 2016 (0.02%), 08 Sep 2016 (3.51%), 04 Oct 2016 (-2.52%), 28 Nov 2016 (0.28%)
2015304 May 2015 (4.2%), 18 May 2015 (-1.29%), 19 Jun 2015 (-0.23%)
2014713 Jan 2014 (-0.9%), 12 Feb 2014 (-3.39%), 27 Mar 2014 (-0.48%), 05 May 2014 (0.54%), 05 Jun 2014 (11.09%), 12 Aug 2014 (-0.88%), 20 Oct 2014 (-2.63%)
2013911 Mar 2013 (0.0%), 02 Apr 2013 (-2.1%), 15 May 2013 (0.85%), 27 Jun 2013 (3.39%), 18 Jul 2013 (0.73%), 05 Sep 2013 (6.74%), 11 Oct 2013 (-0.38%), 25 Nov 2013 (-0.42%), 26 Dec 2013 (-0.09%)
2012918 Jan 2012 (1.32%), 21 Feb 2012 (0.27%), 04 Apr 2012 (-2.01%), 24 May 2012 (-0.25%), 21 Aug 2012 (-0.3%), 12 Sep 2012 (0.98%), 05 Oct 2012 (-1.78%), 30 Nov 2012 (-1.06%), 20 Dec 2012 (-1.49%)
2011820 Apr 2011 (3.05%), 24 Jun 2011 (4.18%), 25 Jul 2011 (-1.11%), 08 Aug 2011 (0.81%), 23 Aug 2011 (0.14%), 16 Sep 2011 (-1.91%), 30 Nov 2011 (-0.15%), 22 Dec 2011 (-0.96%)
2010605 Jan 2010 (1.26%), 29 Mar 2010 (0.39%), 25 Jun 2010 (3.28%), 16 Aug 2010 (-0.9%), 04 Nov 2010 (0.81%), 02 Dec 2010 (0.43%)
2009825 Feb 2009 (2.77%), 13 Mar 2009 (1.3%), 19 May 2009 (-0.13%), 03 Jul 2009 (-5.84%), 21 Jul 2009 (4.54%), 24 Aug 2009 (-1.02%), 01 Oct 2009 (-1.05%), 13 Nov 2009 (1.31%)
2008315 Apr 2008 (-0.83%), 05 Jun 2008 (-1.9%), 24 Sep 2008 (0.87%)
2007419 Jun 2007 (0.8%), 16 Jul 2007 (-0.12%), 29 Oct 2007 (-1.45%), 11 Dec 2007 (1.13%)
2006613 Mar 2006 (0.99%), 20 Apr 2006 (-0.42%), 08 May 2006 (4.39%), 25 Jul 2006 (4.09%), 16 Oct 2006 (-0.43%), 21 Dec 2006 (1.15%)
2005825 Feb 2005 (1.19%), 06 Apr 2005 (-2.17%), 06 May 2005 (1.1%), 22 Jun 2005 (-0.33%), 26 Jul 2005 (-0.23%), 17 Aug 2005 (-1.55%), 08 Sep 2005 (-0.15%), 27 Sep 2005 (2.72%)
2004501 Mar 2004 (-0.75%), 12 Apr 2004 (0.54%), 27 Aug 2004 (0.77%), 16 Sep 2004 (2.29%), 02 Dec 2004 (1.17%)
2003702 Jan 2003 (-0.03%), 21 Feb 2003 (0.0%), 07 Apr 2003 (-0.44%), 04 Aug 2003 (-1.08%), 06 Oct 2003 (-0.94%), 04 Nov 2003 (2.11%), 09 Dec 2003 (5.04%)
20021103 Jan 2002 (-0.11%), 31 Jan 2002 (6.63%), 28 Mar 2002 (20.01%), 15 May 2002 (5.45%), 12 Jun 2002 (-0.62%), 04 Jul 2002 (-1.72%), 14 Aug 2002 (1.39%), 06 Sep 2002 (-4.51%), 07 Oct 2002 (-1.39%), 31 Oct 2002 (2.91%), 06 Dec 2002 (-1.81%)
2001304 Jan 2001 (-2.25%), 18 May 2001 (4.62%), 13 Jul 2001 (-0.73%)
2000306 Jan 2000 (-1.62%), 27 Jan 2000 (0.46%), 22 Jun 2000 (7.55%)
1999510 Jun 1999 (-4.76%), 05 Jul 1999 (-0.71%), 16 Aug 1999 (-1.84%), 08 Oct 1999 (1.29%), 25 Nov 1999 (3.6%)
1998325 Mar 1998 (-0.94%), 26 Oct 1998 (0.69%), 28 Dec 1998 (4.27%)
1997719 Feb 1997 (-2.07%), 23 Apr 1997 (6.1%), 15 May 1997 (-1.32%), 04 Jun 1997 (1.18%), 07 Aug 1997 (-1.63%), 10 Oct 1997 (-0.99%), 24 Nov 1997 (-2.1%)
1996418 Apr 1996 (1.11%), 04 Jun 1996 (1.95%), 27 Jun 1996 (-0.97%), 02 Sep 1996 (-2.9%)



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