Study: Buy TATAELXSI when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > tataelxsi > 64

In this study, we evaluate the performance of strategy "Buy TATAELXSI 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 TATAELXSI 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
125072.9977374048.053919.0116914.81-2998.26-10480.731.311.210.013325.62
2-11192.5977374048.055315.7317504.32-5196.87-22601.791.020.95-0.0042-145.36
3-83992.6177334442.866843.6626272.29-7041.67-335210.970.73-0.024-1090.81
4-10420177354245.457399.6621158.84-8647.36-41316.590.860.71-0.026-1353.26
5-14075777314640.268020.8927062.71-8465.32-29917.180.950.64-0.034-1828.01
6-16405677294837.669706.2842904.29-9282.04-29572.121.050.63-0.035-2130.6
7-17007777304738.9610710.2642904.29-10454.99-33506.61.020.65-0.034-2208.79
8-19712077324541.5610179.8438445.6-11619.43-42702.920.880.62-0.038-2560
9-13237577354245.4510628.538333.33-12008.87-41183.530.890.74-0.024-1719.16
10-13948877334442.8611862.0739956.82-12066.75-54906.990.980.74-0.024-1811.54

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.21. 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 48.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study.

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
atrnil311.4623124978245430.7731697.759405.48-9805.47-23695.643.231.440.0292964.74
atrnil27.7219765882334940.2420388.5339603.65-9697.22-23695.642.11.420.0312410.46
nilnil-1125072.9977374048.053919.0116914.81-2998.26-10480.731.311.210.013325.62
atrtrail24.887462.7282275532.9314518.9136140.17-6991.78-23695.642.081.020.001591.01
atrtrail35.5-23143.1682275532.9313385.3654210.25-6991.78-23695.641.910.94-0.0045-282.23
atrtrail-15.89-92554.0182275532.9310814.5848185.39-6991.78-23695.641.550.76-0.021-1128.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 1.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
TATAELXSI Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019507 Feb 2019 (-2.58%), 08 Feb 2019 (-2.65%), 20 Feb 2019 (8.97%), 22 May 2019 (8.12%), 08 Aug 2019 (-4.05%)
2018123 Oct 2018 (-5.78%)
2016804 Mar 2016 (-5.5%), 10 Jun 2016 (-2.44%), 04 Jul 2016 (-2.35%), 27 Jul 2016 (-2.75%), 19 Sep 2016 (-2.25%), 20 Oct 2016 (-2.85%), 30 Oct 2016 (-3.16%), 24 Nov 2016 (13.9%)
2014128 Nov 2014 (-3.25%)
2013621 Feb 2013 (-2.95%), 08 Mar 2013 (-4.2%), 02 Apr 2013 (-4.99%), 12 Apr 2013 (-4.16%), 14 Jun 2013 (-3.01%), 29 Aug 2013 (13.36%)
2012102 Apr 2012 (-3.43%)
2011615 Feb 2011 (-5.26%), 03 Mar 2011 (16.29%), 28 Jun 2011 (9.05%), 29 Aug 2011 (17.76%), 05 Dec 2011 (-4.47%), 27 Dec 2011 (-4.72%)
2010331 May 2010 (-5.0%), 19 Aug 2010 (-3.11%), 07 Sep 2010 (10.78%)
2009206 Feb 2009 (-5.37%), 19 Mar 2009 (13.03%)
2008306 Feb 2008 (-8.23%), 01 Apr 2008 (27.11%), 21 Oct 2008 (-7.96%)
2007514 Mar 2007 (19.32%), 09 Aug 2007 (-4.44%), 28 Aug 2007 (-4.41%), 29 Oct 2007 (-5.66%), 20 Nov 2007 (15.17%)
2006414 Feb 2006 (-3.93%), 27 Feb 2006 (-3.25%), 20 Mar 2006 (9.31%), 20 Jun 2006 (-8.49%)
2005220 Oct 2005 (-4.03%), 07 Nov 2005 (12.67%)
2004203 Mar 2004 (-5.18%), 29 Mar 2004 (15.62%)
2003507 Feb 2003 (-4.18%), 18 Feb 2003 (-4.24%), 19 Mar 2003 (-4.39%), 28 Apr 2003 (-3.63%), 15 May 2003 (-3.27%)
2002209 Oct 2002 (-4.03%), 18 Nov 2002 (11.15%)
2001428 Mar 2001 (-11.85%), 10 Jul 2001 (-6.26%), 07 Aug 2001 (-6.25%), 27 Sep 2001 (27.12%)
2000207 Feb 2000 (-8.23%), 10 Apr 2000 (-10.58%)
1999305 May 1999 (-8.65%), 09 Jun 1999 (-7.26%), 17 Jun 1999 (23.06%)
1998325 Jun 1998 (29.7%), 20 Nov 1998 (-5.19%), 02 Dec 1998 (15.32%)
1997321 Apr 1997 (-4.41%), 14 Jul 1997 (16.76%), 27 Nov 1997 (-5.52%)
1996401 Apr 1996 (13.58%), 08 Aug 1996 (-5.94%), 14 Oct 1996 (-4.98%), 11 Nov 1996 (-4.85%)
1995319 May 1995 (-5.15%), 26 Jun 1995 (17.65%), 01 Dec 1995 (15.56%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play