Study: Buy TATACHEM 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 TATACHEM 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 TATACHEM 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
158623.44141657646.14041.5131693.12-2685.19-15906.131.511.290.016415.77
264456.82141717050.355240.0828994.71-4394.13-17209.911.191.210.014457.14
3150807141736851.777392.5241164.02-5718.34-24469.271.291.390.0221069.55
4215233141756653.198404.1343439.15-6289.04-30055.871.341.520.031526.48
5306561141786355.329726.542927.79-7176.3-34525.141.361.680.0372174.19
6413210141816057.4510675.0247961.37-7524.45-34189.941.421.920.0462930.57
7402598141816057.4511038.0542274.68-8191.4-41340.781.351.820.0442855.31
8492019141816057.4512196.7257618.03-8265.26-43463.691.481.990.053489.5
9417989141825958.1611949.9951072.96-9523.9-48156.421.251.740.042964.46
10380922141806156.7412428.7847961.37-10055.41-52960.891.241.620.0352701.58
Although, strategy looks good but profit factor on day 2 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
atrnil37.08464535153579637.2519548.3435464.86-6767.91-13176.392.891.710.0463036.18
atrtrail34.67344465160699143.1212110.1331399.04-5397.08-13176.392.241.70.042152.91
atrtrail-15.68273607158689043.0411132.8147633.98-5371.37-13176.392.071.570.0321731.69
atrtrail23.93248845163719243.5610548.7126312.59-5436.02-13176.391.941.50.0331526.65
atrnil25.08282680160689242.513190.726312.59-6677.04-13176.391.981.460.0341766.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 37.25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
TATACHEM Performance, Profit Factor:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020229 Jul 2020 (-2.78%), 19 Aug 2020 (7.79%)
2019510 May 2019 (-2.69%), 17 May 2019 (-3.2%), 17 Oct 2019 (7.31%), 25 Nov 2019 (-2.25%), 26 Dec 2019 (7.66%)
2018603 Jan 2018 (-2.35%), 15 Feb 2018 (-3.02%), 27 Mar 2018 (7.48%), 30 Apr 2018 (-2.23%), 08 Jun 2018 (-2.71%), 17 Dec 2018 (-2.7%)
2017825 Jan 2017 (6.93%), 22 Feb 2017 (-2.26%), 27 Mar 2017 (6.57%), 01 Jun 2017 (-2.73%), 03 Jul 2017 (-2.48%), 03 Oct 2017 (8.4%), 27 Nov 2017 (-2.43%), 21 Dec 2017 (-2.37%)
2016703 Mar 2016 (10.02%), 12 Apr 2016 (6.98%), 13 Apr 2016 (7.65%), 25 May 2016 (-2.66%), 01 Jul 2016 (-2.15%), 10 Aug 2016 (9.94%), 19 Oct 2016 (-2.94%)
2015930 Jan 2015 (-2.38%), 03 Mar 2015 (-2.95%), 04 Mar 2015 (-3.11%), 31 Mar 2015 (-2.83%), 04 May 2015 (-2.98%), 11 May 2015 (-3.16%), 04 Nov 2015 (-2.49%), 17 Nov 2015 (-2.41%), 24 Dec 2015 (-2.57%)
20141522 Jan 2014 (-2.26%), 03 Feb 2014 (-2.7%), 10 Feb 2014 (-3.09%), 05 Mar 2014 (-2.74%), 31 Mar 2014 (-2.72%), 28 Apr 2014 (-2.86%), 12 May 2014 (7.62%), 06 Jun 2014 (-3.65%), 02 Jul 2014 (-3.5%), 23 Jul 2014 (-3.48%), 31 Jul 2014 (9.84%), 19 Aug 2014 (9.92%), 22 Oct 2014 (8.68%), 28 Nov 2014 (-2.5%), 31 Dec 2014 (-2.62%)
2013127 Dec 2013 (-2.63%)
2012717 Apr 2012 (-2.68%), 14 Aug 2012 (-2.0%), 05 Sep 2012 (6.07%), 03 Oct 2012 (-2.19%), 15 Oct 2012 (-2.06%), 29 Nov 2012 (5.49%), 31 Dec 2012 (7.0%)
2011331 May 2011 (-2.84%), 30 Jun 2011 (-2.67%), 28 Nov 2011 (-3.23%)
2010529 Mar 2010 (9.24%), 15 Jun 2010 (-3.32%), 30 Jul 2010 (6.59%), 06 Sep 2010 (-3.03%), 11 Oct 2010 (-2.83%)
2009918 May 2009 (-4.66%), 19 May 2009 (15.7%), 04 Jun 2009 (-5.97%), 11 Jun 2009 (-5.65%), 12 Jun 2009 (-6.32%), 23 Jul 2009 (13.2%), 10 Sep 2009 (15.06%), 11 Nov 2009 (-3.87%), 01 Dec 2009 (10.6%)
2008220 May 2008 (-5.25%), 24 Jul 2008 (-6.58%)
2007812 Jan 2007 (6.98%), 22 Mar 2007 (-3.57%), 26 Jun 2007 (-2.57%), 29 Jun 2007 (-2.81%), 17 Jul 2007 (-3.21%), 30 Aug 2007 (11.57%), 24 Oct 2007 (-4.53%), 04 Dec 2007 (13.1%)
2006816 Jan 2006 (-2.97%), 13 Feb 2006 (-3.18%), 10 Mar 2006 (9.51%), 09 May 2006 (-3.43%), 21 Sep 2006 (-2.54%), 01 Nov 2006 (-2.62%), 13 Nov 2006 (-2.39%), 15 Dec 2006 (-2.92%)
2005628 Jan 2005 (-3.78%), 05 Apr 2005 (-3.27%), 22 Apr 2005 (10.02%), 12 Jul 2005 (8.26%), 06 Sep 2005 (-2.75%), 05 Oct 2005 (-3.42%)
2004626 Mar 2004 (-5.44%), 26 May 2004 (-6.35%), 07 Jul 2004 (-4.55%), 17 Sep 2004 (7.11%), 11 Nov 2004 (7.37%), 23 Dec 2004 (-3.51%)
20031016 Jan 2003 (9.04%), 20 Feb 2003 (-3.25%), 02 Apr 2003 (9.55%), 05 May 2003 (-3.08%), 14 May 2003 (8.44%), 20 Jun 2003 (9.36%), 31 Jul 2003 (10.0%), 30 Sep 2003 (11.06%), 30 Oct 2003 (13.41%), 15 Dec 2003 (11.09%)
2002916 Jan 2002 (9.74%), 06 Feb 2002 (11.53%), 05 Mar 2002 (-4.24%), 05 Apr 2002 (9.75%), 06 May 2002 (8.27%), 27 May 2002 (-3.61%), 10 Jun 2002 (14.97%), 08 Jul 2002 (-4.93%), 18 Nov 2002 (10.08%)
2001504 Jan 2001 (-5.43%), 30 Jan 2001 (-5.04%), 16 May 2001 (11.87%), 12 Nov 2001 (10.8%), 05 Dec 2001 (-4.32%)
2000324 Jan 2000 (-4.76%), 11 Jul 2000 (-3.51%), 28 Nov 2000 (13.94%)
1999508 Jun 1999 (-5.92%), 09 Jun 1999 (-6.59%), 18 Jun 1999 (17.73%), 13 Jul 1999 (-4.69%), 13 Aug 1999 (14.8%)
1998111 Dec 1998 (-3.5%)
1997617 Feb 1997 (-3.42%), 28 Feb 1997 (-3.15%), 29 Jul 1997 (11.71%), 27 Nov 1997 (-3.32%), 28 Nov 1997 (-3.48%), 16 Dec 1997 (9.19%)
1996502 Feb 1996 (10.03%), 12 Feb 1996 (-3.86%), 04 Apr 1996 (10.05%), 05 Jun 1996 (7.12%), 17 Jul 1996 (-3.16%)
1995205 Apr 1995 (-3.14%), 17 Jul 1995 (7.95%)



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