Study: Buy SHREECEM 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 SHREECEM 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 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
1-70352.4571294240.853520.7216391.64-4106.03-13831.990.860.59-0.039-990.88
2-19775.6771343747.895762.7822136.67-5830.01-19815.90.990.91-0.0076-278.53
3-4391.4871333846.488095.0825931.93-7145.5-45946.751.130.98-0.0012-61.85
424543.4671323945.0710401.4840922.19-7905.23-45590.421.321.080.0058345.68
569057.3471333846.4810668.1546441.95-7447.15-41235.281.431.240.016972.64
660196.2371353649.311205.1340537.94-9221.75-45788.381.221.180.013847.83
714616371383353.5212469.8859942.36-9930.07-42086.511.261.450.0282058.64
815229371343747.8915136.451681.08-9793.11-29674.351.551.420.0282144.97
917591271373452.1114633.7360710.85-10751.06-31693.561.361.480.0322477.63
1020904071363550.716663.466090.3-11166.94-44323.161.491.530.0332944.22
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
atrnil38.7119971.5378215726.9229413.9656160.88-10486.34-22175.922.81.030.0028256.05
atrnil26.68-21769.4478275134.6219304.9337440.59-10647.11-22175.921.810.96-0.0038-279.1
atrtrail24.74-64339.2978275134.6213134.8130665.71-8215.28-18203.131.60.85-0.015-824.86
atrtrail35.53-77940.4478265233.3313359.2745998.56-8178.49-18203.131.630.82-0.016-999.24
atrtrail-16.19-81862.1778265233.3313208.4345162.92-8178.49-18203.131.620.81-0.017-1049.51

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 26.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, 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.
SHREECEM Performance, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Feb 2019 (-3.51%), 11 Sep 2019 (-3.32%), 16 Oct 2019 (-3.09%)
2018521 Feb 2018 (-3.19%), 13 Mar 2018 (-3.11%), 12 Jun 2018 (-2.8%), 03 Jul 2018 (8.84%), 02 Nov 2018 (14.02%)
2017313 Jun 2017 (-3.01%), 31 Aug 2017 (9.1%), 07 Dec 2017 (7.9%)
2016125 Nov 2016 (-5.59%)
2015404 May 2015 (12.02%), 03 Sep 2015 (-4.13%), 01 Dec 2015 (-3.7%), 16 Dec 2015 (-3.39%)
2013613 Mar 2013 (-4.54%), 02 Apr 2013 (-3.94%), 11 Apr 2013 (10.47%), 23 Jul 2013 (-2.46%), 03 Sep 2013 (11.53%), 19 Dec 2013 (-2.76%)
2012108 Jun 2012 (11.25%)
2011314 Feb 2011 (13.57%), 26 May 2011 (-3.65%), 02 Sep 2011 (-3.46%)
2010520 May 2010 (-3.86%), 02 Jun 2010 (-4.66%), 05 Aug 2010 (-2.82%), 15 Dec 2010 (-3.74%), 23 Dec 2010 (-3.43%)
2009103 Nov 2009 (14.77%)
2008725 Jan 2008 (-11.09%), 19 Feb 2008 (-7.36%), 31 Mar 2008 (-6.38%), 17 Jun 2008 (-5.14%), 10 Jul 2008 (-8.57%), 21 Oct 2008 (-8.06%), 05 Nov 2008 (-10.37%)
2007322 Mar 2007 (-7.94%), 29 Aug 2007 (-5.18%), 21 Nov 2007 (-5.99%)
2006119 Jun 2006 (-7.95%)
2005127 Jun 2005 (11.11%)
2004123 Jun 2004 (16.21%)
2003227 Mar 2003 (25.99%), 08 Oct 2003 (-4.88%)
2002206 Mar 2002 (-5.72%), 14 Aug 2002 (-5.71%)
2001210 Jul 2001 (28.08%), 28 Sep 2001 (22.45%)
1999619 Feb 1999 (-7.35%), 15 Mar 1999 (-6.85%), 21 Apr 1999 (-5.37%), 08 Oct 1999 (-7.28%), 11 Oct 1999 (23.0%), 02 Dec 1999 (-6.37%)
1998523 Feb 1998 (14.11%), 14 Aug 1998 (-5.83%), 17 Aug 1998 (-6.07%), 17 Nov 1998 (-7.49%), 03 Dec 1998 (-6.59%)
1997503 Apr 1997 (-5.38%), 08 May 1997 (15.03%), 17 Oct 1997 (-4.41%), 04 Nov 1997 (-5.15%), 21 Nov 1997 (15.89%)
1996601 Apr 1996 (11.8%), 03 Jun 1996 (-4.43%), 25 Jul 1996 (-6.06%), 11 Oct 1996 (-6.05%), 14 Oct 1996 (-6.52%), 07 Nov 1996 (-6.45%)
1995518 May 1995 (-3.88%), 19 May 1995 (-4.14%), 29 May 1995 (11.71%), 10 Nov 1995 (-4.19%), 27 Nov 1995 (-4.51%)



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