Study: Buy ORIENTBANK 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 ORIENTBANK 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 ORIENTBANK 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
181864.21126626449.215126.8225052.34-3687.48-11750.211.391.350.022649.72
2277817126695754.768672.0759106.77-5623.79-21805.71.541.870.0412204.9
3314348126675953.171029668039.08-6364.14-24856.21.621.840.0422494.82
4331781126646250.7911475.6950523.38-6494.56-46942.81.771.820.0432633.19
5327895126646250.7912925.4149476.62-8053.73-49084.251.61.660.0372602.34
6226370126646250.7912559.752267.97-9313.73-53254.441.351.390.0241796.58
7257985126666052.3813747.4766550.72-10822.48-49027.91.271.40.0252047.5
8302729126656151.5915616.6584173.91-11677.92-49647.791.341.420.0252402.61
9316214126586846.0318459.4686608.7-11094.62-46661.031.661.420.0242509.64
10304091126596746.8319564.56100638-12689.82-56861.091.541.360.0212413.42
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-15.67492206143608341.9617600.1785099.1-6792.83-16725.052.591.870.043442
atrtrail34.8310260144618342.3614328.9338742.9-6792.83-16725.052.111.550.0342154.59
atrnil37.11339861136469033.8224336.4238742.9-8662.38-18503.442.811.440.0322498.98
atrtrail24.16222985146638343.1512488.7125828.6-6792.83-16725.051.841.40.0291527.29
atrnil25.24245577143608341.9616079.3825828.6-8664.88-18503.441.861.340.0281717.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.87. 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 41.96%, which is not acceptable. Avoid this strategy. Average return per trade is 1.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
ORIENTBANK Performance, Profit Factor:1.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (12.74%)
2018605 Jan 2018 (-2.11%), 19 Jan 2018 (1.83%), 28 May 2018 (-4.92%), 20 Aug 2018 (-4.14%), 30 Aug 2018 (-4.24%), 19 Dec 2018 (3.04%)
2017316 Mar 2017 (8.34%), 26 Apr 2017 (9.65%), 25 Oct 2017 (-3.92%)
2016513 Apr 2016 (2.39%), 24 Aug 2016 (-3.7%), 30 Aug 2016 (2.58%), 26 Sep 2016 (0.0%), 24 Oct 2016 (-3.73%)
2015514 May 2015 (-5.12%), 04 Aug 2015 (-3.35%), 17 Aug 2015 (-4.75%), 04 Nov 2015 (0.86%), 27 Nov 2015 (-2.92%)
2014622 Apr 2014 (2.88%), 12 May 2014 (27.52%), 22 Aug 2014 (-4.31%), 20 Oct 2014 (4.04%), 01 Dec 2014 (-0.38%), 24 Dec 2014 (-0.5%)
2013802 Jan 2013 (-3.42%), 15 May 2013 (-3.11%), 14 Oct 2013 (-5.25%), 23 Oct 2013 (-4.26%), 01 Nov 2013 (-1.3%), 19 Nov 2013 (-5.39%), 05 Dec 2013 (9.72%), 23 Dec 2013 (-2.78%)
2012614 Mar 2012 (-4.12%), 12 Apr 2012 (-4.43%), 07 Sep 2012 (-1.81%), 29 Oct 2012 (-3.97%), 01 Nov 2012 (0.74%), 04 Dec 2012 (4.65%)
2011228 Oct 2011 (-4.44%), 03 Nov 2011 (-1.12%)
2010905 Jan 2010 (-1.65%), 29 Jan 2010 (1.04%), 26 Mar 2010 (4.4%), 29 Apr 2010 (-0.72%), 07 Jun 2010 (-2.87%), 08 Jul 2010 (7.8%), 13 Sep 2010 (-3.3%), 04 Oct 2010 (1.91%), 27 Oct 2010 (-3.12%)
2009315 May 2009 (26.49%), 24 Aug 2009 (31.11%), 16 Nov 2009 (2.49%)
2008701 Jan 2008 (5.17%), 06 Feb 2008 (-8.36%), 14 Feb 2008 (-5.72%), 02 Sep 2008 (0.69%), 13 Oct 2008 (-6.53%), 07 Nov 2008 (-4.52%), 28 Nov 2008 (-7.26%)
2007616 May 2007 (5.94%), 05 Jun 2007 (-4.19%), 29 Jun 2007 (-2.42%), 24 Oct 2007 (-5.04%), 25 Oct 2007 (-0.37%), 05 Dec 2007 (1.28%)
2006727 Feb 2006 (-2.92%), 04 Apr 2006 (-0.99%), 18 Apr 2006 (-3.04%), 03 May 2006 (1.7%), 25 Jul 2006 (-0.09%), 17 Nov 2006 (-3.91%), 20 Nov 2006 (-2.39%)
2005728 Jan 2005 (-4.39%), 11 Feb 2005 (-3.42%), 28 Feb 2005 (13.23%), 06 Sep 2005 (-1.31%), 29 Sep 2005 (2.97%), 14 Nov 2005 (-2.53%), 15 Dec 2005 (4.45%)
2004609 Jan 2004 (-0.66%), 10 Feb 2004 (-4.27%), 27 Feb 2004 (6.36%), 30 Mar 2004 (9.36%), 04 Oct 2004 (1.61%), 03 Nov 2004 (31.17%)
20031020 Feb 2003 (-2.59%), 20 Mar 2003 (27.5%), 30 Apr 2003 (42.55%), 26 Jun 2003 (19.6%), 20 Aug 2003 (-5.03%), 11 Sep 2003 (-5.03%), 12 Sep 2003 (-5.48%), 26 Sep 2003 (38.11%), 04 Dec 2003 (-4.36%), 12 Dec 2003 (-4.22%)
2002603 Jan 2002 (-3.18%), 01 Apr 2002 (1.66%), 30 May 2002 (12.31%), 11 Sep 2002 (-0.55%), 22 Oct 2002 (-2.12%), 05 Nov 2002 (3.54%)
2001703 Jan 2001 (-3.86%), 12 Jan 2001 (1.52%), 06 Feb 2001 (6.76%), 29 Mar 2001 (-4.8%), 19 Apr 2001 (-4.69%), 20 Apr 2001 (-2.89%), 23 May 2001 (2.63%)
2000230 May 2000 (-3.01%), 11 Dec 2000 (-0.75%)
1999801 Jan 1999 (5.7%), 06 May 1999 (1.24%), 22 Jun 1999 (24.73%), 24 Aug 1999 (-4.51%), 25 Aug 1999 (-2.99%), 07 Oct 1999 (13.35%), 30 Nov 1999 (12.71%), 16 Dec 1999 (0.09%)
1998506 Feb 1998 (1.46%), 16 Mar 1998 (-2.65%), 27 Mar 1998 (-2.95%), 06 Apr 1998 (4.16%), 22 May 1998 (-5.68%)
1997516 Jan 1997 (-4.04%), 27 Feb 1997 (16.04%), 17 Apr 1997 (-0.01%), 21 May 1997 (-3.09%), 13 Jun 1997 (4.14%)
19961022 Jan 1996 (-2.73%), 01 Apr 1996 (8.38%), 04 Jun 1996 (11.74%), 09 Jul 1996 (-3.4%), 10 Jul 1996 (-3.21%), 27 Aug 1996 (0.01%), 29 Nov 1996 (-4.29%), 11 Dec 1996 (-3.55%), 12 Dec 1996 (-3.66%), 20 Dec 1996 (6.95%)
1995318 Jul 1995 (4.14%), 12 Sep 1995 (6.8%), 12 Dec 1995 (-3.15%)



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