Study: Buy SRTRANSFIN 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 SRTRANSFIN 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 SRTRANSFIN 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
143956.8862303248.395915.3820115.42-4172.02-26666.671.421.330.021708.98
263220.1562362658.066124.4721052.63-6048.5-26666.671.011.40.0271019.68
31047466231315010904.5545674.04-7525.66-28571.431.451.450.0271689.44
410155362352756.4510244.9350301.81-9519.24-30476.191.081.40.0241637.95
528825.5162323051.619938.6542297.65-9640.37-41176.471.031.10.0071464.93
679188.7562323051.6112390.2143864.23-10576.6-32653.061.171.250.0171277.24
724561162342854.8415948.5894117.65-10594.33-36190.481.511.830.043961.46
815277862323051.6116413.99145170-12415.66-58823.531.321.410.0212464.16
916172162332953.2315926.31114360-12546.46-45714.291.271.440.0262608.4
1063152.4562332953.2315046.72100783-14944.46-520761.011.150.011018.59
Although, strategy looks good but profit factor on day 5 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
atrtrail23.8318624572304241.6716551.3855742.22-7388.02-28153.332.241.60.042586.73
atrnil25.0720375072304241.6719215.5755742.22-8874.21-28153.332.171.550.042829.86
atrnil37.821136169244534.7826419.2536758.31-9393.35-28153.332.811.50.0373063.21
atrtrail34.441106547028424015577.136758.31-7750.11-28153.332.011.340.0241580.77
atrtrail-15.1373597.5469264337.6815487.02128064-7652.67-28153.332.021.220.0121066.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
SRTRANSFIN Performance, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-3.96%)
2018224 Apr 2018 (-2.1%), 28 May 2018 (-3.05%)
2017330 May 2017 (-0.63%), 30 Nov 2017 (-3.05%), 06 Dec 2017 (6.8%)
2016229 Jan 2016 (-3.87%), 01 Feb 2016 (1.58%)
2015202 Sep 2015 (-3.08%), 22 Dec 2015 (-0.66%)
2014423 Apr 2014 (-3.88%), 14 May 2014 (8.23%), 03 Jul 2014 (-0.86%), 01 Dec 2014 (7.13%)
2013401 Apr 2013 (-3.79%), 12 Apr 2013 (-3.92%), 22 Apr 2013 (7.12%), 10 Sep 2013 (11.36%)
2012205 Jan 2012 (9.21%), 17 Aug 2012 (6.33%)
2011230 Aug 2011 (-4.49%), 05 Dec 2011 (-4.3%)
2010504 Jan 2010 (-3.81%), 05 May 2010 (-2.46%), 31 May 2010 (-1.67%), 20 Aug 2010 (-1.03%), 13 Sep 2010 (-2.84%)
2009617 Jul 2009 (-4.19%), 06 Aug 2009 (8.87%), 16 Sep 2009 (0.48%), 17 Oct 2009 (-2.81%), 11 Nov 2009 (1.35%), 31 Dec 2009 (-4.29%)
2008219 Feb 2008 (-6.41%), 08 Jul 2008 (-6.71%)
2007703 Jan 2007 (0.11%), 06 Aug 2007 (7.26%), 07 Aug 2007 (-3.93%), 03 Sep 2007 (8.93%), 28 Sep 2007 (7.86%), 03 Dec 2007 (-4.86%), 12 Dec 2007 (9.57%)
2006305 May 2006 (-3.35%), 30 Oct 2006 (-2.66%), 13 Nov 2006 (-0.81%)
2005608 Feb 2005 (8.72%), 03 Mar 2005 (12.25%), 03 Jun 2005 (9.79%), 04 Jun 2005 (-4.78%), 12 Aug 2005 (9.79%), 04 Oct 2005 (-6.49%)
2004131 Dec 2004 (9.21%)
2003815 Jan 2003 (-2.57%), 13 May 2003 (4.47%), 03 Jun 2003 (-4.14%), 25 Jun 2003 (-4.73%), 26 Jun 2003 (-2.24%), 04 Aug 2003 (8.04%), 28 Nov 2003 (8.4%), 26 Dec 2003 (15.04%)
2002106 Jun 2002 (-5.91%)
2001309 May 2001 (10.8%), 14 May 2001 (5.29%), 25 Jun 2001 (10.11%)
2000202 Nov 2000 (-14.08%), 03 Nov 2000 (27.87%)
1998201 Jan 1998 (-2.17%), 29 Apr 1998 (-5.41%)
1997303 Mar 1997 (-2.76%), 14 May 1997 (-4.29%), 05 Sep 1997 (-2.1%)
1996131 Dec 1996 (6.27%)



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