Study: Buy TORNTPHARM 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 TORNTPHARM 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 TORNTPHARM 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
1174756139756453.965054.3236818.07-3192.47-12137.461.581.860.0421257.24
2209070138776155.86395.1233349.4-4645.15-18523.871.381.740.0381515
3130259138716751.457526.6952048.19-6031.88-30487.481.251.320.019943.91
4105089138657347.19511.372289.16-7029.4-34042.551.351.20.013761.51
5156658138667247.8310334.9188096.39-7297.86-28995.361.421.30.0181135.2
6209243138667247.8311952.77111229-8050.55-36846.991.481.360.021516.26
740307713869695014738.79136193-8897.09-34850.141.661.660.0322920.85
8526977138677148.5517222.19163084-8829.71-31962.911.951.840.0383818.67
9525035138687049.2817010.35154410-9023.85-34312.211.891.830.0393804.6
10551544138716751.4517025.65171566-9810.11-33799.581.741.840.0383996.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.86. 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 53.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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-11174756139756453.965054.3236818.07-3192.47-12137.461.581.860.0421257.24
atrnil25.4473348161758646.5815368.8225795.41-7899-14569.011.951.70.0512940.05
atrnil38.28462074146529435.6223250.5238693.12-7946.31-14569.012.931.620.0433164.89
atrtrail-15.53300741156619539.114545.63148405-6174.14-14569.012.361.510.0241927.82
atrtrail24.16220353164699542.0711974.9925795.41-6378.12-14569.011.881.360.0271343.61
atrtrail34.8185862158639539.8712356.8538693.12-6238.1-14569.011.981.310.0221176.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 53.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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.
TORNTPHARM Performance, X=1, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jan 2019 (0.36%), 26 Feb 2019 (0.05%), 24 Jul 2019 (1.07%), 15 Oct 2019 (-3.4%)
2018622 Jan 2018 (-0.58%), 12 Feb 2018 (-0.11%), 31 May 2018 (3.08%), 25 Jul 2018 (0.98%), 28 Nov 2018 (1.21%), 12 Dec 2018 (1.32%)
2017420 Feb 2017 (1.44%), 17 Aug 2017 (-3.13%), 04 Oct 2017 (-0.21%), 22 Nov 2017 (0.13%)
2016521 Mar 2016 (5.22%), 30 Jun 2016 (1.52%), 01 Aug 2016 (1.75%), 18 Aug 2016 (-1.17%), 08 Sep 2016 (-1.13%)
2015428 Jan 2015 (-6.07%), 14 May 2015 (0.26%), 10 Jun 2015 (1.39%), 01 Oct 2015 (5.7%)
2014916 Jan 2014 (-0.14%), 13 Feb 2014 (0.08%), 22 Mar 2014 (-1.42%), 04 Apr 2014 (-2.27%), 25 Apr 2014 (0.55%), 09 Jun 2014 (0.7%), 30 Jul 2014 (1.25%), 29 Oct 2014 (0.46%), 31 Dec 2014 (1.34%)
2013719 Feb 2013 (0.11%), 29 Apr 2013 (-0.3%), 08 Jul 2013 (-0.81%), 05 Aug 2013 (-2.25%), 04 Sep 2013 (1.35%), 31 Oct 2013 (2.24%), 04 Dec 2013 (0.0%)
2012802 Jan 2012 (0.44%), 31 Jan 2012 (2.23%), 09 Mar 2012 (2.37%), 24 Apr 2012 (0.82%), 09 May 2012 (1.05%), 28 Aug 2012 (-2.14%), 26 Oct 2012 (-2.53%), 30 Nov 2012 (2.05%)
2011306 May 2011 (-0.56%), 15 Jun 2011 (3.85%), 17 Nov 2011 (-0.76%)
20101218 Jan 2010 (1.5%), 08 Mar 2010 (-0.31%), 13 May 2010 (-0.83%), 31 May 2010 (-1.29%), 21 Jun 2010 (0.37%), 19 Jul 2010 (1.22%), 23 Aug 2010 (-1.11%), 14 Sep 2010 (3.67%), 01 Oct 2010 (3.97%), 03 Nov 2010 (-1.03%), 23 Nov 2010 (-0.19%), 20 Dec 2010 (0.19%)
20091120 Jan 2009 (-2.98%), 13 Feb 2009 (-1.18%), 05 Mar 2009 (-3.49%), 07 May 2009 (-3.2%), 02 Jul 2009 (-1.17%), 21 Jul 2009 (-1.11%), 21 Aug 2009 (5.2%), 29 Sep 2009 (2.5%), 15 Oct 2009 (2.37%), 05 Nov 2009 (1.8%), 04 Dec 2009 (-0.81%)
2008415 May 2008 (-0.76%), 17 Jun 2008 (-1.29%), 22 Jul 2008 (2.48%), 26 Aug 2008 (1.18%)
2007505 Feb 2007 (3.42%), 22 Mar 2007 (-3.32%), 15 May 2007 (-0.69%), 18 Jul 2007 (-0.61%), 05 Dec 2007 (-0.14%)
2006731 Jan 2006 (7.97%), 21 Apr 2006 (1.34%), 05 Sep 2006 (1.74%), 09 Oct 2006 (0.08%), 14 Nov 2006 (1.81%), 04 Dec 2006 (-0.05%), 27 Dec 2006 (-2.81%)
2005710 May 2005 (1.06%), 24 May 2005 (1.92%), 27 Jun 2005 (-0.92%), 18 Jul 2005 (4.08%), 16 Sep 2005 (1.93%), 04 Oct 2005 (0.99%), 18 Nov 2005 (0.17%)
2004706 May 2004 (1.66%), 24 May 2004 (-1.54%), 07 Jun 2004 (0.31%), 27 Sep 2004 (-3.09%), 29 Oct 2004 (1.32%), 18 Nov 2004 (-1.69%), 13 Dec 2004 (0.0%)
2003702 May 2003 (0.79%), 02 Jun 2003 (0.18%), 20 Jun 2003 (-1.58%), 31 Jul 2003 (0.09%), 27 Aug 2003 (-0.52%), 04 Nov 2003 (-0.9%), 27 Nov 2003 (-1.1%)
2002415 Jan 2002 (0.53%), 22 Feb 2002 (18.41%), 09 Apr 2002 (4.21%), 16 Dec 2002 (-0.26%)
2001328 Sep 2001 (-2.4%), 28 Nov 2001 (0.24%), 13 Dec 2001 (0.96%)
1999806 Jan 1999 (8.03%), 15 Feb 1999 (6.49%), 10 May 1999 (8.03%), 02 Jun 1999 (3.99%), 23 Jun 1999 (-2.5%), 06 Aug 1999 (8.0%), 10 Sep 1999 (8.01%), 20 Dec 1999 (8.01%)
1998623 Apr 1998 (-3.13%), 22 May 1998 (-1.61%), 29 Jul 1998 (-1.06%), 24 Sep 1998 (-1.05%), 26 Oct 1998 (-2.7%), 19 Nov 1998 (-3.07%)
1997328 Feb 1997 (6.5%), 09 Apr 1997 (-1.86%), 31 Jul 1997 (4.45%)
1996312 Feb 1996 (-1.11%), 15 Nov 1996 (-3.31%), 20 Dec 1996 (-0.97%)
1995213 Nov 1995 (-3.0%), 26 Dec 1995 (-5.42%)



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