Study: Buy RELIANCE 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 RELIANCE 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 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
118811.6572393354.173427.7816001.66-3480.96-16311.170.981.160.011261.27
221515.3972373551.395186.0733291.77-4867.69-18095.641.071.130.008298.82
381325.0872393354.176768.4845877.14-5534.72-22858.641.221.450.0251129.51
412813872393354.178971.1560653.02-6719.29-29793.891.341.580.0291779.7
517700472393354.179879.2363050.71-6311.71-22494.461.571.850.0392458.38
619787972393354.1710816.9173150.46-6787.29-16327.611.591.880.0412748.32
715336872353748.6111798.7452130.6-7015.9-24421.241.681.590.0342130.11
815212872383452.7811829.2854676.26-8746.59-36367.711.351.510.032112.89
918896472373551.3913411.9171113.88-8779.33-33254.571.531.610.0342624.5
1027215672393354.1715198.2192809.64-9714.37-35674.951.561.850.0423779.94
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
atrnil39.9715430180265432.521167.8443152.48-7334.49-18305.512.891.390.0271928.77
atrtrail35.4991682.8281315038.2711257.333174.43-5145.87-13581.612.191.360.0231131.89
atrtrail-16.273929.7281315038.2710684.6245623.27-5145.87-13581.612.081.290.018912.71
atrnil26.7297577.2181324939.5114236.4628768.32-7305.91-18305.511.951.270.0221204.66
atrtrail25.1465733.7781315038.2710420.2328768.32-5145.87-13581.612.021.260.018811.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 32.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jul 2019 (-2.03%), 23 Jul 2019 (-2.12%)
2018220 Feb 2018 (-2.26%), 02 Nov 2018 (10.69%)
2017108 Jun 2017 (5.81%)
2016423 Feb 2016 (9.46%), 27 May 2016 (-1.77%), 23 Nov 2016 (-2.01%), 24 Nov 2016 (6.31%)
2015215 Jan 2015 (6.96%), 09 Sep 2015 (-2.92%)
2014413 Aug 2014 (-2.05%), 13 Oct 2014 (-2.15%), 29 Dec 2014 (-2.01%), 30 Dec 2014 (-2.07%)
2013311 Mar 2013 (-2.26%), 15 Apr 2013 (-2.51%), 04 Dec 2013 (-2.03%)
2012306 Jan 2012 (12.07%), 04 Apr 2012 (-2.81%), 27 Nov 2012 (5.66%)
2011714 Feb 2011 (9.46%), 26 May 2011 (-2.19%), 29 Jun 2011 (-2.47%), 24 Aug 2011 (-2.9%), 30 Aug 2011 (-3.3%), 05 Dec 2011 (-3.3%), 22 Dec 2011 (-4.45%)
2010318 Feb 2010 (-2.81%), 23 Aug 2010 (-1.85%), 06 Dec 2010 (-2.73%)
2009117 Jul 2009 (14.21%)
2008918 Feb 2008 (-5.77%), 25 Mar 2008 (16.96%), 18 Jun 2008 (-4.32%), 27 Jun 2008 (-5.11%), 03 Jul 2008 (-5.78%), 09 Jul 2008 (-5.58%), 18 Jul 2008 (-5.07%), 23 Sep 2008 (-5.06%), 31 Oct 2008 (-9.15%)
2006208 Feb 2006 (11.68%), 20 Jun 2006 (16.5%)
2005326 Apr 2005 (-2.7%), 03 May 2005 (-2.97%), 27 May 2005 (6.44%)
2004431 Mar 2004 (8.9%), 02 Jun 2004 (-5.75%), 20 Jul 2004 (10.86%), 06 Dec 2004 (-3.37%)
2003207 Feb 2003 (-3.19%), 16 May 2003 (6.69%)
2002402 Apr 2002 (-2.76%), 06 May 2002 (-2.98%), 03 Jun 2002 (-4.0%), 13 Aug 2002 (8.72%)
2001720 Apr 2001 (-6.23%), 02 Jul 2001 (-3.81%), 13 Jul 2001 (-3.9%), 16 Jul 2001 (-4.05%), 01 Aug 2001 (-3.88%), 01 Oct 2001 (-6.79%), 06 Nov 2001 (12.62%)
2000324 Mar 2000 (21.58%), 17 Aug 2000 (8.64%), 31 Oct 2000 (11.8%)
1999120 Aug 1999 (9.51%)
1998404 Feb 1998 (-3.22%), 23 Feb 1998 (8.19%), 25 Jun 1998 (-5.09%), 04 Sep 1998 (-4.67%)
1997211 Sep 1997 (-2.39%), 01 Dec 1997 (-4.89%)
1996430 Jan 1996 (16.59%), 10 Oct 1996 (-3.31%), 26 Nov 1996 (-4.1%), 27 Nov 1996 (13.34%)
1995330 Mar 1995 (-4.55%), 19 Sep 1995 (5.52%), 08 Dec 1995 (-6.6%)



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