Study: Buy RAYMOND 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 RAYMOND 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 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
1-3849.648202841.674741.8525722.43-3524.52-8995.271.350.96-0.0028-80.2
219853.3148202841.677691.5932553.51-4784.95-17133.071.611.150.0094413.61
383441.0448212743.7512484.6562319.56-6619.88-25611.091.891.470.0241738.35
410411748252352.0811331.5571976.11-7790.05-20788.121.451.580.0282169.11
513481748232547.9214467.7781732.21-7917.65-18961.041.831.680.032808.7
6-70.3248212743.7513401.2861124.94-10425.82-25828.511.291-1.8e-05-1.47
741947.0148192939.5818440.1687307.12-10635.04-30247.241.731.140.0087873.9
812332.6248202841.6717191.7778048.78-11839.39-35402.421.451.040.0026256.93
9-2131.0448173135.4220574.64105923-11351.61-33475.941.810.99-0.00039-44.4
1012300.4348202841.6719995.64124241-13843.3-45989.31.441.030.002256.26
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
atrnil36.2614837.5654153927.7823248.6431520.65-8561.34-13940.622.721.040.0038274.77
atrtrail-14.5938.2254183633.3315479.1175575.59-7713.49-13785.912.0110.0002217.37
atrnil24.31-30893.6554183633.3315527.4721013.77-8621.89-13940.621.80.9-0.01-572.1
atrtrail23.71-39441.3855183732.7313715.7721013.77-7738.52-13785.911.770.86-0.013-717.12
atrtrail34.07-50172.0755183732.7313119.6231520.65-7738.52-13785.911.70.82-0.016-912.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 27.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0038, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017321 Mar 2017 (-3.49%), 18 Apr 2017 (10.55%), 18 Dec 2017 (9.1%)
2016329 Jan 2016 (-3.1%), 16 Feb 2016 (-3.89%), 01 Sep 2016 (8.2%)
2014305 Jun 2014 (12.46%), 24 Jun 2014 (-4.18%), 18 Jul 2014 (-4.82%)
2012127 Nov 2012 (8.85%)
2010114 Jun 2010 (11.85%)
2009318 May 2009 (-4.16%), 19 May 2009 (15.21%), 01 Jul 2009 (-6.45%)
2007130 Oct 2007 (15.76%)
2006303 Apr 2006 (-3.71%), 04 Apr 2006 (-4.1%), 03 Aug 2006 (-5.1%)
2005405 Apr 2005 (-4.3%), 25 Apr 2005 (-4.25%), 16 Aug 2005 (-4.0%), 01 Sep 2005 (-3.32%)
2004411 Feb 2004 (-6.7%), 08 Mar 2004 (-5.35%), 20 Sep 2004 (-3.2%), 21 Sep 2004 (10.56%)
2003631 Jan 2003 (-2.09%), 01 Jul 2003 (12.15%), 02 Jul 2003 (-4.32%), 07 Oct 2003 (12.44%), 30 Dec 2003 (-4.27%), 31 Dec 2003 (-4.51%)
2002423 Jan 2002 (-3.82%), 19 Feb 2002 (-3.89%), 14 Nov 2002 (-2.64%), 27 Dec 2002 (-3.33%)
2001105 Jul 2001 (-4.11%)
2000110 Feb 2000 (-6.24%)
1999201 Jan 1999 (-4.9%), 04 Jun 1999 (-6.78%)
1998406 Apr 1998 (15.21%), 08 May 1998 (-6.89%), 15 May 1998 (-6.97%), 11 Dec 1998 (13.5%)
1997328 Feb 1997 (9.72%), 13 Jun 1997 (-4.29%), 11 Sep 1997 (-4.1%)
1996113 Feb 1996 (8.8%)
1995606 Apr 1995 (-3.33%), 08 May 1995 (-3.81%), 09 May 1995 (-4.21%), 31 May 1995 (-3.27%), 17 Aug 1995 (-2.35%), 08 Dec 1995 (-2.71%)



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