Study: Buy TATAPOWER when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
112605.4345222348.894264.9914868.26-3531.49-11250.751.211.160.012280.12
2-2637.2245202544.447308.3721518.19-5952.19-16357.391.230.98-0.0014-58.6
3-55061.7545143131.119421.8425731.24-6031.21-22611.681.560.71-0.027-1223.59
4-88298.8545162935.567394.2723432.48-7124.39-21030.931.040.57-0.044-1962.2
5-34143.15451827409645.2925016.29-7694.75-22369.741.250.84-0.014-758.74
6-68868.0545172837.789260.5825860.62-8082.07-21417.841.150.7-0.03-1530.4
7-71518.3445172837.7810077.7436742.23-8672.85-30010.021.160.71-0.027-1589.3
8-51931.864518274010503.5348967.25-8925.75-27465.571.180.78-0.018-1154.04
9-7495.844518274014592.7558992.18-10006.13-33196.871.460.97-0.002-166.57
1025663.2945202544.4416271.1282971.33-11990.37-31857.091.361.090.0055570.3

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.16. 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 48.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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-1112605.4345222348.894264.9914868.26-3531.49-11250.751.211.160.012280.12
atrnil37.131268.675013372623219.0532988.78-7312.94-15602.713.181.120.0091625.37
atrnil24.5619267.155016343216269.2531205.42-7089.44-11215.712.291.080.0068385.34
atrtrail-14.086282.0849133626.5316613.2772929.51-5824.73-11215.712.851.030.0018128.21
atrtrail23.24-22589.745014362813364.3431205.42-5824.73-11215.712.290.89-0.0093-451.79
atrtrail33.7-61185.595014362810607.4928141.16-5824.73-11215.711.820.71-0.028-1223.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 48.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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, X=1, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018429 May 2018 (-1.26%), 27 Jul 2018 (2.78%), 15 Oct 2018 (3.58%), 04 Dec 2018 (-1.29%)
2017320 Jun 2017 (-0.43%), 17 Aug 2017 (-1.65%), 17 Nov 2017 (3.09%)
2015220 May 2015 (-1.1%), 18 Dec 2015 (0.0%)
2014111 Apr 2014 (-1.86%)
2013228 Jun 2013 (2.72%), 12 Sep 2013 (2.22%)
2012217 Feb 2012 (-2.65%), 18 Oct 2012 (-1.87%)
2011215 Feb 2011 (1.25%), 07 Mar 2011 (-0.4%)
2009218 May 2009 (1.05%), 10 Jun 2009 (-1.46%)
2007227 Jul 2007 (2.75%), 31 Oct 2007 (1.15%)
2005403 Jan 2005 (1.0%), 31 Jan 2005 (-1.36%), 21 Apr 2005 (-1.12%), 08 Nov 2005 (-1.74%)
2003420 Jan 2003 (-0.62%), 04 Apr 2003 (-0.21%), 09 Jun 2003 (1.85%), 26 Dec 2003 (2.47%)
2002123 Dec 2002 (1.96%)
2001301 Jan 2001 (4.33%), 25 Jan 2001 (-3.34%), 11 Dec 2001 (-2.08%)
2000403 Jan 2000 (0.2%), 31 Jan 2000 (-2.97%), 17 Feb 2000 (-5.63%), 19 Oct 2000 (-1.91%)
1998309 Apr 1998 (-2.66%), 25 Sep 1998 (0.26%), 05 Nov 1998 (3.9%)
1997329 Jan 1997 (-2.99%), 28 Feb 1997 (0.34%), 26 Sep 1997 (2.05%)
1996117 Apr 1996 (7.43%)
1995230 Oct 1995 (0.26%), 08 Dec 1995 (0.26%)



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