Study: Buy PAGEIND 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 PAGEIND 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 PAGEIND 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
17289.6587434449.434258.0630930.69-3995.62-21339.61.071.040.003983.79
293416.287454251.726031.6231948.91-4238.25-21033.941.421.520.0411073.75
384032.287424548.287400.1530153.63-5039.43-200001.471.370.032965.89
498341.2787474054.027228.9625428.72-6035.49-17192.171.21.410.0371130.36
517227787474054.028769.2236141.23-5996.91-20816.891.461.720.0561980.19
613796287483955.178841.5837821.96-7344.47-26987.971.21.480.0421585.77
712220987483955.178659.9129932.02-7524.79-25372.251.151.420.0381404.7
814163587444350.5710175.1929630.22-7117.98-26169.121.431.460.0421627.99
919436887464152.8710886.1730834.18-7473.06-30011.621.461.630.0542234.12
1022451387474054.0211544.4933878.17-7951.96-26415.131.451.710.0592580.6
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
atrnil39.0821486593355837.6320189.5135940.63-8478.76-20282.992.381.440.0462310.37
atrtrail24.63122453102426041.1811859.1823960.42-6260.55-20282.991.891.330.0341200.52
atrnil26.33104420101445743.5613324.423960.42-8453.57-20282.991.581.220.0261033.86
atrtrail35.4170841.4698386038.7811998.7535940.63-6418.52-20282.991.871.180.019722.87
atrtrail-16.09-19105.9195365937.899976.5530425.81-6411.22-20282.991.560.95-0.0058-201.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 37.63%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
PAGEIND Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (10.66%), 17 May 2019 (-2.99%), 11 Jul 2019 (-2.79%), 24 Oct 2019 (10.65%)
2018512 Feb 2018 (-4.27%), 27 Mar 2018 (10.45%), 28 May 2018 (9.71%), 01 Aug 2018 (-2.26%), 02 Aug 2018 (6.96%)
2017506 Jun 2017 (9.44%), 03 Jul 2017 (-3.81%), 17 Aug 2017 (10.71%), 23 Oct 2017 (7.46%), 18 Dec 2017 (-3.66%)
2016730 May 2016 (-3.32%), 30 Jun 2016 (-2.66%), 25 Jul 2016 (-2.21%), 28 Jul 2016 (6.57%), 29 Aug 2016 (-3.06%), 03 Oct 2016 (10.29%), 30 Dec 2016 (12.37%)
2015603 Feb 2015 (-3.24%), 03 Mar 2015 (9.38%), 04 May 2015 (-4.08%), 15 May 2015 (11.3%), 26 Jun 2015 (-3.73%), 06 Aug 2015 (-3.45%)
2014709 Jan 2014 (-2.16%), 28 Feb 2014 (8.42%), 28 May 2014 (8.45%), 19 Jun 2014 (8.87%), 10 Sep 2014 (7.35%), 10 Nov 2014 (-4.25%), 04 Dec 2014 (8.95%)
2013801 Jan 2013 (-2.16%), 20 Feb 2013 (-3.2%), 28 Mar 2013 (8.34%), 03 May 2013 (9.25%), 30 May 2013 (-3.77%), 03 Jul 2013 (-3.55%), 05 Nov 2013 (-2.09%), 27 Nov 2013 (8.14%)
2012705 Mar 2012 (11.22%), 29 May 2012 (-3.18%), 03 Jul 2012 (-2.87%), 30 Jul 2012 (7.61%), 11 Sep 2012 (8.55%), 05 Oct 2012 (-2.86%), 03 Dec 2012 (-2.32%)
20111014 Feb 2011 (-6.68%), 28 Mar 2011 (13.95%), 12 May 2011 (-3.47%), 03 Jun 2011 (-3.74%), 10 Jun 2011 (10.38%), 20 Jul 2011 (10.44%), 21 Jul 2011 (-4.37%), 11 Aug 2011 (-6.32%), 28 Oct 2011 (-3.31%), 30 Nov 2011 (-3.44%)
20101225 Mar 2010 (-2.33%), 03 May 2010 (-3.78%), 10 May 2010 (-3.69%), 21 May 2010 (9.44%), 13 Jul 2010 (-3.23%), 30 Jul 2010 (10.05%), 02 Aug 2010 (-3.87%), 07 Oct 2010 (-2.67%), 26 Oct 2010 (11.26%), 01 Dec 2010 (-3.88%), 30 Dec 2010 (-4.18%), 31 Dec 2010 (-4.3%)
20091126 Feb 2009 (-6.7%), 16 Mar 2009 (17.97%), 05 Jun 2009 (17.5%), 27 Jul 2009 (-4.48%), 26 Aug 2009 (-3.57%), 27 Aug 2009 (-3.65%), 17 Oct 2009 (-3.13%), 20 Oct 2009 (-3.21%), 03 Nov 2009 (14.89%), 10 Dec 2009 (7.78%), 11 Dec 2009 (8.54%)
20081006 Feb 2008 (-9.11%), 28 Feb 2008 (-6.48%), 03 Apr 2008 (-6.89%), 30 May 2008 (-5.32%), 16 Jun 2008 (-6.19%), 18 Jul 2008 (-7.34%), 31 Jul 2008 (-6.3%), 26 Aug 2008 (-5.7%), 22 Oct 2008 (-10.14%), 11 Dec 2008 (-10.14%)
2007105 Dec 2007 (-6.35%)



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