Study: Buy RCOM 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 RCOM 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 RCOM 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
1-34708.4752223042.313615.9415626.35-3808.64-17226.890.950.7-0.036-667.47
2-14605452193336.54544614620.22-7561.45-37195.120.720.41-0.094-2808.73
3-75219.6252232944.237425.3635515.55-8482.86-250000.880.69-0.04-1446.53
4-11167652223042.319311.0839279.87-10550.65-27240.140.880.65-0.047-2147.61
5-87448.7152213140.3810390.7235842.88-9859.8-37871.671.050.71-0.035-1681.71
6-14295652213140.3810568.9339620.08-11771.1-37558.690.90.61-0.054-2749.16
7-12931052203238.4614281.6628805.24-12966.98-38810.641.10.69-0.044-2486.74
8-88257.8952193336.5420314.1696995.71-14370.51-71674.491.410.81-0.021-1697.27
9-80045.8452223042.3119467.79108155-16944.57-74804.381.150.84-0.017-1539.34
10-11177552223042.3121277.4579828.33-19329.28-75430.361.10.81-0.023-2149.51
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
atrnil38.23-18963057114619.332635.6448748.46-11926.57-30685.222.740.65-0.051-3326.85
atrtrail-15.33-18456157134422.8117710.5491306.75-9427.22-30685.221.880.56-0.055-3237.91
atrtrail35.07-21150457134422.811563844013.41-9427.22-30685.221.660.49-0.078-3710.59
atrnil26.68-28892757124521.0521075.4932498.98-12040.74-30685.221.750.47-0.099-5068.9
atrtrail24.47-23130657134422.8114114.7129342.27-9427.22-30685.221.50.44-0.096-4058.01

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:0.654

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018727 Mar 2018 (-8.16%), 05 Apr 2018 (-8.03%), 17 May 2018 (-11.59%), 18 May 2018 (-15.34%), 10 Jul 2018 (-6.99%), 20 Jul 2018 (22.01%), 15 Oct 2018 (-9.39%)
2017719 Jan 2017 (-3.31%), 17 May 2017 (-3.49%), 15 Jun 2017 (21.37%), 04 Sep 2017 (-5.13%), 17 Oct 2017 (-5.64%), 22 Nov 2017 (-8.38%), 08 Dec 2017 (24.37%)
2016403 Jun 2016 (-4.65%), 07 Oct 2016 (-4.22%), 01 Dec 2016 (-4.55%), 30 Dec 2016 (-3.78%)
2015701 Jan 2015 (-4.42%), 16 Feb 2015 (-4.22%), 27 Feb 2015 (-4.26%), 12 Mar 2015 (-4.8%), 07 Apr 2015 (13.95%), 23 Jun 2015 (-4.61%), 02 Sep 2015 (-6.87%)
2014307 Feb 2014 (-4.1%), 23 Jul 2014 (-4.19%), 08 Oct 2014 (13.78%)
2013311 Mar 2013 (-5.15%), 29 Nov 2013 (-3.89%), 26 Dec 2013 (-3.39%)
2012613 Apr 2012 (-4.7%), 24 May 2012 (-5.0%), 29 Jun 2012 (11.73%), 14 Aug 2012 (-4.19%), 07 Sep 2012 (-4.48%), 09 Nov 2012 (-4.0%)
2011303 Mar 2011 (20.87%), 30 May 2011 (12.93%), 12 Oct 2011 (-5.11%)
2010517 Feb 2010 (-3.48%), 04 Mar 2010 (-3.06%), 28 May 2010 (-4.69%), 02 Sep 2010 (9.9%), 14 Dec 2010 (15.92%)
2009306 Feb 2009 (-9.03%), 21 Jul 2009 (-6.24%), 13 Nov 2009 (-6.85%)
2008805 Feb 2008 (-7.29%), 19 Feb 2008 (-7.83%), 11 Mar 2008 (-6.81%), 25 Mar 2008 (-6.49%), 11 Jul 2008 (-7.66%), 05 Sep 2008 (-4.87%), 24 Sep 2008 (-5.26%), 03 Nov 2008 (-14.71%)
2007128 Aug 2007 (12.66%)



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