Study: Buy TATASTEEL when RSI is below 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 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 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
130972.9986464053.494480.8119407.01-4378.61-20137.21.021.180.012360.15
283396.7485463954.126952.8248098.23-6062.39-29564.061.151.350.021981.14
378831.2285463954.127123.8948218.03-6381.22-30759.021.121.320.019927.43
440.8285454052.947516.6155226.12-8455.16-34432.40.8918.3e-060.48
520417.3385434250.599395.6751692.12-9133.25-35406.061.031.050.0039240.2
676324.385434250.5911134.3146421.08-9582.17-37397.651.161.190.013897.93
790117.4285444151.7611821.3453250.42-10488.33-29254.261.131.210.0151060.2
818776285483756.4713298.3450548.45-12177.25-31378.621.091.420.0272208.96
927182485473855.2915378.0758111.93-11866.98-36090.581.31.60.0353197.93
1032583785463954.1218037.5270209.16-12920.23-41430.271.41.650.0383833.38
Although, strategy looks good but profit factor on day 4 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-16.21299251102445843.1414841.5555788.43-6099.61-14676.012.431.850.0432933.83
atrtrail35.31278677102445843.1414373.9638747.94-6099.61-14676.012.361.790.0442732.13
atrtrail24.53158175102445843.1411635.2827475.24-6099.61-14676.011.911.450.031550.73
atrnil26.84192221101416040.5916906.2635697.1-8348.93-30397.012.021.380.0291903.18
atrnil39.5714225799306930.324360.7841212.86-8529.95-30397.012.861.240.0181436.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. 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 43.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019330 Jan 2019 (-0.76%), 27 Aug 2019 (-4.93%), 28 Aug 2019 (-2.6%)
2018727 Feb 2018 (-3.12%), 02 Apr 2018 (-3.65%), 06 Jun 2018 (0.64%), 02 Jul 2018 (-1.13%), 26 Jul 2018 (2.03%), 30 Oct 2018 (-3.49%), 17 Dec 2018 (-2.28%)
2016107 Jul 2016 (13.76%)
20151119 Feb 2015 (-3.11%), 19 Mar 2015 (-3.13%), 31 Mar 2015 (5.9%), 19 Jun 2015 (-0.44%), 20 Jul 2015 (-2.77%), 05 Aug 2015 (-3.31%), 17 Aug 2015 (-1.8%), 03 Sep 2015 (-5.25%), 04 Sep 2015 (4.92%), 05 Oct 2015 (8.92%), 30 Nov 2015 (2.94%)
2014410 Mar 2014 (-2.99%), 20 Mar 2014 (16.65%), 20 Oct 2014 (5.53%), 30 Dec 2014 (2.15%)
2013608 Mar 2013 (-2.89%), 16 Apr 2013 (1.76%), 01 Jul 2013 (-3.06%), 12 Jul 2013 (-3.37%), 15 Jul 2013 (-3.49%), 08 Aug 2013 (8.87%)
2012503 Jan 2012 (17.83%), 28 May 2012 (-2.23%), 02 Aug 2012 (-2.72%), 07 Aug 2012 (-2.17%), 10 Sep 2012 (4.97%)
2011803 Mar 2011 (-4.24%), 22 Mar 2011 (3.25%), 27 May 2011 (-1.89%), 17 Jun 2011 (-2.21%), 20 Jun 2011 (6.33%), 02 Sep 2011 (-2.11%), 10 Oct 2011 (0.46%), 05 Dec 2011 (-2.53%)
2010319 Feb 2010 (8.61%), 03 Jun 2010 (-4.46%), 10 Jun 2010 (0.37%)
2009206 Feb 2009 (-0.02%), 13 Mar 2009 (9.66%)
2008601 Feb 2008 (-2.15%), 01 Apr 2008 (14.18%), 23 Jul 2008 (-6.77%), 24 Jul 2008 (-7.34%), 29 Aug 2008 (-5.9%), 31 Oct 2008 (-0.48%)
2007213 Mar 2007 (-4.07%), 14 Mar 2007 (1.09%)
2006519 Jun 2006 (3.71%), 01 Aug 2006 (2.96%), 10 Nov 2006 (-2.63%), 29 Nov 2006 (0.51%), 20 Dec 2006 (0.19%)
2005130 Nov 2005 (5.23%)
2004501 Apr 2004 (-0.76%), 21 May 2004 (-5.27%), 17 Jun 2004 (-5.68%), 25 Jun 2004 (2.5%), 03 Sep 2004 (12.4%)
2003422 Mar 2003 (-2.68%), 24 Mar 2003 (-2.91%), 02 Apr 2003 (2.53%), 02 May 2003 (-0.4%)
2002308 Apr 2002 (6.87%), 21 Aug 2002 (0.91%), 04 Oct 2002 (0.11%)
2001410 Apr 2001 (-6.17%), 17 Apr 2001 (9.26%), 05 Sep 2001 (-2.3%), 03 Oct 2001 (10.66%)
2000316 Mar 2000 (-7.03%), 22 Aug 2000 (-1.73%), 05 Oct 2000 (-3.58%)
1999130 Apr 1999 (20.51%)
1998403 Feb 1998 (-3.04%), 17 Feb 1998 (10.07%), 19 Aug 1998 (-1.06%), 28 Oct 1998 (18.49%)
1997517 Apr 1997 (5.58%), 06 Jun 1997 (10.66%), 10 Sep 1997 (-2.99%), 29 Sep 1997 (-2.63%), 12 Dec 1997 (12.29%)
1996731 Jan 1996 (21.17%), 22 Jul 1996 (-3.98%), 07 Aug 1996 (-4.8%), 04 Oct 1996 (-3.16%), 10 Oct 1996 (-0.43%), 11 Dec 1996 (-3.44%), 12 Dec 1996 (27.89%)
1995217 May 1995 (1.16%), 21 Dec 1995 (-1.38%)



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