Study: Buy TVSMOTOR 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 TVSMOTOR 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 TVSMOTOR 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
149373.05111516045.954901.2219917.01-3343.15-18074.071.471.250.018444.8
2-13060.82111516045.957103.4927504.24-6255.64-34666.671.140.97-0.0029-117.67
326861.92111516045.958063.5530596.37-6406.31-32888.891.261.070.0058242
4-48610.03111506145.059160.7440237.69-8305.69-27589.321.10.9-0.0089-437.93
5897.43111516045.9510277.5340237.69-8720.95-33518.011.1810.000158.08
6101518111535847.7512146.442744.32-9348.98-28862.971.31.190.014914.58
7166807111545748.6513726.8473293-10077.94-32138.731.361.290.0211502.76
8274858111615054.9513995.6762575.63-11577.55-33509.71.211.470.0332476.2
9391244111634856.7615280.1662225.53-11904.29-31951.221.281.680.0433524.72
10405588111605154.0516997.0570008.64-12043.82-39306.361.411.660.0423653.94
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
atrnil38.48397374112397334.8226251.0141609.44-8581.04-18004.453.061.630.0473547.98
atrnil25.82355680122556745.0816971.5328016.37-8623.2-18004.451.971.620.052915.41
atrtrail35.19182445121517042.1513212.241609.44-7019.68-18004.451.881.370.0281507.81
atrtrail24.44170026124527241.9412962.7228016.37-7000.5-18004.451.851.340.0281371.18
atrtrail-15.82111032119497041.1812346.1874699.5-7056.15-18004.451.751.220.017933.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 34.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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.
TVSMOTOR Performance, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Jan 2019 (-2.83%), 05 Mar 2019 (-3.47%), 01 Apr 2019 (8.87%), 17 Oct 2019 (13.87%)
2018626 Feb 2018 (-3.29%), 02 Apr 2018 (-3.59%), 30 May 2018 (-3.83%), 07 Aug 2018 (-3.44%), 30 Nov 2018 (-3.17%), 11 Dec 2018 (-3.09%)
20171103 Jan 2017 (9.69%), 17 Mar 2017 (-2.16%), 05 Apr 2017 (6.42%), 15 May 2017 (7.05%), 07 Jul 2017 (6.17%), 10 Jul 2017 (-2.76%), 28 Aug 2017 (8.39%), 09 Oct 2017 (6.87%), 26 Oct 2017 (-2.0%), 23 Nov 2017 (-2.25%), 07 Dec 2017 (-2.15%)
2016627 Jan 2016 (-3.63%), 22 Feb 2016 (-3.73%), 02 Mar 2016 (11.88%), 18 Apr 2016 (-2.63%), 05 Aug 2016 (-2.48%), 19 Sep 2016 (8.46%)
2015204 May 2015 (-4.34%), 23 Dec 2015 (-2.76%)
2014903 Feb 2014 (14.11%), 20 Mar 2014 (-3.6%), 02 May 2014 (11.39%), 19 Jun 2014 (14.06%), 18 Jul 2014 (-5.39%), 08 Aug 2014 (16.15%), 20 Oct 2014 (-3.88%), 04 Dec 2014 (-4.01%), 26 Dec 2014 (13.6%)
2013620 Feb 2013 (-4.75%), 05 Apr 2013 (-5.78%), 12 Aug 2013 (-4.85%), 02 Sep 2013 (-4.17%), 26 Nov 2013 (12.67%), 19 Dec 2013 (10.17%)
2012515 Feb 2012 (-4.29%), 30 Apr 2012 (-5.67%), 14 Aug 2012 (-4.05%), 14 Sep 2012 (11.66%), 30 Nov 2012 (10.44%)
2011614 Feb 2011 (-6.62%), 31 May 2011 (-4.54%), 29 Jun 2011 (-3.81%), 01 Aug 2011 (-4.62%), 24 Aug 2011 (17.06%), 18 Oct 2011 (-4.55%)
2010802 Mar 2010 (-5.95%), 01 Apr 2010 (13.62%), 01 Jun 2010 (17.8%), 21 Jul 2010 (13.4%), 08 Sep 2010 (-3.85%), 06 Oct 2010 (-4.4%), 01 Nov 2010 (-3.83%), 24 Nov 2010 (-5.12%)
2009827 Mar 2009 (19.28%), 11 Jun 2009 (-9.0%), 16 Jul 2009 (20.8%), 04 Sep 2009 (16.89%), 20 Oct 2009 (-4.73%), 10 Nov 2009 (-5.35%), 04 Dec 2009 (-4.19%), 24 Dec 2009 (10.55%)
2008421 May 2008 (-5.55%), 05 Sep 2008 (-4.68%), 01 Oct 2008 (-5.63%), 22 Oct 2008 (-8.04%)
2007222 May 2007 (-4.0%), 12 Jul 2007 (-3.98%)
2006306 Mar 2006 (-4.04%), 23 Mar 2006 (-3.76%), 28 Sep 2006 (-4.42%)
2005704 Jan 2005 (-3.4%), 01 Jun 2005 (-2.88%), 24 Jun 2005 (-4.28%), 04 Jul 2005 (-4.61%), 05 Jul 2005 (14.77%), 03 Oct 2005 (-4.78%), 09 Nov 2005 (17.12%)
2004509 Feb 2004 (-5.86%), 27 Aug 2004 (-4.78%), 13 Sep 2004 (14.01%), 03 Nov 2004 (-4.52%), 11 Nov 2004 (12.45%)
2003917 Jan 2003 (-2.89%), 20 Feb 2003 (-2.25%), 18 Jun 2003 (-3.29%), 31 Jul 2003 (12.28%), 06 Oct 2003 (-4.42%), 12 Nov 2003 (-4.03%), 18 Nov 2003 (-4.93%), 19 Nov 2003 (15.83%), 12 Dec 2003 (12.76%)
2002703 Jan 2002 (17.22%), 20 Feb 2002 (-5.17%), 28 Mar 2002 (-5.43%), 18 Apr 2002 (15.19%), 07 Jun 2002 (19.81%), 30 Sep 2002 (-4.65%), 04 Nov 2002 (12.07%)
2001305 Jan 2001 (17.11%), 01 Aug 2001 (-5.94%), 24 Sep 2001 (-5.36%)
2000117 Nov 2000 (-7.0%)



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