Study: Buy RELIANCE 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 RELIANCE 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 RELIANCE 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
1-6674.08157847353.53067.215707.96-3620.81-50576.20.850.97-0.0014-42.51
253439.12157936459.244475.718669.84-5668.76-48249.870.791.150.0093340.38
3-1953.37157778049.046070.9228708.13-5867.68-48314.491.031-0.0003-12.44
432603.68157817651.596514.4629425.84-6514.05-48712.9811.070.0047207.67
515739.18157837452.877469.1728086.12-8164.9-50630.050.911.030.002100.25
629640.18157817651.59853742729.63-8708.64-51717.820.981.040.0033188.79
7101356157827552.239151.1547739.71-8653.84-49509.961.061.160.011645.58
8136724157817651.5910511.1736025.91-9403.7-46838.991.121.190.014870.85
9239032157837452.8710806.5251378.97-8890.66-46225.091.221.360.0231522.5
10323166157886956.0511538.548396.62-10032.21-48185.251.151.470.032058.38
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
atrtrail34.41238343166699741.5710016.7534222.53-4668.17-14270.212.151.530.0331435.8
atrtrail-15.3623635816566994010457.6948176.54-4584.35-14270.212.281.520.031432.47
atrtrail23.84183474173769743.938405.9622815.02-4694.63-14270.211.791.40.0291060.54
atrnil36.711830551615410733.5415847.4434222.53-6286.98-14270.212.521.270.0211136.99
atrnil25.111274831707010041.1810747.724538.1-6248.55-14270.211.721.20.017749.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. 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 41.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
RELIANCE Performance, Profit Factor:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019701 Jan 2019 (-2.27%), 15 Jan 2019 (6.13%), 11 Mar 2019 (1.08%), 26 Apr 2019 (-0.97%), 22 May 2019 (-2.55%), 13 Aug 2019 (-1.5%), 23 Sep 2019 (4.73%)
2018908 Jan 2018 (0.61%), 22 Jan 2018 (-0.66%), 19 Feb 2018 (1.01%), 14 Mar 2018 (-2.0%), 05 Apr 2018 (2.31%), 05 Jun 2018 (4.9%), 10 Jul 2018 (6.71%), 23 Aug 2018 (1.93%), 20 Dec 2018 (-2.42%)
2017814 Feb 2017 (4.5%), 05 Apr 2017 (-0.73%), 30 May 2017 (-1.98%), 09 Jun 2017 (5.73%), 05 Jul 2017 (5.41%), 04 Sep 2017 (5.91%), 10 Oct 2017 (6.48%), 23 Nov 2017 (-1.58%)
2016707 Jan 2016 (6.06%), 13 Apr 2016 (-1.96%), 04 Jul 2016 (-0.98%), 12 Aug 2016 (-1.89%), 16 Aug 2016 (2.22%), 12 Sep 2016 (6.01%), 07 Oct 2016 (-2.15%)
20151013 Feb 2015 (-2.53%), 04 Mar 2015 (-2.65%), 08 Apr 2015 (7.45%), 11 May 2015 (-2.6%), 19 May 2015 (-1.0%), 03 Jun 2015 (-0.5%), 17 Jun 2015 (7.15%), 23 Jul 2015 (-2.03%), 24 Nov 2015 (-0.03%), 16 Dec 2015 (0.92%)
2014415 Jan 2014 (-1.86%), 09 May 2014 (6.63%), 22 Jul 2014 (-1.47%), 14 Aug 2014 (-0.97%)
20131102 Jan 2013 (-0.17%), 17 Jan 2013 (5.66%), 08 Mar 2013 (-1.21%), 16 Apr 2013 (-2.52%), 28 May 2013 (-2.07%), 17 Jun 2013 (-1.71%), 27 Jun 2013 (3.79%), 30 Aug 2013 (0.18%), 10 Oct 2013 (3.53%), 05 Dec 2013 (-0.4%), 20 Dec 2013 (-1.76%)
2012602 Jul 2012 (-1.56%), 31 Jul 2012 (-1.41%), 13 Sep 2012 (5.77%), 14 Sep 2012 (1.52%), 05 Oct 2012 (-3.55%), 29 Nov 2012 (5.75%)
2011228 Mar 2011 (0.04%), 10 Oct 2011 (1.29%)
2010817 Feb 2010 (-2.6%), 03 Mar 2010 (-2.67%), 11 May 2010 (-1.42%), 28 May 2010 (-1.99%), 04 Oct 2010 (2.91%), 22 Oct 2010 (-0.61%), 08 Nov 2010 (-2.24%), 07 Dec 2010 (-2.65%)
20091302 Jan 2009 (0.95%), 28 Jan 2009 (4.31%), 16 Mar 2009 (14.07%), 05 May 2009 (-2.12%), 18 May 2009 (-4.59%), 19 May 2009 (-5.48%), 20 Jul 2009 (-4.07%), 26 Aug 2009 (-1.53%), 08 Sep 2009 (2.03%), 29 Sep 2009 (-1.51%), 16 Oct 2009 (-2.66%), 11 Nov 2009 (-1.56%), 29 Dec 2009 (-1.63%)
2008115 Feb 2008 (-5.89%)
2007721 Mar 2007 (-0.27%), 17 May 2007 (2.9%), 13 Jul 2007 (6.19%), 28 Aug 2007 (9.87%), 29 Oct 2007 (-5.31%), 16 Nov 2007 (-4.49%), 28 Dec 2007 (10.39%)
2006817 Jan 2006 (-2.47%), 19 Jun 2006 (17.11%), 11 Aug 2006 (9.28%), 26 Sep 2006 (-2.34%), 16 Oct 2006 (-1.84%), 30 Oct 2006 (6.12%), 07 Dec 2006 (-1.99%), 26 Dec 2006 (7.94%)
2005831 Jan 2005 (8.62%), 23 Feb 2005 (1.88%), 01 Jun 2005 (-2.09%), 20 Jul 2005 (7.85%), 02 Sep 2005 (0.64%), 27 Sep 2005 (-0.4%), 07 Nov 2005 (1.2%), 12 Dec 2005 (-1.2%)
2004910 Feb 2004 (-1.24%), 08 Mar 2004 (-3.09%), 01 Apr 2004 (8.76%), 06 Sep 2004 (4.45%), 30 Sep 2004 (6.11%), 19 Oct 2004 (-2.22%), 03 Dec 2004 (-3.28%), 24 Dec 2004 (-3.11%), 27 Dec 2004 (2.01%)
2003821 Mar 2003 (-2.43%), 04 Apr 2003 (-0.34%), 29 Jul 2003 (-2.76%), 30 Jul 2003 (-0.45%), 08 Aug 2003 (2.0%), 30 Sep 2003 (-3.0%), 04 Nov 2003 (-3.45%), 01 Dec 2003 (0.22%)
2002608 Jan 2002 (-0.48%), 13 Feb 2002 (2.27%), 07 May 2002 (-2.91%), 10 Jul 2002 (-2.7%), 31 Oct 2002 (-3.19%), 01 Nov 2002 (-1.29%)
2001402 Jan 2001 (0.31%), 17 Jan 2001 (3.14%), 29 Jun 2001 (-3.1%), 12 Nov 2001 (11.59%)
2000324 Apr 2000 (-7.14%), 29 May 2000 (-3.07%), 03 Jul 2000 (4.75%)
19991019 Feb 1999 (-3.54%), 22 Feb 1999 (3.22%), 19 Apr 1999 (-2.73%), 07 Jun 1999 (2.33%), 13 Jul 1999 (-2.52%), 23 Aug 1999 (-3.28%), 24 Sep 1999 (10.33%), 21 Oct 1999 (-4.47%), 08 Dec 1999 (-1.69%), 22 Dec 1999 (-3.29%)
1998403 Feb 1998 (-3.05%), 26 Oct 1998 (-4.3%), 09 Dec 1998 (-1.28%), 22 Dec 1998 (8.2%)
1997501 Mar 1997 (-3.6%), 21 Apr 1997 (0.13%), 03 Jun 1997 (7.47%), 05 Aug 1997 (-1.67%), 25 Sep 1997 (6.6%)
1996409 Apr 1996 (12.07%), 14 Jun 1996 (-2.83%), 16 Jul 1996 (5.67%), 22 Aug 1996 (-2.54%)
1995418 May 1995 (-3.74%), 19 May 1995 (-4.21%), 17 Jul 1995 (8.25%), 01 Dec 1995 (-5.19%)



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