Study: Buy ONGC when RSI is above 50 and there is Bullish Centerline 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 Centerline 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
1-2109.37116554.551786.293403.06-2565.42-7120.130.70.84-0.014-191.76
2-19369.08114736.361657.822903.53-3714.34-9547.250.450.26-0.097-1760.83
3-7389.57114736.363587.626560.86-3105.72-6744.191.160.66-0.037-671.78
44470.97115645.454879.586612.23-3321.15-5601.051.471.220.019406.45
528270116554.556497.3417034.9-2142.81-7200.153.033.640.0872570
634090.09116554.558080.1622094.14-2878.17-4941.862.813.370.0863099.1
717233.27116554.557340.4122062.12-5361.84-12790.71.371.640.0371566.66
812601.46115645.4510339.9219980.79-6516.36-7483.251.591.320.0251145.59
9-8072.65115645.458220.5816730.71-8195.92-14796.6410.84-0.016-733.88
106113.27116554.557378.1116650.66-7631.08-13893.230.971.160.012555.75
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ONGC Performance, X=5, Profit Factor:3.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-0.81%)
2017105 Jan 2017 (-0.05%)
2016105 Aug 2016 (3.39%)
2015115 May 2015 (1.3%)
2013107 Mar 2013 (-0.12%)
2010112 Aug 2010 (0.02%)
2008122 Sep 2008 (-3.6%)
2007105 Dec 2007 (3.94%)
2006127 Feb 2006 (-0.77%)
2003230 Sep 2003 (2.32%), 03 Dec 2003 (8.52%)

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
atrnil38.36-13284.65113827.2715776.5417337.16-7576.79-10882.522.080.78-0.023-1207.7
atrnil27.64-29061.19113827.2710517.711558.1-7576.79-10882.521.390.52-0.065-2641.93
atrtrail34.91-20759.08112918.188137.0515106.4-4114.8-8183.671.980.44-0.065-1887.19
atrtrail24.73-25794.55112918.185619.3110070.93-4114.8-8183.671.370.3-0.1-2344.96
atrtrail-15.09-26330.44112918.185351.379535.04-4114.8-8183.671.30.29-0.11-2393.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.6%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, Profit Factor:0.781

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-2.78%)
2017105 Jan 2017 (-2.16%)
2016105 Aug 2016 (7.55%)
2015115 May 2015 (-3.23%)
2013107 Mar 2013 (-3.29%)
2010112 Aug 2010 (7.44%)
2008122 Sep 2008 (-5.44%)
2007105 Dec 2007 (-4.92%)
2006127 Feb 2006 (-3.13%)
2003230 Sep 2003 (-5.36%), 03 Dec 2003 (8.67%)



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