Study: Buy TATAGLOBAL 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 TATAGLOBAL 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 TATAGLOBAL 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
197780.661427171504598.3620122.57-3221.17-14067.881.431.430.026688.6
233573.88142736951.415699.1422982.64-5542.95-20324.861.031.090.0064236.44
333318.95142677547.186913.8531647.63-5732.12-25943.531.211.080.0056234.64
4118448142667646.488419.4544637.39-5753.09-28487.561.461.270.017834.14
5106513142736951.418570.337078.65-7523.46-31451.611.141.210.014750.09
6134797142687447.899832.3945863.87-7213.58-32258.061.361.250.016949.28
796140.2914271715010045.3844314.14-8691.29-32762.11.161.160.011677.04
8152453142786454.9310537.4251378.96-10460.41-35534.271.011.230.0161073.61
9194634142786454.9310753.6444984.29-10064.84-39818.551.071.30.021370.66
10202740142766653.5211747.2151245.38-10455.27-39264.111.121.290.021427.75

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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
nilnil-1197780.661427171504598.3620122.57-3221.17-14067.881.431.430.026688.6
atrtrail34.692041091666110536.7512659.229482.51-5410.49-15431.82.341.360.0241229.57
atrnil25.222580481717110041.5213810.4422961.64-7224.93-16516.371.911.360.0291509.05
atrnil37.592569401595010931.4520954.6734442.46-7254.98-16516.372.891.320.0241615.98
atrtrail-15.641819331645910535.9812646.9544871.26-5373.69-15431.82.351.320.021109.35
atrtrail23.941845001736710638.7311338.7619655.01-5426.39-15431.82.091.320.0241066.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
TATAGLOBAL Performance, X=1, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019816 Jan 2019 (0.79%), 29 Mar 2019 (2.03%), 16 May 2019 (6.61%), 26 Jun 2019 (0.42%), 02 Aug 2019 (-1.77%), 28 Aug 2019 (-1.96%), 23 Sep 2019 (0.49%), 15 Oct 2019 (-0.79%)
2018402 Apr 2018 (-0.78%), 14 Sep 2018 (1.13%), 12 Oct 2018 (2.53%), 15 Nov 2018 (0.16%)
2017720 Mar 2017 (-0.38%), 02 May 2017 (-0.95%), 01 Jun 2017 (1.61%), 07 Jul 2017 (5.58%), 16 Aug 2017 (-1.68%), 27 Oct 2017 (2.86%), 29 Dec 2017 (-1.11%)
2016626 Apr 2016 (0.49%), 17 May 2016 (0.5%), 07 Jun 2016 (4.23%), 29 Jun 2016 (1.16%), 28 Jul 2016 (1.43%), 27 Sep 2016 (1.52%)
2015320 Feb 2015 (-2.35%), 20 Nov 2015 (-0.64%), 17 Dec 2015 (-0.21%)
2014620 May 2014 (-0.23%), 06 Jun 2014 (0.06%), 27 Jun 2014 (0.96%), 19 Aug 2014 (1.28%), 31 Oct 2014 (2.28%), 18 Nov 2014 (-0.97%)
2013502 Apr 2013 (-2.65%), 04 Jun 2013 (0.2%), 03 Jul 2013 (1.34%), 05 Sep 2013 (-0.14%), 03 Oct 2013 (-1.42%)
2012830 Jan 2012 (10.06%), 03 Apr 2012 (-1.05%), 28 May 2012 (-0.99%), 19 Jul 2012 (-2.14%), 07 Sep 2012 (0.04%), 28 Sep 2012 (1.96%), 08 Nov 2012 (0.93%), 10 Dec 2012 (-1.76%)
2011517 Feb 2011 (-7.03%), 30 Jun 2011 (1.24%), 25 Jul 2011 (-0.43%), 01 Dec 2011 (3.97%), 23 Dec 2011 (0.0%)
2010805 Jan 2010 (1.56%), 02 Mar 2010 (2.36%), 30 Mar 2010 (-0.98%), 14 May 2010 (3.31%), 14 Jun 2010 (0.81%), 23 Aug 2010 (-0.21%), 06 Oct 2010 (3.17%), 10 Nov 2010 (-2.88%)
2009826 Feb 2009 (0.22%), 23 Mar 2009 (-2.92%), 08 May 2009 (-1.61%), 03 Jun 2009 (1.9%), 15 Jul 2009 (1.32%), 24 Aug 2009 (-1.41%), 06 Nov 2009 (0.92%), 24 Nov 2009 (-0.38%)
2008630 Jan 2008 (-1.96%), 27 Mar 2008 (3.06%), 02 May 2008 (-2.21%), 13 Aug 2008 (0.13%), 04 Sep 2008 (-1.15%), 19 Sep 2008 (-1.9%)
2007502 Jul 2007 (1.22%), 27 Aug 2007 (1.62%), 28 Sep 2007 (1.76%), 19 Nov 2007 (-3.44%), 04 Dec 2007 (-0.29%)
2006513 Feb 2006 (1.07%), 02 May 2006 (-0.68%), 26 Jul 2006 (5.06%), 24 Nov 2006 (0.09%), 28 Dec 2006 (-0.98%)
2005804 Jan 2005 (-2.76%), 31 Jan 2005 (-0.87%), 04 Apr 2005 (-0.4%), 22 Apr 2005 (-0.36%), 26 May 2005 (0.5%), 24 Jun 2005 (2.29%), 18 Jul 2005 (-2.31%), 02 Nov 2005 (0.63%)
2004409 Feb 2004 (-1.26%), 30 Jul 2004 (-0.48%), 30 Aug 2004 (-0.72%), 02 Nov 2004 (-0.58%)
20031023 Jan 2003 (-1.91%), 18 Feb 2003 (5.74%), 24 Mar 2003 (1.86%), 15 Apr 2003 (-0.17%), 08 May 2003 (-2.19%), 09 Jun 2003 (-3.66%), 01 Aug 2003 (3.19%), 28 Aug 2003 (4.54%), 03 Oct 2003 (2.08%), 18 Nov 2003 (-2.36%)
2002408 Jan 2002 (-0.67%), 11 Feb 2002 (-2.01%), 02 May 2002 (0.84%), 15 Nov 2002 (3.22%)
2001408 Feb 2001 (2.83%), 29 Mar 2001 (-2.31%), 18 Apr 2001 (-2.7%), 11 Dec 2001 (-3.68%)
2000309 Feb 2000 (6.91%), 12 Jun 2000 (-1.75%), 21 Dec 2000 (-1.8%)
1999710 Feb 1999 (8.0%), 01 Mar 1999 (-2.52%), 18 Mar 1999 (0.27%), 06 May 1999 (-0.6%), 08 Jun 1999 (-4.38%), 06 Aug 1999 (3.74%), 01 Oct 1999 (-4.19%)
1998606 Feb 1998 (0.71%), 09 Apr 1998 (-1.11%), 31 Jul 1998 (-2.58%), 08 Sep 1998 (-0.34%), 27 Oct 1998 (3.79%), 21 Dec 1998 (7.99%)
1997601 Mar 1997 (3.3%), 08 May 1997 (-0.88%), 04 Aug 1997 (-0.91%), 09 Sep 1997 (0.16%), 16 Oct 1997 (2.64%), 27 Nov 1997 (-4.84%)
1996304 Apr 1996 (0.71%), 16 May 1996 (-1.94%), 06 Jun 1996 (0.42%)
1995314 Jul 1995 (7.68%), 13 Sep 1995 (-0.68%), 31 Oct 1995 (1.76%)



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