Study: Buy RELCAPITAL 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 RELCAPITAL 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 RELCAPITAL 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
1132891108535549.076400.5443842.76-3751.6-15789.471.711.640.0331230.47
272310.96108535549.077196.8433322.25-5620.39-24824.931.281.230.015669.55
3227400108614756.489235.7334118.54-7148.51-25385.131.291.680.0372105.55
4320340108634558.3311253.2759992.28-8635.91-28673.971.31.820.0432966.11
5451260108634558.331381968459.66-9318.61-27284.661.482.080.0534178.33
6444173108644459.2614170.2169708.74-10516.38-274601.351.960.054112.71
7507155108604855.5616313.1991456.31-9825.75-36757.151.662.080.0494695.88
8644405108644459.2617629.46114757-10997.28-47321.91.62.330.0575966.71
9650133108674162.0417811.49139417-13249.67-46392.231.342.20.0526019.75
10590458108634558.3319111.03166019-13634.16-49357.331.41.960.0435467.2
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
RELCAPITAL Performance, X=8, Profit Factor:2.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018414 Feb 2018 (-4.71%), 28 May 2018 (1.31%), 24 Jul 2018 (9.05%), 30 Aug 2018 (-5.23%)
2017502 Jan 2017 (3.07%), 15 Mar 2017 (6.67%), 27 Apr 2017 (2.3%), 28 Jul 2017 (11.25%), 01 Sep 2017 (-11.96%)
2016611 Apr 2016 (5.89%), 11 May 2016 (-4.42%), 30 May 2016 (-1.81%), 04 Jul 2016 (1.13%), 25 Jul 2016 (2.12%), 16 Aug 2016 (9.49%)
2015527 Feb 2015 (-4.22%), 13 Mar 2015 (-7.88%), 10 Apr 2015 (-7.18%), 26 Nov 2015 (-5.03%), 24 Dec 2015 (6.89%)
2014113 May 2014 (43.43%)
2013402 Jan 2013 (0.03%), 19 Jun 2013 (3.72%), 09 Oct 2013 (5.65%), 29 Nov 2013 (-0.69%)
2012307 Aug 2012 (2.71%), 11 Sep 2012 (19.98%), 27 Nov 2012 (14.12%)
2011201 Jun 2011 (2.43%), 24 Jun 2011 (9.83%)
2010506 Apr 2010 (-7.57%), 14 Jul 2010 (-0.3%), 23 Aug 2010 (-1.77%), 06 Sep 2010 (2.45%), 05 Oct 2010 (-2.38%)
2009518 May 2009 (24.59%), 20 Jul 2009 (-2.55%), 28 Aug 2009 (5.03%), 14 Oct 2009 (-8.06%), 24 Dec 2009 (6.26%)
2008315 Feb 2008 (-7.42%), 22 May 2008 (-19.75%), 02 Sep 2008 (-23.66%)
20071005 Feb 2007 (-1.03%), 20 Mar 2007 (-4.81%), 09 Apr 2007 (7.74%), 20 Jun 2007 (-0.43%), 26 Jul 2007 (-12.3%), 28 Aug 2007 (6.89%), 30 Oct 2007 (-4.45%), 14 Nov 2007 (7.58%), 03 Dec 2007 (0.91%), 28 Dec 2007 (9.37%)
2006731 Jan 2006 (-5.79%), 16 Feb 2006 (8.93%), 05 Apr 2006 (0.4%), 27 Sep 2006 (1.42%), 03 Nov 2006 (-2.71%), 27 Nov 2006 (1.06%), 26 Dec 2006 (5.25%)
2005503 Jan 2005 (-2.45%), 20 Jan 2005 (5.65%), 29 Mar 2005 (6.77%), 19 May 2005 (12.41%), 04 Aug 2005 (1.15%)
2004403 Mar 2004 (-6.5%), 31 Mar 2004 (21.96%), 26 May 2004 (-12.49%), 23 Sep 2004 (4.24%)
2003907 Feb 2003 (3.24%), 04 Apr 2003 (0.28%), 13 May 2003 (-2.59%), 04 Aug 2003 (-1.11%), 21 Aug 2003 (3.95%), 03 Oct 2003 (12.15%), 05 Nov 2003 (6.21%), 25 Nov 2003 (18.99%), 29 Dec 2003 (7.06%)
2002407 Jan 2002 (-1.08%), 11 Feb 2002 (3.99%), 05 Jun 2002 (16.0%), 27 Dec 2002 (-2.88%)
2001305 Jan 2001 (-4.96%), 22 Jan 2001 (-1.01%), 06 Dec 2001 (-10.92%)
2000104 Feb 2000 (12.17%)
1999919 Feb 1999 (-5.0%), 31 Mar 1999 (1.39%), 04 May 1999 (12.5%), 08 Jun 1999 (-8.71%), 22 Jun 1999 (8.41%), 16 Aug 1999 (13.93%), 07 Oct 1999 (57.38%), 15 Nov 1999 (-2.62%), 21 Dec 1999 (9.56%)
1998424 Feb 1998 (6.28%), 07 Apr 1998 (9.25%), 27 Oct 1998 (-1.61%), 22 Dec 1998 (3.73%)
1997401 Mar 1997 (-6.5%), 21 Apr 1997 (-6.97%), 13 Jun 1997 (10.91%), 06 Aug 1997 (2.01%)
1996202 Feb 1996 (9.62%), 06 Jun 1996 (-1.45%)
1995320 Jun 1995 (-4.98%), 14 Jul 1995 (31.61%), 25 Sep 1995 (2.39%)

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
atrtrail-15.03342955118516743.2215254.9465678.42-6493.23-14305.762.351.790.0392906.4
atrtrail34.18257978119516842.8613845.6239574.38-6590.42-14305.762.11.580.0352167.88
atrtrail23.66250094122527042.6213739.7832357.59-6633.92-14305.762.071.540.0372049.95
atrnil24.68191472122497340.1616318.3432357.59-8330.5-19724.721.961.310.0251569.44
atrnil36.96193299114357930.724452.7848536.38-8386.69-19724.722.921.290.0221695.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.79. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 43.22%, which is not acceptable. Avoid this strategy. Average return per trade is 1.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
RELCAPITAL Performance, Profit Factor:1.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018414 Feb 2018 (-6.09%), 28 May 2018 (-0.73%), 24 Jul 2018 (7.22%), 30 Aug 2018 (-1.61%)
2017602 Jan 2017 (3.22%), 15 Mar 2017 (5.99%), 27 Apr 2017 (-2.55%), 28 Jul 2017 (7.92%), 01 Sep 2017 (-3.74%), 04 Sep 2017 (-4.19%)
2016711 Apr 2016 (-1.64%), 11 May 2016 (-2.79%), 30 May 2016 (-3.11%), 07 Jun 2016 (-3.0%), 04 Jul 2016 (1.04%), 25 Jul 2016 (2.61%), 16 Aug 2016 (19.51%)
2015527 Feb 2015 (0.2%), 13 Mar 2015 (-4.49%), 10 Apr 2015 (-3.14%), 26 Nov 2015 (-2.21%), 24 Dec 2015 (6.67%)
2014113 May 2014 (28.47%)
2013502 Jan 2013 (-1.21%), 19 Jun 2013 (-3.58%), 28 Jun 2013 (2.89%), 09 Oct 2013 (-2.92%), 29 Nov 2013 (1.39%)
2012307 Aug 2012 (-3.73%), 11 Sep 2012 (6.38%), 27 Nov 2012 (13.76%)
2011201 Jun 2011 (-3.46%), 24 Jun 2011 (9.17%)
2010506 Apr 2010 (-2.23%), 14 Jul 2010 (1.32%), 23 Aug 2010 (-2.66%), 03 Sep 2010 (-1.1%), 05 Oct 2010 (-2.38%)
2009518 May 2009 (13.93%), 20 Jul 2009 (-4.37%), 28 Aug 2009 (1.19%), 14 Oct 2009 (-2.65%), 24 Dec 2009 (2.31%)
2008315 Feb 2008 (-5.23%), 22 May 2008 (-5.51%), 02 Sep 2008 (-5.2%)
20071005 Feb 2007 (0.22%), 20 Mar 2007 (-1.09%), 09 Apr 2007 (9.6%), 20 Jun 2007 (-1.8%), 26 Jul 2007 (-2.94%), 28 Aug 2007 (32.54%), 30 Oct 2007 (-7.15%), 09 Nov 2007 (10.54%), 03 Dec 2007 (-4.73%), 28 Dec 2007 (1.13%)
20061031 Jan 2006 (-3.47%), 01 Feb 2006 (-3.73%), 16 Feb 2006 (-3.46%), 22 Feb 2006 (6.28%), 05 Apr 2006 (-3.23%), 20 Apr 2006 (-1.46%), 27 Sep 2006 (-0.95%), 03 Nov 2006 (-0.76%), 27 Nov 2006 (-3.49%), 26 Dec 2006 (3.36%)
2005603 Jan 2005 (-3.56%), 20 Jan 2005 (-3.43%), 27 Jan 2005 (10.63%), 29 Mar 2005 (5.8%), 19 May 2005 (4.66%), 04 Aug 2005 (-3.45%)
2004403 Mar 2004 (0.45%), 31 Mar 2004 (20.93%), 26 May 2004 (-6.74%), 23 Sep 2004 (-0.41%)
20031107 Feb 2003 (-3.28%), 04 Apr 2003 (-1.59%), 13 May 2003 (1.68%), 04 Aug 2003 (-3.91%), 21 Aug 2003 (-2.74%), 27 Aug 2003 (-2.86%), 03 Oct 2003 (8.33%), 05 Nov 2003 (10.82%), 25 Nov 2003 (17.8%), 29 Dec 2003 (-3.75%), 30 Dec 2003 (6.23%)
2002407 Jan 2002 (-5.76%), 11 Feb 2002 (4.14%), 05 Jun 2002 (-4.7%), 27 Dec 2002 (-1.56%)
2001305 Jan 2001 (-4.54%), 22 Jan 2001 (1.27%), 06 Dec 2001 (3.63%)
2000104 Feb 2000 (10.37%)
1999919 Feb 1999 (-4.69%), 31 Mar 1999 (-2.21%), 04 May 1999 (4.68%), 08 Jun 1999 (-5.03%), 22 Jun 1999 (-5.01%), 16 Aug 1999 (-2.07%), 07 Oct 1999 (18.71%), 15 Nov 1999 (-0.07%), 21 Dec 1999 (1.92%)
1998424 Feb 1998 (5.41%), 07 Apr 1998 (3.7%), 27 Oct 1998 (-4.52%), 22 Dec 1998 (-2.93%)
1997501 Mar 1997 (3.74%), 21 Apr 1997 (-4.43%), 13 Jun 1997 (1.96%), 06 Aug 1997 (-4.23%), 07 Aug 1997 (3.59%)
1996202 Feb 1996 (6.07%), 06 Jun 1996 (-3.28%)
1995320 Jun 1995 (-2.99%), 14 Jul 1995 (32.84%), 25 Sep 1995 (0.77%)



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