Study: Buy RELCAPITAL 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 RELCAPITAL 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 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
199476.7782443853.665386.8621401.75-3619.61-14709.731.491.720.0411213.13
278179.7382374545.128927.9534167.71-5603.43-20197.871.591.310.02953.41
364698.9282374545.129987.5546808.51-6774.24-22699.271.471.210.014789.01
412741782453754.8811039.3466332.92-9982.54-23184.621.111.340.0231553.86
516936182483458.5411175.3595619.52-10795.75-34424.331.041.460.0252065.38
610230482463656.111397.8674718.4-11722.15-37616.940.971.240.0161247.61
712315482443853.6612505.4580475.59-11239.1-35450.521.111.290.0191501.88
815013481453655.5613548.8586983.73-12765.67-47267.361.061.330.021853.51
921282281463556.7916183.4398873.59-15189.01-57311.671.071.40.0242627.44
1029699381443754.3219824.66115645-15548.43-61546.041.281.520.033666.58

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.72. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, which is low, don't trade solely on the basis of this study.

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
nilnil-1199476.7782443853.665386.8621401.75-3619.61-14709.731.491.720.0411213.13
atrtrail35.413855988394944.3213799.6772671.36-8155.68-28970.131.691.350.0211574.53
atrtrail24.9587883.6488394944.3212500.3148447.57-8155.68-28970.131.531.220.016998.68
atrnil39.5413762787295833.3328590.7372671.36-11922.48-29708.062.41.20.0161581.92
atrtrail-15.9163034.6888394944.3211863.1671257.73-8155.68-28970.131.451.160.01716.3
atrnil27.143366.1588345438.6419965.2559416.12-11767.64-28970.131.71.070.0058492.8

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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, X=1, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019418 Feb 2019 (-0.92%), 20 May 2019 (-2.09%), 27 Jun 2019 (-6.64%), 04 Sep 2019 (2.63%)
2018515 Feb 2018 (-0.41%), 15 Mar 2018 (-3.63%), 25 May 2018 (4.22%), 16 Oct 2018 (-7.35%), 14 Dec 2018 (-0.23%)
2017309 Jun 2017 (0.3%), 17 Oct 2017 (-0.74%), 24 Nov 2017 (0.92%)
2016318 Feb 2016 (0.93%), 30 Nov 2016 (-1.34%), 30 Dec 2016 (2.03%)
2015623 Jan 2015 (-0.13%), 19 Feb 2015 (0.25%), 09 Apr 2015 (2.84%), 15 May 2015 (2.1%), 19 Jun 2015 (3.58%), 03 Sep 2015 (-1.42%)
2014322 Jan 2014 (-1.09%), 12 Feb 2014 (-0.98%), 17 Oct 2014 (-0.65%)
2013208 Mar 2013 (0.39%), 18 Jun 2013 (2.16%)
2012217 May 2012 (-0.43%), 10 Sep 2012 (0.9%)
2011616 Feb 2011 (0.43%), 31 May 2011 (4.67%), 02 Sep 2011 (5.39%), 12 Oct 2011 (-1.82%), 05 Dec 2011 (0.86%), 27 Dec 2011 (-1.98%)
2010324 Feb 2010 (-1.07%), 31 May 2010 (-2.55%), 03 Dec 2010 (0.34%)
2009309 Feb 2009 (5.39%), 27 Aug 2009 (4.34%), 11 Nov 2009 (-3.17%)
2008514 Feb 2008 (4.5%), 16 Jun 2008 (4.05%), 04 Jul 2008 (4.33%), 31 Oct 2008 (7.2%), 28 Nov 2008 (-2.85%)
2006119 Jun 2006 (-0.92%)
2005218 May 2005 (1.22%), 21 Oct 2005 (-4.52%)
2004130 Jun 2004 (1.56%)
2003110 Feb 2003 (0.19%)
2002411 Apr 2002 (1.82%), 03 May 2002 (-0.94%), 04 Jun 2002 (6.24%), 13 Aug 2002 (-1.14%)
2001427 Mar 2001 (2.9%), 05 Jul 2001 (-1.27%), 01 Aug 2001 (1.41%), 27 Sep 2001 (2.95%)
2000408 May 2000 (1.23%), 24 May 2000 (10.7%), 18 Aug 2000 (4.65%), 26 Oct 2000 (1.19%)
1999222 Feb 1999 (2.0%), 30 Mar 1999 (7.99%)
1998523 Feb 1998 (3.61%), 25 Jun 1998 (-3.77%), 04 Sep 1998 (0.24%), 09 Dec 1998 (-0.13%), 23 Dec 1998 (-0.68%)
1997305 Jun 1997 (-0.93%), 10 Oct 1997 (-1.07%), 26 Nov 1997 (2.23%)
1996603 Apr 1996 (-0.75%), 17 Jul 1996 (0.06%), 28 Aug 1996 (-0.44%), 23 Oct 1996 (-2.16%), 18 Nov 1996 (-3.1%), 09 Dec 1996 (-1.16%)
1995429 Mar 1995 (0.85%), 09 May 1995 (-3.23%), 21 Jun 1995 (-1.04%), 12 Dec 1995 (0.73%)



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