Study: Buy STAR 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 STAR 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 STAR 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
1-49425.9835152042.864712.2818830.16-6005.51-14285.710.780.59-0.049-1412.17
2-6946.5734132138.2411058.1437445.02-7176.3-28571.431.540.95-0.0041-204.31
326387.1934151944.1212427.1743641.23-8422.13-32714.291.481.160.014776.09
4-22204.9134142041.1811642.8535417.86-9260.24-28571.431.260.88-0.012-653.09
5-28417.1834161847.0610498.6430728.65-10910.86-31428.570.960.86-0.014-835.8
6-23310.9434142041.181222235303.12-9720.95-28571.431.260.88-0.012-685.62
7-25871.063417175011038.4735838.59-12560.3-25650.040.880.88-0.013-760.91
8-6172.734161847.0612062.633811.44-11065.24-32677.441.090.97-0.0031-181.55
921636.893417175013383.1733505.45-12110.42-30920.591.111.110.01636.38
107971.3934142041.1815481.6636758.26-10438.59-25571.431.481.040.0036234.45
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
atrnil26.0529512.1139152438.4619206.1728965.23-10774.19-17727.831.781.110.012756.72
atrtrail24.08-8124.0639152438.4613700.5528965.23-8901.35-17727.831.540.96-0.0039-208.31
atrnil39.88-24834.373482623.5331438.2243447.85-10628.47-17727.832.960.91-0.0094-730.42
atrtrail-15.08-85571.737142337.848873.9631403.47-9122.05-17727.830.970.59-0.052-2312.75
atrtrail34.89-87633.4437142337.848726.6926618.67-9122.05-17727.830.960.58-0.054-2368.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
STAR Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 Jul 2019 (8.97%)
2018115 Mar 2018 (-3.3%)
2017121 Nov 2017 (-3.17%)
2016102 Mar 2016 (11.69%)
2015131 Mar 2015 (-4.71%)
2014405 Jun 2014 (8.08%), 06 Jun 2014 (8.27%), 03 Jul 2014 (-3.42%), 04 Sep 2014 (6.13%)
2013107 Aug 2013 (-6.92%)
2012514 Mar 2012 (-4.24%), 04 Apr 2012 (9.96%), 07 Jun 2012 (-3.84%), 18 Jun 2012 (7.09%), 13 Jul 2012 (-3.21%)
2011104 Mar 2011 (-6.88%)
2010608 Jan 2010 (-4.53%), 18 Jan 2010 (9.84%), 10 Feb 2010 (12.83%), 03 Mar 2010 (10.46%), 19 Mar 2010 (-4.69%), 22 Apr 2010 (-4.0%)
2009419 May 2009 (14.48%), 11 Aug 2009 (-7.48%), 02 Sep 2009 (11.79%), 01 Oct 2009 (-4.77%)
2008206 May 2008 (-7.04%), 19 Aug 2008 (-5.69%)
2007104 Jul 2007 (-4.53%)
2006212 Jun 2006 (-8.86%), 29 Sep 2006 (-4.82%)
2005204 Jan 2005 (-3.87%), 02 Aug 2005 (8.87%)
2004524 May 2004 (-8.08%), 25 May 2004 (-8.74%), 29 Sep 2004 (8.04%), 03 Nov 2004 (7.53%), 04 Nov 2004 (-3.88%)
2002125 Jan 2002 (-8.61%)



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