Study: Buy TATAPOWER 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 TATAPOWER 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 TATAPOWER 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
189019.43133716253.383987.2316093.37-3130.22-11250.751.271.460.029669.32
2169310133726154.146127.0721518.19-4456.37-16357.391.371.620.0371273.01
3179247133706352.637786.4931448.38-5806.46-22611.681.341.490.031347.72
4225171133716253.389363.5943857.49-7091.03-36921.71.321.510.0311693.02
5339471133765757.1410851.0541400.49-8512.43-36562.631.271.70.042552.42
6320634133755856.3911060.7860369.32-8774.56-32398.841.261.630.0372410.79
7377753133755856.3912227.6281250-9298.6-30010.021.311.70.0392840.25
8393829133745955.6413211.1562215.91-9894.86-30937.11.341.670.0382961.12
9464543133765757.1413979.9158992.18-10490.01-33196.871.331.780.0433492.8
10408719133795459.413669.482971.33-12428.95-31857.091.11.610.0353073.07
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
atrtrail-15.24370282144618342.3613577.274578.5-5517.2-14984.182.461.810.0352571.4
atrtrail34.43271527146638343.1511578.6430261.62-5517.2-14984.182.11.590.0361859.77
atrtrail23.76266767148638542.5711667.5831205.42-5509.3-14984.182.121.570.0381802.48
atrnil37.2235022214049913520710.3432988.78-7303.13-15602.712.841.530.0362501.58
atrnil24.9265012145628342.7613932.2931205.42-7214.33-15150.981.931.440.0341827.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 42.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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.
TATAPOWER Performance, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Apr 2019 (-2.98%), 26 Jun 2019 (4.54%)
2018901 Jan 2018 (0.76%), 27 Apr 2018 (-1.83%), 29 May 2018 (-2.84%), 27 Jul 2018 (0.57%), 21 Aug 2018 (3.21%), 17 Sep 2018 (-3.38%), 18 Sep 2018 (-2.47%), 15 Oct 2018 (-1.72%), 03 Dec 2018 (-3.79%)
2017905 Jan 2017 (0.85%), 16 Mar 2017 (-0.45%), 17 May 2017 (-2.08%), 20 Jun 2017 (-1.51%), 17 Aug 2017 (-2.34%), 01 Sep 2017 (-2.24%), 11 Sep 2017 (3.17%), 10 Oct 2017 (3.24%), 17 Nov 2017 (1.74%)
2016426 May 2016 (-0.77%), 06 Jun 2016 (0.51%), 08 Aug 2016 (1.21%), 04 Oct 2016 (1.67%)
2015619 Feb 2015 (-3.61%), 28 Feb 2015 (-3.29%), 20 May 2015 (-3.07%), 16 Jun 2015 (-1.98%), 16 Jul 2015 (-2.47%), 18 Dec 2015 (4.15%)
2014427 Mar 2014 (1.45%), 11 Apr 2014 (-2.94%), 13 May 2014 (20.54%), 27 Nov 2014 (-2.25%)
2013428 Jun 2013 (-0.55%), 12 Sep 2013 (-2.53%), 01 Nov 2013 (-1.33%), 02 Dec 2013 (8.14%)
2012617 Feb 2012 (-4.11%), 08 Aug 2012 (0.26%), 17 Sep 2012 (4.08%), 18 Oct 2012 (-3.23%), 26 Nov 2012 (5.52%), 27 Dec 2012 (1.03%)
2011515 Feb 2011 (-1.85%), 07 Mar 2011 (-3.45%), 01 Jun 2011 (-2.09%), 23 Jun 2011 (0.57%), 28 Dec 2011 (-4.83%)
2010327 Apr 2010 (-2.44%), 30 Apr 2010 (-2.53%), 13 May 2010 (-2.63%)
2009909 Feb 2009 (-0.69%), 23 Mar 2009 (23.39%), 18 May 2009 (-3.47%), 10 Jun 2009 (-4.88%), 21 Jul 2009 (7.7%), 26 Aug 2009 (-2.23%), 14 Oct 2009 (5.59%), 25 Nov 2009 (0.46%), 29 Dec 2009 (7.55%)
2008505 Feb 2008 (-7.38%), 20 Feb 2008 (-1.94%), 28 Mar 2008 (-7.49%), 16 May 2008 (-1.16%), 29 Aug 2008 (0.44%)
2007711 Jan 2007 (5.09%), 20 Jun 2007 (-1.03%), 27 Jul 2007 (0.79%), 05 Sep 2007 (37.29%), 31 Oct 2007 (4.71%), 05 Dec 2007 (-2.48%), 27 Dec 2007 (14.65%)
2006620 Jan 2006 (9.9%), 23 Feb 2006 (-0.35%), 10 May 2006 (-3.35%), 26 Jul 2006 (-4.01%), 28 Sep 2006 (-0.85%), 01 Nov 2006 (-1.88%)
20051103 Jan 2005 (-1.63%), 31 Jan 2005 (5.64%), 21 Apr 2005 (-3.61%), 07 Jun 2005 (-1.41%), 04 Jul 2005 (-2.56%), 05 Jul 2005 (2.16%), 04 Aug 2005 (2.07%), 31 Aug 2005 (1.15%), 30 Sep 2005 (-3.28%), 08 Nov 2005 (-0.11%), 13 Dec 2005 (-2.5%)
2004408 Mar 2004 (-4.75%), 30 Mar 2004 (6.48%), 01 Sep 2004 (6.78%), 11 Nov 2004 (6.84%)
2003920 Jan 2003 (-2.11%), 03 Feb 2003 (1.88%), 04 Apr 2003 (-2.13%), 30 Apr 2003 (0.14%), 09 Jun 2003 (1.41%), 04 Aug 2003 (-3.74%), 03 Oct 2003 (10.91%), 31 Oct 2003 (3.6%), 26 Dec 2003 (36.46%)
2002507 Jan 2002 (0.83%), 06 Feb 2002 (3.0%), 02 May 2002 (2.36%), 05 Jun 2002 (3.83%), 23 Dec 2002 (-0.48%)
2001501 Jan 2001 (5.0%), 25 Jan 2001 (-4.74%), 05 Feb 2001 (26.36%), 04 Jul 2001 (-1.01%), 11 Dec 2001 (-4.45%)
2000703 Jan 2000 (-3.73%), 04 Jan 2000 (-3.91%), 31 Jan 2000 (-5.61%), 17 Feb 2000 (-5.06%), 18 Feb 2000 (7.06%), 17 Aug 2000 (2.85%), 19 Oct 2000 (-4.83%)
1999510 May 1999 (34.57%), 07 Jun 1999 (-5.94%), 07 Jul 1999 (3.62%), 17 Aug 1999 (16.32%), 11 Oct 1999 (-4.23%)
1998623 Feb 1998 (4.7%), 09 Apr 1998 (-3.42%), 17 Apr 1998 (-3.8%), 25 Sep 1998 (-1.85%), 05 Nov 1998 (6.51%), 02 Dec 1998 (7.37%)
1997829 Jan 1997 (-4.92%), 28 Feb 1997 (-3.79%), 19 Mar 1997 (-3.71%), 23 Apr 1997 (-0.88%), 03 Jun 1997 (-2.49%), 11 Jun 1997 (-1.02%), 22 Jul 1997 (-3.51%), 26 Sep 1997 (-0.59%)
1996302 Feb 1996 (11.87%), 17 Apr 1996 (7.58%), 03 Jun 1996 (-2.62%)
1995230 Oct 1995 (-0.21%), 08 Dec 1995 (-1.54%)



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