Study: Buy SRF when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SRF when RSI is above 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 SRF 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
1287857131696252.67780239973.82-4040.01-17260.791.932.150.0512197.38
2461972131795260.319859.8751821.02-6095.33-26355.471.622.460.063526.51
3402536131706153.4412336.2368950.47-7557.37-23908.051.631.870.0413072.8
4453516131725954.9613579.5872036.47-8884.98-22338.821.531.870.0453461.95
5465451131716054.21567963234.62-10795.97-29885.061.451.720.0393553.06
6325302131686351.9115767.9569631.51-11855.85-32685.711.331.440.0272483.22
7354877131676451.1516682.2191232.53-11919.23-53714.291.41.470.0272708.99
8404499131656649.6218280.4399872.94-11874.67-464001.541.520.033087.78
9266357131656649.6216925.8478780.18-12633.68-560001.341.320.022033.26
10399649131636848.0919590.3876899.7-12272.73-440001.61.480.0293050.75

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.46. 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 60.31%, which is good. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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.
SRF Performance, X=2, Profit Factor:2.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019815 Jan 2019 (-0.99%), 06 Feb 2019 (-0.22%), 26 Apr 2019 (1.56%), 15 May 2019 (1.49%), 21 Jun 2019 (-1.89%), 06 Aug 2019 (-2.66%), 20 Sep 2019 (0.63%), 23 Oct 2019 (0.91%)
2018312 Feb 2018 (0.35%), 16 Mar 2018 (2.23%), 18 Dec 2018 (1.75%)
2017516 May 2017 (-3.45%), 26 Jul 2017 (-1.15%), 09 Oct 2017 (-1.09%), 16 Nov 2017 (0.9%), 19 Dec 2017 (1.04%)
2016513 Apr 2016 (1.69%), 10 May 2016 (-1.79%), 31 May 2016 (-0.86%), 28 Jun 2016 (2.51%), 26 Sep 2016 (0.44%)
2015702 Jan 2015 (-5.9%), 03 Mar 2015 (-4.4%), 30 Mar 2015 (5.04%), 20 May 2015 (2.88%), 22 Jun 2015 (-0.6%), 04 Aug 2015 (-1.29%), 18 Dec 2015 (0.19%)
2014805 Feb 2014 (0.71%), 05 Mar 2014 (22.52%), 10 Apr 2014 (4.4%), 19 May 2014 (-0.56%), 27 Jun 2014 (-0.16%), 01 Sep 2014 (1.67%), 19 Sep 2014 (-3.47%), 29 Oct 2014 (5.8%)
2013603 Jan 2013 (-1.01%), 18 Feb 2013 (2.85%), 03 Apr 2013 (-4.41%), 13 Aug 2013 (-5.95%), 27 Sep 2013 (5.92%), 29 Nov 2013 (4.06%)
2012516 Feb 2012 (3.25%), 13 Aug 2012 (0.05%), 01 Oct 2012 (-1.79%), 01 Nov 2012 (-1.99%), 04 Dec 2012 (0.39%)
2011120 Jan 2011 (-1.03%)
2010718 Jan 2010 (-7.83%), 21 Apr 2010 (-2.42%), 15 Jun 2010 (0.86%), 14 Jul 2010 (1.99%), 10 Aug 2010 (1.54%), 02 Sep 2010 (2.23%), 01 Oct 2010 (5.32%)
2009812 Feb 2009 (1.76%), 23 Mar 2009 (0.67%), 04 May 2009 (-0.06%), 18 May 2009 (25.91%), 20 Jul 2009 (11.16%), 23 Sep 2009 (0.3%), 03 Dec 2009 (0.39%), 22 Dec 2009 (1.96%)
2008303 Jan 2008 (-2.43%), 16 Jun 2008 (11.08%), 09 Jul 2008 (-1.56%)
2007322 May 2007 (-4.89%), 07 Jun 2007 (-1.97%), 31 Oct 2007 (-5.33%)
2006617 Jan 2006 (3.28%), 17 Feb 2006 (5.99%), 29 Mar 2006 (17.22%), 27 Jul 2006 (-1.62%), 09 Oct 2006 (-3.18%), 27 Oct 2006 (2.19%)
2005828 Jan 2005 (8.13%), 03 Mar 2005 (-1.83%), 04 Apr 2005 (5.51%), 13 May 2005 (3.75%), 07 Jun 2005 (2.56%), 04 Jul 2005 (2.92%), 05 Aug 2005 (-5.66%), 20 Sep 2005 (-13.18%)
2004606 May 2004 (0.23%), 25 May 2004 (-1.48%), 25 Jun 2004 (6.48%), 25 Aug 2004 (8.24%), 06 Oct 2004 (5.18%), 03 Nov 2004 (-0.71%)
2003813 Jan 2003 (0.22%), 27 Feb 2003 (1.08%), 30 May 2003 (-3.75%), 27 Jun 2003 (1.12%), 18 Aug 2003 (14.52%), 07 Oct 2003 (6.88%), 04 Nov 2003 (12.77%), 29 Dec 2003 (0.35%)
2002615 Feb 2002 (-9.2%), 19 Mar 2002 (-4.11%), 08 Apr 2002 (1.33%), 04 Jun 2002 (7.95%), 04 Nov 2002 (1.08%), 26 Nov 2002 (-0.88%)
2001218 Jun 2001 (8.94%), 15 Oct 2001 (5.63%)
2000324 May 2000 (16.72%), 20 Jun 2000 (7.5%), 04 Jul 2000 (9.8%)
19991004 Jan 1999 (20.91%), 01 Feb 1999 (8.0%), 20 Apr 1999 (-5.11%), 13 May 1999 (1.48%), 05 Jul 1999 (10.46%), 06 Aug 1999 (12.97%), 16 Sep 1999 (8.89%), 17 Nov 1999 (-2.74%), 09 Dec 1999 (-2.6%), 23 Dec 1999 (-6.23%)
1998620 Jan 1998 (-2.23%), 09 Feb 1998 (-2.74%), 24 Feb 1998 (0.68%), 20 Mar 1998 (-6.21%), 10 Apr 1998 (11.19%), 31 Jul 1998 (-1.43%)
1997103 Mar 1997 (1.62%)
1996512 Feb 1996 (-1.67%), 11 Apr 1996 (0.47%), 28 May 1996 (2.05%), 10 Oct 1996 (-3.85%), 18 Nov 1996 (-4.92%)
1995118 Jul 1995 (2.79%)

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-12461972131795260.319859.8751821.02-6095.33-26355.471.622.460.063526.51
atrnil37.05536696143509334.9727874.544971.3-9215.36-20179.883.021.630.0413753.12
atrtrail34.13321184149569337.5817337.7644971.3-6986.35-17549.492.481.490.032155.6
atrtrail23.57302178152599338.8216294.8740359.77-7088.38-17549.492.31.460.0311988.01
atrtrail-14.81270879142548838.0316103.9374025.72-6803.79-17549.492.371.450.0251907.6
atrnil24.4634566015060904019236.4940359.77-8983.66-18865.492.141.430.0322304.4

In the table above, row 1 shows the best exit criterion. Profit factor is 2.46. 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 60.31%, which is good. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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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