Study: Buy TITAN 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 TITAN 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 TITAN 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
1127543149777251.684918.4530994.15-3488.59-15862.071.411.510.029855.99
2193466149806953.696466.3933380.88-4693.41-16896.551.381.60.0341298.43
3227091149747549.669060.1948777.35-5911.5-22239.181.531.510.031524.1
4291617149727748.3211152.1246737.5-6640.72-23605.41.681.570.0341957.16
5408871149757450.3412624.6862162.16-7270-29345.371.741.760.042744.1
6421223149757450.3413068.1875466.94-7552.58-29571.111.731.750.0382827
7389078149698046.3115261.2672286.72-8299.35-37020.321.841.590.0322611.27
8487674149757450.3416520.2268750-10153.28-43566.591.631.650.0373272.98
9580637149777251.6817788.5179560.81-10959.42-42212.191.621.740.0413896.89
10609747149777251.6818754.5672030.65-11588.25-44469.531.621.730.0414092.26

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 1.76. 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 50.34%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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
atrtrail-15.64459434162679541.3615436.9464296.92-6050.96-13770.332.551.80.0392836.01
nilnil-15408871149757450.3412624.6862162.16-7270-29345.371.741.760.042744.1
atrnil37.265598691595810136.4823718.5640851.06-8077.31-16721.252.941.690.0453521.19
atrtrail34.68318441165689741.2113238.0740851.06-5997.4-13770.332.211.550.0321929.95
atrtrail24.151711991716910240.3511606.0627234.04-6172.74-13770.331.881.270.021001.16
atrnil25.292195001676610139.5215700.9427234.04-8086.75-16721.251.941.270.0221314.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 41.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
TITAN Performance, Profit Factor:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019704 Jan 2019 (3.91%), 31 Jan 2019 (4.66%), 12 Mar 2019 (2.78%), 24 Apr 2019 (-1.18%), 14 May 2019 (5.31%), 27 Jun 2019 (-1.55%), 09 Sep 2019 (16.51%)
2018313 Jun 2018 (-2.52%), 02 Jul 2018 (-2.79%), 19 Jul 2018 (3.1%)
20171202 Feb 2017 (-2.92%), 03 Feb 2017 (10.26%), 16 Mar 2017 (-2.5%), 05 Apr 2017 (-2.53%), 12 May 2017 (-2.87%), 05 Jun 2017 (-3.59%), 06 Jun 2017 (-2.17%), 04 Jul 2017 (-0.85%), 02 Aug 2017 (9.07%), 11 Oct 2017 (0.16%), 31 Oct 2017 (19.06%), 20 Dec 2017 (5.57%)
2016625 Jan 2016 (-2.96%), 08 Mar 2016 (1.7%), 04 Apr 2016 (-2.02%), 12 May 2016 (-2.89%), 13 Jun 2016 (4.36%), 31 Aug 2016 (1.79%)
2015716 Jan 2015 (2.26%), 06 Apr 2015 (0.02%), 23 Apr 2015 (-3.01%), 22 Jun 2015 (-3.17%), 01 Oct 2015 (5.28%), 29 Oct 2015 (-2.78%), 16 Nov 2015 (5.03%)
20141223 Jan 2014 (-2.48%), 30 Jan 2014 (1.09%), 01 Apr 2014 (-1.04%), 06 May 2014 (13.09%), 10 Jun 2014 (-3.67%), 26 Jun 2014 (0.59%), 05 Aug 2014 (8.82%), 30 Sep 2014 (-3.18%), 28 Oct 2014 (0.39%), 01 Dec 2014 (-2.97%), 22 Dec 2014 (-3.34%), 30 Dec 2014 (-0.44%)
2013501 Mar 2013 (-3.39%), 18 Apr 2013 (1.04%), 28 May 2013 (-1.76%), 10 Sep 2013 (-5.7%), 18 Oct 2013 (6.65%)
20121012 Mar 2012 (-3.17%), 04 Apr 2012 (-5.04%), 03 May 2012 (-3.69%), 04 May 2012 (-0.89%), 20 Jul 2012 (-2.93%), 30 Jul 2012 (-2.95%), 03 Aug 2012 (-2.65%), 03 Sep 2012 (-1.73%), 05 Nov 2012 (0.24%), 29 Nov 2012 (-1.29%)
2011721 Jan 2011 (-0.84%), 21 Feb 2011 (-1.1%), 18 May 2011 (3.54%), 07 Jul 2011 (-3.66%), 05 Sep 2011 (-0.53%), 12 Oct 2011 (-1.23%), 08 Nov 2011 (-3.18%)
20101101 Feb 2010 (-2.85%), 05 Apr 2010 (14.26%), 14 May 2010 (-2.85%), 17 May 2010 (-0.49%), 28 Jun 2010 (-0.88%), 16 Aug 2010 (-2.48%), 24 Aug 2010 (-2.99%), 16 Sep 2010 (6.42%), 27 Oct 2010 (-2.69%), 28 Oct 2010 (15.77%), 30 Dec 2010 (0.7%)
2009819 Jan 2009 (-5.09%), 29 Jan 2009 (-5.35%), 06 May 2009 (26.19%), 24 Aug 2009 (2.46%), 07 Oct 2009 (4.08%), 11 Nov 2009 (-1.09%), 08 Dec 2009 (-3.52%), 21 Dec 2009 (6.35%)
2008226 Mar 2008 (-3.29%), 14 May 2008 (-6.6%)
2007615 May 2007 (4.53%), 19 Jun 2007 (14.26%), 28 Aug 2007 (21.5%), 23 Oct 2007 (1.88%), 04 Dec 2007 (-3.75%), 24 Dec 2007 (-3.16%)
2006810 Feb 2006 (-0.73%), 03 Mar 2006 (-2.51%), 02 May 2006 (-3.39%), 27 Jul 2006 (27.69%), 17 Oct 2006 (-2.97%), 14 Nov 2006 (-3.04%), 24 Nov 2006 (-3.17%), 21 Dec 2006 (-1.44%)
2005931 Jan 2005 (19.88%), 10 Mar 2005 (0.21%), 05 Apr 2005 (-4.61%), 21 Apr 2005 (-3.65%), 12 May 2005 (-1.01%), 04 Jul 2005 (32.15%), 19 Sep 2005 (-4.01%), 03 Oct 2005 (-3.74%), 01 Nov 2005 (23.34%)
2004630 Mar 2004 (4.27%), 17 Aug 2004 (-4.76%), 06 Oct 2004 (2.27%), 28 Oct 2004 (-4.79%), 17 Nov 2004 (0.15%), 21 Dec 2004 (-3.38%)
2003814 May 2003 (2.89%), 12 Jun 2003 (0.97%), 01 Jul 2003 (0.07%), 08 Aug 2003 (11.68%), 30 Sep 2003 (17.92%), 31 Oct 2003 (-4.97%), 02 Dec 2003 (0.08%), 23 Dec 2003 (-4.92%)
2002518 Mar 2002 (-6.89%), 03 Apr 2002 (4.74%), 24 Apr 2002 (-2.41%), 30 May 2002 (22.53%), 11 Jul 2002 (-5.72%)
2001403 Jan 2001 (1.07%), 23 Jan 2001 (-5.23%), 07 Feb 2001 (1.74%), 11 Dec 2001 (-5.87%)
2000212 Jul 2000 (-4.53%), 28 Nov 2000 (-2.13%)
19991116 Feb 1999 (-2.58%), 10 Mar 1999 (-6.32%), 02 Jun 1999 (-0.13%), 22 Jun 1999 (0.84%), 07 Jul 1999 (5.55%), 20 Jul 1999 (2.8%), 23 Aug 1999 (-5.2%), 24 Aug 1999 (-5.71%), 08 Sep 1999 (0.63%), 07 Oct 1999 (9.22%), 18 Nov 1999 (19.38%)
1998421 May 1998 (-5.69%), 25 Aug 1998 (-0.24%), 13 Nov 1998 (-4.82%), 04 Dec 1998 (19.62%)
1997506 Jun 1997 (-4.25%), 09 Jun 1997 (-1.7%), 09 Jul 1997 (3.27%), 05 Sep 1997 (-0.97%), 13 Oct 1997 (-2.96%)
1996202 Feb 1996 (11.22%), 10 Apr 1996 (-2.61%)
1995217 Apr 1995 (-2.12%), 14 Jul 1995 (16.27%)



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