Study: Buy RELINFRA 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 RELINFRA 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 RELINFRA 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
175522.4584503459.524262.733617.49-4047.42-11676.671.051.550.031899.08
274402.6884453953.577021.9747447.22-6194.51-21348.471.131.310.018885.75
360970.5684434151.198259.446525.91-7175.21-29230.841.151.210.013725.84
486513.7184473755.959797.4351516.31-10107.17-32972.910.971.230.0161029.93
518158784473755.9511658.3345758.16-9901.48-43274.041.181.50.032161.75
615074783434051.8112755.0172437.16-9942.95-40530.171.281.380.0241816.23
719416383443953.011415453051.82-10990.07-39809.321.291.450.0282339.32
896990.1583424150.613638.445527.83-11605.43-54162.211.181.20.0141168.56
997948.3983493459.0412226.3253358.93-14739.45-69461.640.831.20.0131180.1
1010414983483557.8312782.952207.29-14555.16-53603.830.881.20.0141254.8

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.55. 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 59.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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
atrtrail-16.3421603990395143.3315368.62116087-7516.42-30174.992.041.560.0282400.43
nilnil-1175522.4584503459.524262.733617.49-4047.42-11676.671.051.550.031899.08
atrtrail24.9215930590395143.3313913.9154270.82-7516.42-30174.991.851.420.0271770.06
atrnil311.4422908186295733.7228120.381406.23-10287.85-30174.992.731.390.0272663.73
atrtrail35.6813674290395143.3313335.3844649.15-7516.42-30174.991.771.360.0241519.36
atrnil27.6415745487365141.3818942.454270.82-10283.76-30174.991.841.30.0231809.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 43.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.2%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
RELINFRA Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Feb 2019 (-5.29%), 15 May 2019 (9.66%), 26 Jun 2019 (-15.09%)
2018423 Feb 2018 (-1.71%), 20 Jul 2018 (1.56%), 12 Oct 2018 (-4.99%), 21 Dec 2018 (-1.27%)
2017603 Jan 2017 (5.83%), 14 Jun 2017 (5.52%), 10 Oct 2017 (-3.22%), 11 Oct 2017 (-3.39%), 28 Nov 2017 (-3.89%), 08 Dec 2017 (-1.5%)
2016224 Oct 2016 (-3.24%), 25 Nov 2016 (0.19%)
2015419 Feb 2015 (1.52%), 07 Apr 2015 (2.95%), 22 Jun 2015 (-1.57%), 08 Sep 2015 (2.9%)
2014323 Jan 2014 (-2.66%), 21 Oct 2014 (8.12%), 30 Dec 2014 (-1.96%)
2013214 Mar 2013 (-3.68%), 08 Apr 2013 (-5.18%)
2012404 Jan 2012 (58.04%), 24 May 2012 (-0.71%), 11 Sep 2012 (8.5%), 27 Nov 2012 (8.79%)
2011817 Feb 2011 (-6.39%), 18 Feb 2011 (8.03%), 31 May 2011 (-1.96%), 30 Jun 2011 (6.45%), 02 Sep 2011 (2.68%), 12 Oct 2011 (-2.61%), 08 Dec 2011 (-4.45%), 27 Dec 2011 (-4.59%)
2010510 Feb 2010 (-2.36%), 04 Mar 2010 (-1.98%), 03 Sep 2010 (-1.69%), 12 Nov 2010 (-2.36%), 15 Dec 2010 (-3.72%)
2009317 Mar 2009 (14.49%), 12 Nov 2009 (-0.87%), 04 Dec 2009 (-3.57%)
2008425 Mar 2008 (-7.06%), 18 Jun 2008 (-6.95%), 09 Jul 2008 (-7.55%), 31 Oct 2008 (22.32%)
2006312 Apr 2006 (-3.26%), 15 Jun 2006 (-0.63%), 24 Jul 2006 (5.38%)
2005205 May 2005 (-1.04%), 02 Nov 2005 (5.43%)
2004304 Jun 2004 (-2.5%), 21 Dec 2004 (-4.78%), 22 Dec 2004 (0.69%)
2003301 Apr 2003 (1.26%), 02 May 2003 (-1.96%), 19 May 2003 (2.83%)
2002407 Jan 2002 (2.77%), 10 Jul 2002 (-1.77%), 08 Nov 2002 (-3.21%), 11 Nov 2002 (3.09%)
2001327 Mar 2001 (-7.19%), 22 May 2001 (13.24%), 21 Sep 2001 (3.39%)
2000612 Apr 2000 (-9.38%), 20 Apr 2000 (9.02%), 20 Jul 2000 (-4.16%), 09 Aug 2000 (-4.63%), 05 Sep 2000 (0.58%), 03 Nov 2000 (-4.23%)
1999206 Jul 1999 (10.21%), 10 Nov 1999 (-5.29%)
1998625 May 1998 (-4.31%), 25 Jun 1998 (-3.27%), 13 Aug 1998 (5.76%), 29 Oct 1998 (0.47%), 09 Dec 1998 (-2.47%), 29 Dec 1998 (2.54%)
1997210 Apr 1997 (-2.81%), 08 Sep 1997 (-2.98%)
1996331 Jan 1996 (21.24%), 27 Aug 1996 (2.6%), 11 Oct 1996 (7.76%)
1995530 Mar 1995 (2.7%), 10 May 1995 (-4.3%), 18 Jul 1995 (14.52%), 18 Sep 1995 (12.3%), 11 Dec 1995 (4.36%)



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