Study: Buy ORIENTBANK when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > orientbank > 64

In this study, we evaluate the performance of strategy "Buy ORIENTBANK 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 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
185763.3194464848.945713.753904.28-3688.89-13765.521.551.480.024912.38
274996.5994435145.74701345424.01-4442.4-16622.221.581.330.019797.84
36588.9894484651.066700.8528002.41-6848.95-26044.440.981.020.001570.1
449174.1794445046.819504.0640890.01-7380.09-28088.891.291.130.0091523.13
5-66008.5494395541.4911213.9339869.28-9151.85-33118.281.230.87-0.011-702.22
6-62673.3194375739.3612716.3442810.46-9354-31178.341.360.88-0.0096-666.74
7-66591.1494415343.6212476.9448928.57-10908.41-38709.681.140.88-0.0094-708.42
8-11791194435145.7411208.3267142.86-11762.13-41597.540.950.8-0.016-1254.37
9-46908.5394464848.9411668.1678214.29-12159.25-46758.830.960.92-0.006-499.03
10-509.359447475012628.3697142.86-12639.2-48395.7211-5.9e-05-5.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.48. 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 48.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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-1185763.3194464848.945713.753904.28-3688.89-13765.521.551.480.024912.38
atrnil27.47107514108416737.9618096.7828296.7-9469.46-23069.11.911.170.015995.5
atrnil310.5670688.36108297926.8527830.8642445.05-9321.6-23069.12.991.10.0078654.52
atrtrail24.7533486.65108396936.1113396.3928296.7-7086.56-22709.811.891.070.0056310.06
atrtrail-15.71-34153.89108387035.1912042.8249964.48-7025.44-22709.811.710.93-0.0055-316.24
atrtrail35.38-48792.98108396936.1111286.6530258.7-7086.56-22709.811.590.9-0.0086-451.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 48.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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, X=1, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Feb 2019 (10.86%), 21 May 2019 (1.68%)
2018622 Jan 2018 (2.69%), 14 Mar 2018 (-0.3%), 29 May 2018 (-0.67%), 09 Jul 2018 (1.59%), 23 Jul 2018 (1.58%), 12 Oct 2018 (2.28%)
2017504 Jan 2017 (3.0%), 06 Jul 2017 (-1.96%), 29 Aug 2017 (1.33%), 24 Oct 2017 (26.95%), 20 Dec 2017 (1.43%)
2016628 Jan 2016 (-0.18%), 26 Feb 2016 (-2.8%), 12 Apr 2016 (2.9%), 27 May 2016 (-0.77%), 17 Nov 2016 (0.41%), 01 Dec 2016 (-1.65%)
2015523 Feb 2015 (0.56%), 09 Apr 2015 (4.2%), 22 Jun 2015 (2.05%), 03 Aug 2015 (4.71%), 28 Dec 2015 (-0.68%)
2014418 Feb 2014 (-0.93%), 01 Aug 2014 (0.25%), 19 Aug 2014 (-3.58%), 17 Oct 2014 (3.35%)
2013520 Feb 2013 (-3.42%), 08 Mar 2013 (2.63%), 02 Apr 2013 (-3.09%), 09 Jul 2013 (-1.78%), 12 Aug 2013 (1.4%)
2012405 Jan 2012 (-0.42%), 13 Apr 2012 (1.86%), 21 May 2012 (-0.16%), 16 Aug 2012 (-1.56%)
2011820 Jan 2011 (-1.41%), 04 Feb 2011 (-4.08%), 19 May 2011 (0.97%), 28 Jun 2011 (-0.83%), 05 Sep 2011 (-1.04%), 28 Sep 2011 (-0.27%), 31 Oct 2011 (-0.26%), 05 Dec 2011 (1.02%)
2010116 Dec 2010 (-2.5%)
2009204 Mar 2009 (-0.98%), 21 Jul 2009 (-4.2%)
2008407 Feb 2008 (2.45%), 28 Mar 2008 (-4.57%), 18 Jun 2008 (0.86%), 08 Jul 2008 (2.91%)
2007415 Jan 2007 (-2.11%), 02 Feb 2007 (0.57%), 20 Mar 2007 (4.26%), 31 Aug 2007 (2.61%)
2006328 Feb 2006 (-2.08%), 24 Jul 2006 (5.16%), 28 Dec 2006 (-1.41%)
2005514 Feb 2005 (-1.12%), 03 May 2005 (2.34%), 19 May 2005 (-0.13%), 06 Jul 2005 (-1.11%), 11 Nov 2005 (4.39%)
2004227 May 2004 (-6.88%), 30 Aug 2004 (0.02%)
2002307 Aug 2002 (0.24%), 09 Sep 2002 (1.78%), 08 Oct 2002 (-0.72%)
2001430 Mar 2001 (-2.01%), 21 Jun 2001 (0.42%), 29 Aug 2001 (-3.46%), 28 Sep 2001 (-0.32%)
2000528 Feb 2000 (-5.49%), 16 Mar 2000 (-1.29%), 29 May 2000 (3.07%), 17 Aug 2000 (-0.32%), 23 Oct 2000 (-0.86%)
1999426 Feb 1999 (1.14%), 01 Apr 1999 (-4.82%), 20 Apr 1999 (-1.01%), 05 May 1999 (8.04%)
1998524 Jun 1998 (2.67%), 21 Aug 1998 (-0.11%), 27 Oct 1998 (-0.13%), 09 Dec 1998 (0.13%), 31 Dec 1998 (0.81%)
1997314 Feb 1997 (0.07%), 10 Jul 1997 (-0.98%), 27 Nov 1997 (-4.38%)
1996226 Aug 1996 (3.74%), 11 Oct 1996 (-3.73%)
1995209 May 1995 (0.65%), 11 Dec 1995 (3.4%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play