Study: Buy RELIANCE when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
1-20242.4543172639.534096.1315707.96-3456.79-24734.11.180.77-0.017-470.75
2-21803.4143222151.165199.3713373.3-6485.22-30907.190.80.84-0.013-507.06
3-8461.8843222151.166489.9823933.59-7201.97-32533.890.90.94-0.0045-196.79
4-9017.3343212248.846417.3520613.33-6535.53-24734.10.980.94-0.0051-209.71
5-20114.8743232053.497568.0522504.04-9709-28863.40.780.9-0.0091-467.79
6-54515.3343222151.167260.3624548.92-10202.05-31032.330.710.75-0.024-1267.8
7-58020.3743222151.166611.116489.57-9688.79-31574.560.680.71-0.027-1349.31
8-50189.9643222151.168757.1218362.54-11564.13-35646.930.760.79-0.019-1167.21
939550.8743232053.4910828.1351378.97-10474.8-32492.181.031.190.013919.79
1044057.4743232053.4911607.2936869.91-11145.51-29913.241.041.20.0151024.59
Although, strategy looks good but profit factor on day 7 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
atrnil36.45866.9447143329.7917025.3634222.53-7045.1-12269.052.421.030.0022124.83
atrnil24.853938.1348183037.511874.8524538.1-6993.64-11772.171.71.020.001782.04
atrtrail33.85-20202.147173036.179069.3734222.53-5812.71-11772.171.560.88-0.0098-429.83
atrtrail23.54-32077.6748183037.57905.7622815.02-5812.71-11772.171.360.82-0.018-668.28
atrtrail-14.26-40263.2747173036.177889.325363.15-5812.71-11772.171.360.77-0.022-856.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 29.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.062%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0022, 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:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 Aug 2019 (-3.19%)
2018123 Aug 2018 (-2.0%)
2017205 Apr 2017 (-2.32%), 23 Nov 2017 (-2.14%)
2016213 Apr 2016 (-1.96%), 07 Oct 2016 (-2.15%)
2015123 Jul 2015 (-2.03%)
2014109 May 2014 (6.63%)
2013217 Jan 2013 (5.66%), 30 Aug 2013 (-3.63%)
2012205 Oct 2012 (-3.55%), 29 Nov 2012 (5.75%)
2010417 Feb 2010 (-2.6%), 03 Mar 2010 (-2.67%), 08 Nov 2010 (-2.24%), 07 Dec 2010 (-2.65%)
2009305 May 2009 (11.33%), 18 May 2009 (-4.59%), 19 May 2009 (-5.48%)
2008115 Feb 2008 (-5.89%)
2007321 Mar 2007 (9.17%), 17 May 2007 (7.74%), 29 Oct 2007 (-5.31%)
2006119 Jun 2006 (17.11%)
2005423 Feb 2005 (7.39%), 20 Jul 2005 (7.85%), 02 Sep 2005 (8.41%), 27 Sep 2005 (-3.12%)
2004606 Sep 2004 (7.48%), 30 Sep 2004 (6.11%), 19 Oct 2004 (-2.22%), 03 Dec 2004 (-3.28%), 24 Dec 2004 (-3.11%), 27 Dec 2004 (-3.48%)
2003529 Jul 2003 (-2.76%), 30 Jul 2003 (9.1%), 19 Aug 2003 (9.45%), 30 Sep 2003 (-4.23%), 04 Nov 2003 (-3.89%)
2000104 Jul 2000 (-3.2%)
1999207 Jun 1999 (-5.19%), 21 Oct 1999 (-4.47%)
1997101 Mar 1997 (-3.6%)
1996116 Jul 1996 (-6.13%)
1995318 May 1995 (-3.74%), 19 May 1995 (-4.21%), 01 Dec 1995 (-5.19%)



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