Study: Buy PIDILITIND 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 PIDILITIND 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 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
1-10112.3155243143.643284.2310300.87-2868.83-11743.021.140.89-0.009-183.86
2-1808.0455272849.094425.3418199.77-4331.86-13995.631.020.99-0.0011-32.87
3-14402.655243143.645561.8823728.81-4770.57-18744.141.170.9-0.0074-261.87
436972.0155302554.555995.3125762.71-5715.49-21680.721.051.260.017672.22
528892.6255282750.917042.5530508.47-6233.29-24242.421.131.170.012525.32
641987.4855272849.097791.0528135.59-6013.25-16216.221.31.250.017763.41
732399.9855282750.917610.3425423.73-6692.21-16216.221.141.180.013589.09
855777.7155292652.738572.0232349.32-7415.81-27027.031.161.290.021014.14
974608.9555322358.189575.0337924.99-10077.91-21621.620.951.320.0221356.53
1030171.6355292652.739965.9936601.61-9955.47-31240.2411.120.0083548.58
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
atrnil213.1440596156312555.3619572.6148339-8031.6-15047.432.443.020.0657249.3
atrnil321.2139426053213239.6231240.81222509-8181.17-16117.813.822.510.0457438.86
atrtrail37.3747344.5857223538.610779.7729932.59-5423.16-12759.021.991.250.017830.61
atrtrail26.7541934.6557223538.610533.8730064.52-5423.16-12759.021.941.220.016735.7
atrtrail-17.9632095.457223538.610086.6329932.59-5423.16-12759.021.861.170.012563.08

In the table above, row 1 shows the best exit criterion. Profit factor is 3.02. Strategy is very good and impressively bullish. Percentage of profitable trades is 55.36%, which is not acceptable. Avoid this strategy. Average return per trade is 3.62%, which is very good. Sharpe Ratio is 0.065, 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.
PIDILITIND Performance, Profit Factor:3.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018305 Jul 2018 (-2.54%), 19 Oct 2018 (-4.31%), 26 Oct 2018 (8.75%)
2017112 Oct 2017 (-2.13%)
2016229 Nov 2016 (-3.34%), 30 Dec 2016 (5.13%)
2015406 May 2015 (6.46%), 18 Jun 2015 (5.86%), 23 Nov 2015 (-2.46%), 17 Dec 2015 (4.51%)
2014218 Feb 2014 (4.89%), 18 Jun 2014 (7.08%)
2013105 Sep 2013 (7.15%)
2012128 Jun 2012 (6.02%)
2011201 Nov 2011 (-2.65%), 28 Dec 2011 (6.48%)
2010111 Jun 2010 (6.6%)
2009213 Feb 2009 (-4.01%), 16 Mar 2009 (9.05%)
2008529 Jan 2008 (14.07%), 29 Feb 2008 (-6.38%), 28 Mar 2008 (15.03%), 10 Jul 2008 (9.01%), 03 Nov 2008 (16.12%)
2007212 Mar 2007 (-4.66%), 20 Mar 2007 (8.08%)
2005222 Apr 2005 (-4.36%), 11 Oct 2005 (74.17%)
2004401 Apr 2004 (7.65%), 11 Jun 2004 (8.11%), 19 Jul 2004 (6.27%), 08 Nov 2004 (5.99%)
2003212 Mar 2003 (-2.54%), 04 Nov 2003 (7.37%)
2002225 Jan 2002 (6.98%), 09 Oct 2002 (-1.8%)
2001302 Mar 2001 (-4.76%), 19 Apr 2001 (-7.52%), 28 Jun 2001 (6.59%)
2000604 Jan 2000 (7.63%), 27 Mar 2000 (-4.25%), 16 Jun 2000 (-7.01%), 25 Aug 2000 (-4.85%), 27 Sep 2000 (-5.21%), 26 Oct 2000 (-4.85%)
1998201 Jul 1998 (-5.03%), 31 Jul 1998 (-3.2%)
1997307 May 1997 (5.44%), 17 Sep 1997 (-3.39%), 20 Oct 1997 (-2.56%)
1996423 Jul 1996 (-3.2%), 26 Aug 1996 (5.34%), 15 Oct 1996 (8.82%), 12 Dec 1996 (5.82%)
1995219 May 1995 (-3.36%), 13 Jul 1995 (6.9%)



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