Study: Buy TECHM 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 TECHM 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 TECHM 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
118483.934151944.124586.6221976.4-2648.18-10305.341.731.370.028543.64
217052.55341717504966.5123732.9-3963.42-14249.231.251.250.022501.55
3-3318.8434132138.248379.6831791.72-5345.46-17269.111.570.97-0.003-97.61
421385.1334151944.129575.6738292.37-6434.2-17240.131.491.170.016628.97
5-7609.4934142041.188165.1926908.15-6096.11-17950.021.340.94-0.0066-223.81
620029.8634161847.067660.4923833.47-5696.55-15660.991.341.20.019589.11
711467634191555.889946.8433249.37-4954.28-11532.052.012.540.0963372.82
814428834191555.8812045.5465715.09-5638.47-15936.252.142.710.0834243.78
916470334221264.7111213.2569941.23-6832.41-14049.911.643.010.0884844.19
1016242634231167.6510876.5146011.75-7975.83-16321.141.362.850.14777.23
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
TECHM Performance, X=9, Profit Factor:3.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jun 2019 (-3.61%), 06 Aug 2019 (0.33%)
2018205 Mar 2018 (0.61%), 31 Oct 2018 (-5.87%)
2017512 Sep 2017 (2.39%), 03 Oct 2017 (2.27%), 30 Oct 2017 (1.12%), 28 Nov 2017 (0.19%), 12 Dec 2017 (-1.56%)
2016115 Jan 2016 (-3.68%)
2014514 Jan 2014 (-7.02%), 06 Feb 2014 (-0.14%), 27 Jun 2014 (-4.9%), 24 Jul 2014 (1.47%), 30 Oct 2014 (6.39%)
2013428 Jan 2013 (-1.39%), 03 May 2013 (-3.31%), 13 Aug 2013 (2.39%), 19 Dec 2013 (1.2%)
2012412 Mar 2012 (16.95%), 03 Aug 2012 (11.48%), 11 Sep 2012 (3.92%), 12 Dec 2012 (0.07%)
2011317 Feb 2011 (2.8%), 27 Jun 2011 (5.0%), 07 Sep 2011 (-6.11%)
2010204 Jan 2010 (11.16%), 03 Jun 2010 (1.71%)
2009306 Apr 2009 (-0.97%), 12 May 2009 (34.97%), 21 Jul 2009 (4.67%)
2008130 Apr 2008 (2.09%)
2006216 Nov 2006 (-2.43%), 21 Dec 2006 (10.16%)

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
atrnil36.8438366.2738102826.3222869.340078.66-6797.38-13064.493.361.20.021009.64
atrtrail-15.08-16241.7540112927.512559.4853718.41-5324-13064.492.360.89-0.0098-406.04
atrnil24.8-32479.5740112927.514725.526719.1-6705.52-13064.492.20.83-0.022-811.99
atrtrail34.25-38256.5940112927.510558.1332545.9-5324-13064.491.980.75-0.029-956.41
atrtrail23.62-51291.5440112927.59373.1321697.27-5324-13064.491.760.67-0.047-1282.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 26.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
TECHM Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jun 2019 (-2.36%), 06 Aug 2019 (-2.85%)
2018405 Mar 2018 (-3.05%), 14 Mar 2018 (-2.91%), 31 Oct 2018 (-3.93%), 01 Nov 2018 (-4.09%)
2017512 Sep 2017 (7.27%), 30 Oct 2017 (-2.27%), 09 Nov 2017 (-2.74%), 28 Nov 2017 (-2.65%), 11 Dec 2017 (-2.76%)
2016115 Jan 2016 (-2.5%)
2014506 Feb 2014 (-2.79%), 27 Jun 2014 (-2.26%), 24 Jul 2014 (-2.07%), 25 Jul 2014 (-2.09%), 30 Oct 2014 (8.17%)
2013528 Jan 2013 (-2.76%), 03 May 2013 (-3.09%), 13 Aug 2013 (-3.39%), 26 Aug 2013 (-3.65%), 19 Dec 2013 (-2.38%)
2012412 Mar 2012 (-3.54%), 03 Aug 2012 (8.51%), 11 Sep 2012 (8.14%), 12 Dec 2012 (8.39%)
2011317 Feb 2011 (-5.16%), 27 Jun 2011 (10.09%), 07 Sep 2011 (-4.77%)
2010204 Jan 2010 (10.38%), 03 Jun 2010 (-4.05%)
2009306 Apr 2009 (17.08%), 12 May 2009 (20.04%), 21 Jul 2009 (-6.53%)
2008130 Apr 2008 (-5.59%)
2006316 Nov 2006 (-4.31%), 17 Nov 2006 (-4.65%), 21 Dec 2006 (16.27%)



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