Study: Buy SUNPHARMA 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 SUNPHARMA 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 SUNPHARMA 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
146414.862342854.843497.2217543.21-2588.96-14767.431.351.640.035748.63
233704.2161332854.14500.6418762.56-4100.61-29582.251.11.290.017552.53
384814.4461332854.16556.6436122.93-4698.38-21195.611.41.640.0331390.4
444631.0661332854.16496.4740189.13-6062.59-30229.81.071.260.015731.66
571752.2561313050.828438.2449078.01-6327.77-20640.571.331.380.0221176.27
612270661342755.748427.3150212.77-6067.5-24199.291.391.750.0382011.57
710685661313050.829445.2660189.13-6198.22-26334.521.521.570.031751.74
866311.9961303149.1810127.3760094.56-7661.58-27402.141.321.280.0171087.08
910443161342755.749877.0564539.01-8569.95-25683.631.151.450.0261711.98
1096951.8661372460.669107.9464822.7-10001.74-32419.930.911.40.0231589.37
Although, strategy looks good but profit factor on day 4 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
atrnil312.718215566244236.3621463.8845716.03-7928.04-43276.252.711.550.0362759.93
atrnil29.5569859.4266283842.4213679.7230477.35-8241.39-43276.251.661.220.0181058.48
atrtrail36.325424.1766264039.398937.0727353.93-5673.49-35812.461.581.020.001782.18
atrtrail-16.74743.9766264039.398757.0659167.64-5673.49-35812.461.5410.0002111.27
atrtrail25.86-1238966264039.398251.9418235.95-5673.49-35812.461.450.95-0.0043-187.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Jan 2019 (-4.1%), 28 May 2019 (-4.06%), 10 Jul 2019 (11.1%)
2018327 Mar 2018 (-3.22%), 06 Nov 2018 (-3.35%), 17 Dec 2018 (-4.62%)
2017402 Jan 2017 (8.5%), 10 May 2017 (-2.07%), 12 Jun 2017 (10.09%), 24 Aug 2017 (10.69%)
2016512 Apr 2016 (-2.47%), 15 Jun 2016 (-2.32%), 06 Sep 2016 (-2.04%), 21 Oct 2016 (-1.87%), 18 Nov 2016 (-3.88%)
2015413 May 2015 (-3.35%), 18 Jun 2015 (9.09%), 07 Aug 2015 (7.67%), 30 Nov 2015 (8.66%)
2014303 Apr 2014 (7.48%), 02 Jun 2014 (8.66%), 31 Dec 2014 (-2.11%)
2013304 Dec 2013 (-2.67%), 09 Dec 2013 (-2.71%), 20 Dec 2013 (7.72%)
2011118 Feb 2011 (-4.25%)
2010114 May 2010 (-3.08%)
2009212 Mar 2009 (12.33%), 14 Jul 2009 (16.35%)
2008210 Nov 2008 (-8.12%), 10 Dec 2008 (-6.88%)
2007209 Aug 2007 (-3.6%), 10 Aug 2007 (-3.68%)
2006121 Jun 2006 (22.86%)
2005302 Mar 2005 (-3.8%), 19 Apr 2005 (9.52%), 10 Nov 2005 (12.54%)
2004122 Jul 2004 (13.11%)
2003210 Mar 2003 (-4.32%), 24 Mar 2003 (13.19%)
2002421 May 2002 (-3.14%), 22 May 2002 (-3.56%), 13 Jun 2002 (-5.4%), 21 Nov 2002 (9.81%)
2001321 Mar 2001 (-6.07%), 16 Jul 2001 (13.68%), 05 Sep 2001 (9.73%)
2000231 Mar 2000 (-21.64%), 06 Oct 2000 (-5.9%)
1999106 Jul 1999 (-2.95%)
1998503 Feb 1998 (-3.05%), 17 Feb 1998 (7.9%), 29 Jun 1998 (-7.16%), 28 Oct 1998 (-3.92%), 09 Nov 1998 (-2.83%)
1997429 May 1997 (-1.99%), 21 Oct 1997 (-2.74%), 26 Nov 1997 (-2.28%), 31 Dec 1997 (8.96%)
1996630 Jan 1996 (9.34%), 12 Aug 1996 (-1.98%), 30 Aug 1996 (-1.3%), 14 Oct 1996 (-3.04%), 11 Nov 1996 (-3.38%), 27 Nov 1996 (8.58%)
1995121 Sep 1995 (-1.6%)



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