Study: Buy RAYMOND 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 RAYMOND 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 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
142949.59884444504633.7414362.27-3657.62-15371.021.271.270.018488.06
285869.8388464252.276732.1431006.35-5328.78-32715.721.261.380.023975.79
373724.4488375142.059277.7349501.36-5285.32-23292.751.761.270.017837.78
463162.6888375142.0511302.1330777.97-6961.1-20722.141.621.180.013717.76
5-18861.3588355339.7711955.5933957.98-8251.08-29221.811.450.96-0.0035-214.33
6-32309.4588394944.3210969.3739109.39-9390.1-27305.321.170.93-0.0058-367.15
7-46339.2388375142.0511703.3141626.33-9399.25-37255.471.250.9-0.0079-526.58
8-50390.1888345438.6413924.2246853.82-9700.25-36613.141.440.9-0.0079-572.62
929121.7888345438.6416059.8159051.31-9572.44-45343.071.681.060.0041330.93
1052899.1287355240.2317399.1769312.68-10693.69-51065.691.631.10.0067608.04
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
atrnil38.1228203.3995286729.4725082.5150822.7-10061.3-22601.622.491.040.0036296.88
atrtrail25.01-5221097316631.9614042.5533920.61-7386.81-18390.211.90.89-0.0096-538.25
atrnil26.61-79587.7495326333.6817262.9733920.61-10031.79-22601.621.720.87-0.012-837.77
atrtrail-16.31-80115.7497296829.914479.5744282.05-7353.28-18390.211.970.84-0.014-825.94
atrtrail35.66-85585.8197296829.914290.9438675.91-7353.28-18390.211.940.83-0.015-882.33

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 29.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0036, 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
2019221 Feb 2019 (10.76%), 04 Jul 2019 (-3.07%)
2018726 Feb 2018 (-4.29%), 12 Mar 2018 (-3.94%), 13 Jun 2018 (-3.44%), 10 Jul 2018 (-3.31%), 26 Jul 2018 (-3.85%), 17 Aug 2018 (-3.69%), 15 Oct 2018 (-5.15%)
2017129 Aug 2017 (12.0%)
2016428 Jan 2016 (-3.21%), 23 Mar 2016 (8.15%), 31 Aug 2016 (8.09%), 12 Dec 2016 (-4.1%)
2015408 Apr 2015 (11.38%), 18 May 2015 (-3.54%), 10 Sep 2015 (14.3%), 23 Nov 2015 (-3.39%)
2013518 Feb 2013 (-3.94%), 06 Mar 2013 (-3.96%), 01 Apr 2013 (-4.5%), 09 Jul 2013 (-5.07%), 08 Aug 2013 (-6.21%)
2012310 Jan 2012 (12.04%), 06 Aug 2012 (-3.39%), 07 Sep 2012 (9.07%)
2011425 Jan 2011 (-4.63%), 16 Feb 2011 (-6.38%), 30 Aug 2011 (-4.24%), 11 Oct 2011 (-3.78%)
2010431 May 2010 (-4.2%), 01 Jun 2010 (13.44%), 07 Dec 2010 (-6.09%), 15 Dec 2010 (-6.42%)
20081104 Feb 2008 (-10.15%), 20 Feb 2008 (-8.48%), 27 Mar 2008 (-10.03%), 02 Jun 2008 (-6.02%), 12 Jun 2008 (-5.64%), 30 Jun 2008 (-6.55%), 09 Jul 2008 (-6.16%), 13 Aug 2008 (-3.77%), 28 Aug 2008 (-3.28%), 22 Oct 2008 (-8.66%), 23 Oct 2008 (-9.2%)
2007603 Jan 2007 (-4.06%), 02 Feb 2007 (-2.95%), 13 Mar 2007 (-4.21%), 18 Jun 2007 (-2.82%), 08 Aug 2007 (-3.0%), 31 Aug 2007 (11.05%)
2006319 Jun 2006 (-10.49%), 02 Aug 2006 (15.07%), 30 Nov 2006 (-3.37%)
2005101 Feb 2005 (9.63%)
2004312 Feb 2004 (-6.66%), 01 Apr 2004 (12.11%), 14 Jun 2004 (14.91%)
2003220 Jan 2003 (-2.37%), 05 Mar 2003 (-3.08%)
2002311 Apr 2002 (11.73%), 16 Sep 2002 (-3.19%), 08 Oct 2002 (6.58%)
2001410 Apr 2001 (-6.01%), 04 Jul 2001 (-4.09%), 30 Jul 2001 (-5.59%), 04 Oct 2001 (14.14%)
2000229 Mar 2000 (-7.61%), 04 Aug 2000 (14.82%)
1999408 Oct 1999 (17.82%), 26 Nov 1999 (-5.82%), 02 Dec 1999 (-5.52%), 16 Dec 1999 (15.13%)
1998519 Feb 1998 (9.43%), 09 Jul 1998 (-11.3%), 05 Aug 1998 (25.41%), 09 Sep 1998 (-7.89%), 15 Oct 1998 (19.34%)
19971212 Feb 1997 (-3.91%), 27 Feb 1997 (9.67%), 09 Apr 1997 (-3.7%), 10 Apr 1997 (-3.83%), 30 Apr 1997 (-3.27%), 28 May 1997 (-3.61%), 12 Jun 1997 (13.39%), 09 Oct 1997 (-4.18%), 20 Oct 1997 (-4.36%), 21 Oct 1997 (-4.78%), 03 Nov 1997 (-4.87%), 03 Dec 1997 (-4.93%)
1996327 May 1996 (7.33%), 23 Oct 1996 (-6.59%), 05 Dec 1996 (16.58%)
1995205 Apr 1995 (-3.29%), 01 Dec 1995 (7.78%)



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