Study: Buy PIDILITIND when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy PIDILITIND when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy PIDILITIND 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
1-98452.4753282552.834985.6118801.6-9521.98-1786440.520.59-0.015-1857.59
2-20214053282552.835645.1825619.17-14408.18-1773760.390.44-0.028-3813.95
3-16928153262749.067122.6522370.17-13128.52-1754600.540.52-0.023-3193.98
4-18604553272650.946940.1216128.06-14362.65-1748800.480.5-0.026-3510.29
5-18944453262749.068163.725822.94-14877.8-1752850.550.53-0.026-3574.42
6-18255653272650.94813323433.04-15467.19-1759870.530.55-0.025-3444.45
7-13302853272650.949532.1626965.28-15015.22-1769310.630.66-0.018-2509.96
8-36661.5553282552.8313698.9359532.71-16809.26-1768230.810.91-0.0046-691.73
9-69041.2453292454.7212801.3149719.63-18344.97-1774570.70.84-0.0087-1302.66
10-11286853252847.1714095.8549906.54-16616.58-1782120.850.76-0.014-2129.58
Although, strategy looks good but profit factor on day 2 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
atrnil36.3116713362233937.118513.0629391.02-6632.49-10429.692.791.650.0442695.7
atrtrail34.383319.5763263741.2710537.2223590.13-5152.65-9433.12.051.440.0281322.53
atrnil24.4884458.8565273841.5412465.1719594.01-6634.23-10429.691.881.340.0271299.37
atrtrail23.5754406.2167283941.799626.316885.07-5516.16-9433.11.751.250.02812.03
atrtrail-15.1735993.6658253343.18153.8728928.23-5086.46-9433.11.61.210.015620.58

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 37.1%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 May 2019 (8.31%), 23 Sep 2019 (-2.62%)
2018128 May 2018 (-2.77%)
2017415 Mar 2017 (-2.03%), 04 May 2017 (4.93%), 01 Jun 2017 (7.22%), 08 Dec 2017 (-2.46%)
2015116 Jan 2015 (-3.78%)
2014225 Aug 2014 (-2.65%), 23 Dec 2014 (11.8%)
2013431 Jan 2013 (8.54%), 01 Feb 2013 (-3.38%), 28 May 2013 (-2.88%), 29 Nov 2013 (-3.06%)
2012327 Mar 2012 (7.71%), 19 Apr 2012 (-3.42%), 31 Dec 2012 (8.24%)
2011514 Feb 2011 (12.66%), 27 Jun 2011 (11.37%), 19 Jul 2011 (-3.08%), 05 Sep 2011 (-3.28%), 31 Oct 2011 (-2.74%)
2010607 Jan 2010 (-4.27%), 22 Jul 2010 (10.66%), 02 Sep 2010 (9.56%), 27 Sep 2010 (-3.01%), 04 Nov 2010 (-3.82%), 30 Nov 2010 (-3.61%)
2009227 Aug 2009 (14.7%), 12 Nov 2009 (11.79%)
2007131 Dec 2007 (-5.21%)
2006513 Apr 2006 (-3.96%), 21 Oct 2006 (-3.93%), 15 Nov 2006 (-3.13%), 24 Nov 2006 (11.79%), 27 Nov 2006 (-4.25%)
2005204 Aug 2005 (9.1%), 19 Sep 2005 (-4.0%)
2003720 Jun 2003 (7.67%), 08 Jul 2003 (-2.57%), 04 Aug 2003 (6.53%), 05 Aug 2003 (8.37%), 09 Sep 2003 (-3.12%), 10 Sep 2003 (-3.28%), 09 Oct 2003 (-2.97%)
2002409 Apr 2002 (11.64%), 10 Apr 2002 (-4.24%), 13 May 2002 (-3.68%), 14 May 2002 (-4.38%)
2001104 Oct 2001 (-2.89%)
2000129 May 2000 (-3.75%)
1999508 Jan 1999 (9.2%), 09 Feb 1999 (-4.56%), 17 Aug 1999 (9.68%), 29 Sep 1999 (-3.38%), 08 Oct 1999 (-3.35%)
1998109 Apr 1998 (-2.93%)
1997226 Nov 1997 (6.68%), 27 Nov 1997 (-2.4%)
1996312 Feb 1996 (4.75%), 08 May 1996 (-2.18%), 09 May 1996 (-2.32%)



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