Study: Buy RAYMOND 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 RAYMOND 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 RAYMOND 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
123218.76129626748.064618.2625722.43-3927.07-19751.231.181.090.0061179.99
285033.71129597045.747402.2335745.3-5024.25-21108.181.471.240.015659.18
3176629129597045.7410897.862319.56-6662.02-27470.311.641.380.0221369.22
4213488129626748.0611521.1671976.11-7474.99-24575.951.541.430.0241654.95
5156604129626748.0611710.4681732.21-8499.18-31961.021.381.280.0161213.98
6140897129636648.8412626.56111471-9917.81-31750.951.271.220.0131092.23
7168196129606946.5114713.26129468-10356.51-30247.241.421.240.0131303.85
8200379129636648.8415105.17112718-11382.53-42963.81.331.270.0161553.32
9236492129606946.5117081.57120574-11426.12-42343.991.491.30.0171833.27
10307060129646549.6117476.34124241-12483.48-50767.711.41.380.0212380.31
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
atrnil24.56103309149559436.9116323.2527700.85-8451.81-19077.741.931.130.011693.35
atrtrail23.817101815054963613927.927700.85-7094.67-19077.741.961.10.0086473.45
atrtrail34.38-16164.24149529734.91282441551.27-7041.36-19077.741.820.98-0.0019-108.48
atrtrail-14.84-23391.21148529635.1412518.8775575.59-7024.71-19077.741.780.97-0.0025-158.05
atrnil36.61-66437.061463710925.3423365.4941551.27-8540.92-19077.742.740.93-0.0065-455.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 36.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
RAYMOND Performance, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (-3.2%)
2018113 Dec 2018 (-3.53%)
2017921 Feb 2017 (-2.88%), 21 Mar 2017 (-3.49%), 18 Apr 2017 (7.03%), 07 Jun 2017 (-5.06%), 03 Jul 2017 (7.42%), 30 Aug 2017 (7.77%), 10 Oct 2017 (-3.51%), 11 Oct 2017 (7.43%), 18 Dec 2017 (6.06%)
2016529 Jan 2016 (-3.1%), 16 Feb 2016 (-3.89%), 27 Apr 2016 (5.54%), 20 Jul 2016 (-2.44%), 01 Sep 2016 (5.47%)
2015607 Jan 2015 (-3.76%), 19 Feb 2015 (-3.76%), 02 Mar 2015 (-3.64%), 09 Apr 2015 (7.41%), 24 Nov 2015 (-3.27%), 18 Dec 2015 (-2.62%)
20141121 Jan 2014 (6.87%), 10 Feb 2014 (-3.9%), 21 Feb 2014 (-3.53%), 07 Mar 2014 (6.42%), 19 May 2014 (8.01%), 05 Jun 2014 (8.31%), 24 Jun 2014 (8.36%), 18 Jul 2014 (-4.82%), 21 Aug 2014 (8.7%), 13 Oct 2014 (-4.49%), 19 Nov 2014 (7.08%)
2013203 Dec 2013 (-3.46%), 23 Dec 2013 (-3.67%)
2012309 Mar 2012 (8.77%), 01 Nov 2012 (4.85%), 27 Nov 2012 (5.9%)
2011724 Jan 2011 (-4.48%), 27 Apr 2011 (-4.18%), 11 May 2011 (-4.38%), 31 May 2011 (7.65%), 06 Jul 2011 (-3.56%), 10 Oct 2011 (-3.77%), 28 Nov 2011 (-4.07%)
2010718 Feb 2010 (-5.79%), 08 Mar 2010 (-5.08%), 14 Jun 2010 (7.9%), 05 Aug 2010 (7.5%), 15 Oct 2010 (-4.6%), 25 Oct 2010 (8.8%), 06 Dec 2010 (-6.02%)
2009818 May 2009 (-4.16%), 19 May 2009 (10.14%), 01 Jul 2009 (-6.45%), 28 Jul 2009 (-5.6%), 25 Aug 2009 (8.69%), 16 Nov 2009 (-5.51%), 02 Dec 2009 (-4.6%), 29 Dec 2009 (7.25%)
2008228 Mar 2008 (-9.54%), 30 May 2008 (-5.02%)
2007230 Oct 2007 (10.51%), 28 Dec 2007 (-5.63%)
2006807 Feb 2006 (-2.84%), 03 Apr 2006 (-3.71%), 04 Apr 2006 (-4.1%), 27 Apr 2006 (-5.32%), 28 Apr 2006 (-5.71%), 03 Aug 2006 (-5.1%), 13 Oct 2006 (-3.35%), 01 Dec 2006 (-3.31%)
20051205 Apr 2005 (8.6%), 25 Apr 2005 (-4.25%), 11 May 2005 (-4.62%), 16 Jun 2005 (-3.0%), 05 Jul 2005 (-3.46%), 14 Jul 2005 (7.61%), 16 Aug 2005 (-4.0%), 01 Sep 2005 (-3.32%), 04 Oct 2005 (-3.93%), 11 Nov 2005 (-4.1%), 22 Dec 2005 (-2.66%), 23 Dec 2005 (-2.87%)
20041111 Feb 2004 (-6.7%), 08 Mar 2004 (-5.35%), 10 May 2004 (-4.01%), 13 May 2004 (-5.25%), 26 May 2004 (-6.79%), 11 Jun 2004 (-4.8%), 28 Jun 2004 (8.0%), 18 Aug 2004 (6.48%), 20 Sep 2004 (-3.2%), 21 Sep 2004 (7.04%), 29 Oct 2004 (6.49%)
20031031 Jan 2003 (-2.09%), 01 Jul 2003 (8.1%), 02 Jul 2003 (-4.32%), 04 Aug 2003 (-4.13%), 19 Aug 2003 (8.08%), 07 Oct 2003 (8.29%), 12 Nov 2003 (9.69%), 13 Nov 2003 (9.95%), 30 Dec 2003 (-4.27%), 31 Dec 2003 (-4.51%)
2002723 Jan 2002 (-3.82%), 06 Feb 2002 (7.53%), 19 Feb 2002 (-3.89%), 12 Apr 2002 (8.08%), 11 Jun 2002 (6.86%), 14 Nov 2002 (-2.64%), 27 Dec 2002 (-3.33%)
2001302 Jan 2001 (8.45%), 24 Jan 2001 (-4.55%), 05 Jul 2001 (-4.11%)
2000510 Feb 2000 (-6.24%), 27 Apr 2000 (13.85%), 31 May 2000 (12.23%), 16 Oct 2000 (-6.46%), 14 Dec 2000 (-3.72%)
1999701 Jan 1999 (-4.9%), 11 Feb 1999 (11.62%), 04 Jun 1999 (-6.78%), 09 Jul 1999 (11.32%), 10 Aug 1999 (12.19%), 23 Sep 1999 (11.15%), 21 Oct 1999 (12.27%)
1998506 Apr 1998 (10.14%), 08 May 1998 (-6.89%), 15 May 1998 (-6.97%), 14 Oct 1998 (-6.05%), 11 Dec 1998 (9.0%)
1997328 Feb 1997 (6.48%), 13 Jun 1997 (-4.29%), 11 Sep 1997 (-4.1%)
1996616 Jan 1996 (-1.85%), 17 Jan 1996 (-1.91%), 12 Feb 1996 (-2.66%), 13 Feb 1996 (5.87%), 18 Jul 1996 (4.86%), 30 Jul 1996 (-3.0%)
1995806 Apr 1995 (-3.33%), 08 May 1995 (-3.81%), 09 May 1995 (-4.21%), 31 May 1995 (6.55%), 26 Jun 1995 (-3.17%), 29 Jun 1995 (6.28%), 17 Aug 1995 (-2.35%), 08 Dec 1995 (-2.71%)



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