Study: Buy TATASTEEL 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 TATASTEEL 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 TATASTEEL 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
1122446137766155.474128.726153.43-3136.65-15685.811.321.640.035893.76
224950.09137696850.365269.8126262.63-4980.39-29835.811.061.070.0052182.12
326499.82137706751.096631.9332650.83-6533.36-25404.381.021.060.0046193.43
443643.54137756254.747930.6929429.43-8889.65-39125.920.891.080.006318.57
5108987137815659.129165.8530495.69-11311.55-43972.410.811.170.013795.53
6135378137815659.1210093.6441379.31-12182.25-44265.40.831.20.015988.16
7340645137845361.3111842.935046.99-12342.62-55679.670.961.520.0342486.46
8333273137785956.9313248.7151188.5-11866.55-44753.711.121.480.0312432.65
9481489137795857.6614479.5657543.1-11420.61-41277.81.271.730.0423514.52
10400099137756254.7415270.763254.31-12019.42-40078.131.271.540.0332920.43
Although, strategy looks good but profit factor on day 3 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-16.42636688150737748.6714583.6289683.1-5557.36-14331.982.622.490.0574244.58
atrtrail35.14456931152737948.0312162.1541769.07-5454.51-14331.982.232.060.0533006.13
atrtrail24.25411069153747948.3711416.7927846.05-5490.8-14331.982.081.950.0552686.73
atrnil25.6345407148658343.9214527.8727846.05-7215.72-14560.172.011.580.0422333.83
atrnil37.59343599145489733.121841.7641769.07-7266.04-14560.173.011.490.0342369.65

In the table above, row 1 shows the best exit criterion. Profit factor is 2.49. 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 48.67%, which is not acceptable. Avoid this strategy. Average return per trade is 2.12%, which is very good. Sharpe Ratio is 0.057, 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.
TATASTEEL Performance, Profit Factor:2.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Apr 2019 (0.72%), 16 Apr 2019 (-2.49%), 02 May 2019 (-2.99%), 27 May 2019 (-3.87%), 20 Jun 2019 (-3.4%)
2018508 May 2018 (1.99%), 07 Jun 2018 (-3.09%), 27 Jul 2018 (-0.82%), 17 Sep 2018 (-2.05%), 29 Oct 2018 (-3.55%)
20171104 Jan 2017 (12.62%), 23 Feb 2017 (0.46%), 17 Mar 2017 (-2.48%), 06 Apr 2017 (-2.28%), 09 Jun 2017 (0.67%), 29 Jun 2017 (4.9%), 07 Aug 2017 (0.48%), 04 Sep 2017 (4.36%), 09 Oct 2017 (-2.21%), 23 Nov 2017 (-2.16%), 18 Dec 2017 (-1.71%)
20161406 Jan 2016 (-3.1%), 27 Jan 2016 (-4.11%), 16 Feb 2016 (25.48%), 31 Mar 2016 (-3.18%), 20 Apr 2016 (-3.4%), 01 Jun 2016 (0.06%), 05 Jul 2016 (-2.92%), 12 Jul 2016 (5.58%), 05 Aug 2016 (-3.04%), 17 Aug 2016 (-2.73%), 08 Sep 2016 (-2.61%), 03 Oct 2016 (9.1%), 11 Nov 2016 (-3.72%), 29 Nov 2016 (1.88%)
2015206 Oct 2015 (7.73%), 27 Nov 2015 (2.21%)
2014507 Feb 2014 (-2.01%), 07 Mar 2014 (-2.98%), 21 Mar 2014 (12.51%), 14 May 2014 (-1.27%), 17 Jul 2014 (-1.46%)
2013427 May 2013 (-1.52%), 12 Aug 2013 (0.7%), 10 Oct 2013 (6.22%), 08 Nov 2013 (16.18%)
2012413 Feb 2012 (-1.75%), 30 Mar 2012 (-2.19%), 19 Apr 2012 (-2.29%), 30 Nov 2012 (1.32%)
2011416 Feb 2011 (-1.13%), 01 Mar 2011 (-4.29%), 24 Jun 2011 (3.06%), 02 Dec 2011 (-4.23%)
2010518 Feb 2010 (5.52%), 05 Apr 2010 (-0.76%), 01 Sep 2010 (23.1%), 08 Nov 2010 (-1.36%), 03 Dec 2010 (0.8%)
2009809 Feb 2009 (-6.61%), 07 May 2009 (-7.17%), 18 May 2009 (44.84%), 21 Jul 2009 (8.03%), 09 Sep 2009 (10.44%), 08 Oct 2009 (4.17%), 12 Nov 2009 (2.54%), 23 Dec 2009 (4.38%)
2008204 Feb 2008 (-5.28%), 11 Mar 2008 (-5.07%)
2007815 Jan 2007 (-3.02%), 23 Feb 2007 (-1.24%), 14 May 2007 (7.53%), 05 Jul 2007 (7.73%), 29 Aug 2007 (24.53%), 25 Oct 2007 (-5.4%), 04 Dec 2007 (-2.88%), 26 Dec 2007 (0.15%)
2006927 Jan 2006 (-3.8%), 30 Jan 2006 (-0.57%), 22 Feb 2006 (11.56%), 23 Mar 2006 (15.17%), 02 Aug 2006 (0.01%), 25 Aug 2006 (-3.08%), 07 Sep 2006 (-2.3%), 26 Sep 2006 (1.81%), 05 Dec 2006 (-2.68%)
2005728 Jan 2005 (12.29%), 14 Mar 2005 (-1.03%), 20 Jun 2005 (2.49%), 06 Jul 2005 (0.65%), 05 Aug 2005 (3.66%), 06 Sep 2005 (-1.15%), 03 Oct 2005 (-1.82%)
2004613 Feb 2004 (-1.21%), 08 Mar 2004 (-4.05%), 02 Apr 2004 (-3.33%), 28 Jun 2004 (0.13%), 02 Nov 2004 (4.21%), 17 Dec 2004 (14.51%)
2003821 Jan 2003 (-0.9%), 05 May 2003 (-2.68%), 24 Jun 2003 (20.66%), 28 Jul 2003 (23.24%), 30 Sep 2003 (21.19%), 03 Nov 2003 (-4.05%), 04 Dec 2003 (-3.44%), 12 Dec 2003 (12.12%)
2002704 Jan 2002 (5.16%), 13 Feb 2002 (1.09%), 25 Feb 2002 (-3.97%), 04 Jun 2002 (6.81%), 07 Oct 2002 (-2.13%), 31 Oct 2002 (-2.64%), 24 Dec 2002 (2.23%)
2001402 Jan 2001 (-2.28%), 18 Apr 2001 (4.43%), 18 May 2001 (-1.38%), 11 Dec 2001 (-3.55%)
2000404 Jan 2000 (15.32%), 18 May 2000 (14.05%), 07 Jul 2000 (2.55%), 19 Oct 2000 (0.82%)
1999815 Feb 1999 (1.15%), 03 May 1999 (14.86%), 07 Jun 1999 (1.61%), 05 Jul 1999 (3.41%), 18 Aug 1999 (4.57%), 07 Oct 1999 (2.84%), 24 Nov 1999 (-2.29%), 22 Dec 1999 (-4.06%)
1998203 Jun 1998 (-4.09%), 04 Dec 1998 (5.83%)
19971027 Jan 1997 (-1.81%), 01 Mar 1997 (-3.51%), 03 Mar 1997 (-2.3%), 21 Apr 1997 (0.7%), 19 May 1997 (-2.98%), 05 Jun 1997 (-2.55%), 11 Jun 1997 (8.53%), 02 Jul 1997 (0.78%), 06 Aug 1997 (-3.0%), 07 Aug 1997 (-3.29%)
1996302 Feb 1996 (10.46%), 28 Mar 1996 (13.94%), 03 Jun 1996 (-1.89%)
1995504 Apr 1995 (0.97%), 18 May 1995 (-2.09%), 17 Jul 1995 (3.29%), 22 Aug 1995 (-2.24%), 22 Sep 1995 (1.23%)



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