Study: Buy ONGC 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 ONGC 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 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
1-30892.6668244435.293350.5310786.8-2529.67-10625.471.320.72-0.025-454.3
24319.9168363252.944586.3325571.07-5024.62-19142.530.911.030.001963.53
3-6948.0568373154.415387.6641370.56-6654.57-23852.550.810.97-0.0023-102.18
4-9885.3168383055.885736.8724809.64-7596.21-21840.070.760.96-0.0034-145.37
5-16627.4568333548.537498.2429187.82-7544.83-20286.150.990.94-0.0051-244.52
615362.62683434508049.5533121.83-7597.71-19235.231.061.060.0046225.92
761392.9268392957.357954.6429607.9-8580.62-27207.420.931.250.017902.84
851457.45683434508304.3222918.48-6790.87-21877.171.221.220.016756.73
970225.4268353351.478806.8725318.74-7212.58-24385.111.221.30.0211032.73
1012668868392957.359612.8438352.52-8559.08-28357.231.121.510.0331863.05
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
atrnil311.3726225775284737.3323158.1543876.21-8216.4-17915.822.821.680.0443496.77
atrnil28.0510394576314540.7915301.1529250.81-8230.91-17915.821.861.280.0231367.69
atrtrail35.4143868.8679295036.7112026.5437427.13-6098.02-15310.961.971.140.01555.3
atrtrail24.82-12771.5879295036.7110073.4224951.42-6098.02-15310.961.650.96-0.0036-161.67
atrtrail-15.75-18537.2479295036.719874.6131478-6098.02-15310.961.620.94-0.005-234.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.68. 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 37.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, Profit Factor:1.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Aug 2019 (-3.73%)
2018527 Feb 2018 (-2.89%), 26 Mar 2018 (7.22%), 05 Jul 2018 (8.84%), 01 Nov 2018 (-4.07%), 13 Dec 2018 (-3.35%)
2017408 Mar 2017 (-1.89%), 22 Mar 2017 (-1.75%), 11 Apr 2017 (-1.51%), 05 Jul 2017 (-2.24%)
2016109 Mar 2016 (11.45%)
2015617 Mar 2015 (-2.5%), 07 Aug 2015 (-2.6%), 10 Aug 2015 (-2.76%), 09 Sep 2015 (-3.87%), 01 Dec 2015 (-2.73%), 17 Dec 2015 (8.64%)
2014513 Feb 2014 (7.76%), 13 Aug 2014 (8.57%), 21 Oct 2014 (-3.24%), 31 Oct 2014 (-2.83%), 22 Dec 2014 (-3.22%)
2013403 Apr 2013 (-3.41%), 12 Apr 2013 (9.85%), 23 Aug 2013 (-5.23%), 04 Sep 2013 (16.02%)
2012411 Jan 2012 (7.67%), 09 Apr 2012 (-3.02%), 17 Apr 2012 (-2.93%), 29 Nov 2012 (5.92%)
2011531 Jan 2011 (-3.12%), 15 Feb 2011 (-3.67%), 01 Mar 2011 (-3.52%), 02 Jun 2011 (-3.6%), 28 Sep 2011 (8.58%)
2010316 Feb 2010 (-3.21%), 26 Mar 2010 (-2.12%), 28 Apr 2010 (-2.23%)
2009130 Jan 2009 (18.0%)
2008606 Feb 2008 (-7.66%), 14 Feb 2008 (-7.06%), 15 Feb 2008 (-7.24%), 17 Jun 2008 (-5.19%), 03 Jul 2008 (17.94%), 04 Nov 2008 (-8.96%)
2007215 Mar 2007 (12.83%), 29 Aug 2007 (12.23%)
2006119 Jun 2006 (21.94%)
2005227 Jan 2005 (7.45%), 08 Nov 2005 (10.9%)
2004219 Feb 2004 (-5.24%), 07 Jun 2004 (-6.64%)
2003104 Apr 2003 (6.6%)
2002208 Oct 2002 (8.93%), 09 Dec 2002 (-3.55%)
2001330 Mar 2001 (-5.67%), 04 Apr 2001 (17.57%), 26 Sep 2001 (13.89%)
2000407 Jan 2000 (-4.48%), 28 Apr 2000 (-7.26%), 29 Aug 2000 (-4.34%), 19 Oct 2000 (10.67%)
1999417 Feb 1999 (-5.57%), 18 Mar 1999 (-5.53%), 21 Apr 1999 (-5.99%), 22 Apr 1999 (-6.41%)
1998204 Feb 1998 (11.45%), 26 Jun 1998 (-5.93%)
1997410 Sep 1997 (14.42%), 21 Nov 1997 (-3.47%), 15 Dec 1997 (-2.68%), 26 Dec 1997 (-2.96%)
1996331 Jul 1996 (6.87%), 17 Oct 1996 (18.71%), 12 Dec 1996 (13.28%)



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