Study: Buy RPOWER 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 RPOWER 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 RPOWER 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
1-15416.81134930.777305.4617528.54-4959.85-14259.331.470.65-0.048-1185.91
2-19077.45135838.468923.7432034.92-7962.02-19894.011.120.7-0.037-1467.5
35016.39135838.4612564.623766.23-7225.83-21928.071.741.090.0096385.88
427336.26136746.1511900.9726753.25-6295.65-24325.671.891.620.0512102.79
521545.97138561.5411566.129740.26-14196.56-29920.080.811.30.0321657.38
618021.84138561.5412185.6940649.35-15892.74-28271.730.771.230.0241386.3
729310.38135838.4624450.1449350.65-11617.54-25324.682.11.320.0322254.64
83586.75134930.7733570.5151818.18-14521.7-31268.732.311.030.0033275.9
9-11726.8134930.7732906.9848571.43-15928.3-31718.432.070.92-0.011-902.06
10-25801.66135838.4629227.6451038.96-21492.48-38969.41.360.85-0.021-1984.74
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
atrtrail-14.069192.42164122522134.2946454.02-6612.06-17106.423.351.120.011574.53
atrtrail33.51787.96164122520283.1833482.81-6612.06-17106.423.071.020.0025111.75
atrnil34.38848.1816412252599533482.81-8594.32-17106.423.021.010.00153.01
atrnil24.29-9938.291751229.4118638.7123873.53-8594.32-17106.422.170.9-0.014-584.61
atrtrail23.35-22187.971751229.4111431.3622321.87-6612.06-17106.421.730.72-0.04-1305.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
RPOWER Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017105 Apr 2017 (-2.23%)
2015227 Nov 2015 (-0.12%), 21 Dec 2015 (8.35%)
2014214 May 2014 (-3.01%), 15 May 2014 (23.23%)
2013101 Jul 2013 (-4.18%)
2012205 Mar 2012 (-5.04%), 06 Mar 2012 (3.54%)
2010423 Apr 2010 (-2.4%), 29 Apr 2010 (-2.59%), 27 May 2010 (-0.02%), 05 Jul 2010 (-3.93%)
2009218 May 2009 (9.15%), 15 Jun 2009 (-5.72%)
2008220 May 2008 (-1.88%), 04 Nov 2008 (-8.55%)



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