Study: Buy SHREECEM 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 SHREECEM 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 SHREECEM 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
154486.7248252352.085193.4623738.32-3276.08-10273.711.591.720.0391135.14
215207048232547.9210600.8732128.51-3670-17469.882.892.660.0683168.13
325805048291960.4213242.4238279.57-6630.53-20481.9323.050.0825376.05
427304348311764.5813865.4357634.41-9222.66-36144.581.52.740.0725688.4
523425748311764.5812869.1961935.48-9687.53-41566.271.332.420.0644880.35
632060948311764.5814600.9256774.19-7765.86-30120.481.883.430.0886679.35
732934848301862.515975.5665806.45-8328.84-34337.351.923.20.0846861.41
837574348351372.9215187.2967096.77-11985.53-37349.41.273.410.097827.98
944157148321666.6719638.188602.15-11678.04-34337.351.683.360.0889199.39
105048314836127518498.6196344.09-13426.58-34939.761.384.130.09410517.31

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 4.13. Strategy is very good and impressively bullish. Percentage of profitable trades is 75%, which is good. Average return per trade is 5.26%, which is very good. Sharpe Ratio is 0.094, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SHREECEM Performance, X=10, Profit Factor:4.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Mar 2019 (2.17%), 15 Apr 2019 (2.51%), 21 May 2019 (3.51%)
2018114 Mar 2018 (-4.56%)
2017224 Apr 2017 (4.89%), 30 Aug 2017 (6.61%)
2016418 Apr 2016 (-4.1%), 03 Aug 2016 (1.64%), 06 Sep 2016 (-7.23%), 30 Dec 2016 (1.52%)
2015210 Sep 2015 (0.83%), 17 Dec 2015 (1.95%)
2014226 Mar 2014 (4.89%), 13 May 2014 (12.57%)
2013213 Feb 2013 (-4.54%), 12 Mar 2013 (-6.82%)
2012519 Jan 2012 (5.74%), 30 Mar 2012 (-8.18%), 30 Jul 2012 (4.04%), 30 Nov 2012 (2.18%), 14 Dec 2012 (3.46%)
2011329 Jun 2011 (0.83%), 14 Sep 2011 (5.44%), 27 Dec 2011 (-1.37%)
2010204 Jan 2010 (11.64%), 01 Nov 2010 (3.86%)
2009504 Feb 2009 (4.71%), 04 Mar 2009 (4.8%), 18 May 2009 (13.76%), 17 Jul 2009 (25.0%), 18 Sep 2009 (-8.11%)
2006317 Feb 2006 (30.64%), 04 Apr 2006 (12.28%), 06 Oct 2006 (1.38%)
2005105 Jan 2005 (1.0%)
2004130 Jul 2004 (0.57%)
2003209 Jun 2003 (10.69%), 15 Dec 2003 (18.11%)
2002407 Jan 2002 (-2.1%), 09 May 2002 (-8.3%), 02 Jul 2002 (-7.77%), 04 Oct 2002 (5.93%)
1999304 Jun 1999 (48.17%), 06 Jul 1999 (8.47%), 03 Aug 1999 (35.54%)
1998215 Jan 1998 (-17.47%), 06 May 1998 (22.34%)
1996102 Feb 1996 (9.35%)

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
nilnil-1105048314836127518498.6196344.09-13426.58-34939.761.384.130.09410517.31
atrtrail-15.7427567654243044.4419135.2569643.89-6119.01-16808.083.132.50.0595105.11
atrtrail34.8224337255253045.4516832.9642759.16-5915.08-16808.082.852.370.0654424.94
atrtrail24.0420571756253144.6415408.8128506.11-5790.44-16808.082.662.150.0643673.51
atrnil36.8530128953223141.5125663.742759.16-8493.94-16808.083.022.140.0665684.7
atrnil25.1320258854262848.1516942.8728506.11-8497.4-16808.081.991.850.0583751.62

In the table above, row 1 shows the best exit criterion. Profit factor is 4.13. Strategy is very good and impressively bullish. Percentage of profitable trades is 75%, which is good. Average return per trade is 5.26%, which is very good. Sharpe Ratio is 0.094, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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