Study: Buy SRF 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 SRF 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 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
127840.7978354344.874736.2819000-3207.65-12430.941.481.20.013356.93
224150.6378334542.317331.4533449.48-4839.71-24596.551.511.110.0072309.62
3-10392.1378294937.1811137.1729268.29-6803.47-36171.41.640.97-0.0024-133.23
494283.7578374147.4410781.4238924.93-7429.97-26599.891.451.310.021208.77
521387.0578364246.1511797.1140871.18-9602.59-37679.791.231.050.004274.19
678409.2578354344.8714146.8467747.91-9691.4-35460.991.461.190.0131005.25
711868978384048.7213758.5767469.88-10103.41-30573.251.361.290.0191521.66
877203.4978354344.8715269.155514.37-10632.91-32320.441.441.170.012989.79
912670678403851.2815955.9966000-13461.41-33277.691.191.250.0171624.44
1067434.4478384048.7216612.760000-14096.2-37284.361.181.120.0089864.54
Although, strategy looks good but profit factor on day 3 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
atrnil38.6437708886305634.8831333.9689206.42-10052.33-24175.473.121.670.0414384.75
atrtrail35.4524133287345339.0820316.6689206.42-8479.89-20531.082.41.540.0312773.93
atrtrail-16.5917618387345339.0818400.5174593.44-8479.89-20531.082.171.390.0232025.09
atrnil26.4119682387365141.3820016.2659470.95-10269.85-24175.471.951.380.0282262.34
atrtrail24.7610868187345339.0816415.1559470.95-8479.89-20531.081.941.240.0181249.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 34.88%, which is not acceptable. Avoid this strategy. Average return per trade is 2.19%, which is very good. Sharpe Ratio is 0.041, 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.
SRF Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Jan 2019 (-2.74%), 31 Jul 2019 (-3.28%)
2018508 Jun 2018 (-3.89%), 09 Jul 2018 (-3.53%), 24 Jul 2018 (11.8%), 16 Oct 2018 (-4.89%), 24 Oct 2018 (14.86%)
2017609 Mar 2017 (7.96%), 09 Jun 2017 (-2.79%), 19 Jun 2017 (-2.54%), 11 Jul 2017 (-2.5%), 25 Jul 2017 (-2.19%), 29 Aug 2017 (8.96%)
2016509 Feb 2016 (-4.45%), 22 Feb 2016 (-4.85%), 01 Mar 2016 (13.07%), 27 Jun 2016 (8.69%), 30 Nov 2016 (-4.49%)
2015114 Sep 2015 (-5.54%)
2013702 Jan 2013 (-2.23%), 07 Feb 2013 (-2.81%), 15 Feb 2013 (-2.96%), 11 Mar 2013 (-3.06%), 02 Apr 2013 (-3.59%), 02 Jul 2013 (-4.04%), 12 Aug 2013 (10.36%)
2012320 Apr 2012 (-3.08%), 23 May 2012 (-2.95%), 05 Dec 2012 (-2.74%)
2011516 Feb 2011 (-5.58%), 31 May 2011 (-2.76%), 29 Jun 2011 (9.52%), 30 Aug 2011 (-3.16%), 24 Oct 2011 (-2.5%)
2010202 Mar 2010 (10.14%), 20 Dec 2010 (-7.17%)
2009211 Feb 2009 (15.57%), 17 Jul 2009 (18.06%)
2008406 Feb 2008 (-10.27%), 28 Mar 2008 (23.71%), 22 Oct 2008 (-7.8%), 04 Nov 2008 (-9.49%)
2007429 Jan 2007 (12.61%), 20 Mar 2007 (21.95%), 28 Aug 2007 (14.36%), 01 Nov 2007 (16.63%)
2006319 Jun 2006 (-12.09%), 28 Jul 2006 (19.59%), 05 Dec 2006 (-4.63%)
2005107 Nov 2005 (-6.36%)
2004208 Mar 2004 (-7.83%), 24 Mar 2004 (21.99%)
2003101 Apr 2003 (10.49%)
2002309 Jan 2002 (11.61%), 19 Aug 2002 (26.15%), 03 Dec 2002 (-3.12%)
2001602 Feb 2001 (12.45%), 29 Mar 2001 (-6.64%), 07 May 2001 (16.82%), 15 Jun 2001 (14.46%), 23 Aug 2001 (-4.23%), 12 Oct 2001 (9.4%)
2000423 Mar 2000 (-8.15%), 21 Sep 2000 (-5.11%), 20 Oct 2000 (-5.76%), 27 Oct 2000 (-6.09%)
1999124 Feb 1999 (44.6%)
1998802 Jun 1998 (-6.58%), 25 Jun 1998 (-6.82%), 26 Jun 1998 (-6.94%), 03 Jul 1998 (-6.67%), 13 Jul 1998 (-7.13%), 30 Jul 1998 (-7.8%), 23 Sep 1998 (-5.13%), 26 Oct 1998 (20.53%)
1997223 Apr 1997 (-4.52%), 04 Nov 1997 (-4.58%)
1996530 Apr 1996 (-4.59%), 27 May 1996 (-4.64%), 22 Aug 1996 (20.71%), 11 Oct 1996 (-4.78%), 10 Dec 1996 (11.12%)
1995423 May 1995 (-4.65%), 14 Jul 1995 (11.82%), 20 Oct 1995 (-6.33%), 01 Nov 1995 (-6.46%)



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