Study: Buy TVSMOTOR 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 TVSMOTOR 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 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
1-5329.8553183533.966714.4619917.01-3605.43-18074.071.860.96-0.0034-100.56
2-66658.5253213239.628042.2824256.13-7360.83-34666.671.090.72-0.027-1257.71
3-24954.7353213239.629553.0430596.37-7049.02-32888.891.360.89-0.0097-470.84
4-11053553203337.7410194.7926826.95-9528.22-25202.311.070.65-0.041-2085.57
5-11252153233043.49789.9426017.61-11256.34-33518.010.870.67-0.037-2123.05
6-52009.9953223141.5113361.0542744.32-11159.78-28487.861.20.85-0.014-981.32
7-9706.2653223141.5116009.5673293-11674.73-32138.731.370.97-0.0023-183.14
829622.0353262749.0614945.2462575.63-13294.6-33509.71.121.080.0068558.91
971484.3153272650.9415368.5462225.53-13210.24-31445.091.161.210.0161348.76
1055991.4353262749.0615891.4470008.64-13229.11-39306.361.21.160.0121056.44
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
atrnil36.7912056352183434.6223326.639615.09-8803.4-18004.452.651.40.0332318.52
atrnil24.841540.5856223439.2915612.7526410.06-8880.58-18004.451.761.140.013741.8
atrtrail23.885794.3758223637.9312526.0326410.06-7493.84-18004.451.671.020.002199.9
atrtrail34.67-25447.0855213438.1811032.0530372.92-7562.35-18004.451.460.9-0.0096-462.67
atrtrail-15-80231.3153193435.859444.2926223.97-7637.43-18004.451.240.69-0.036-1513.8

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018426 Feb 2018 (-3.29%), 02 Apr 2018 (-3.59%), 30 May 2018 (-3.83%), 07 Aug 2018 (-3.44%)
2017907 Feb 2017 (8.04%), 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%)
2016218 Apr 2016 (-2.63%), 19 Sep 2016 (8.46%)
2015104 May 2015 (-4.34%)
2014403 Feb 2014 (14.11%), 20 Mar 2014 (-3.6%), 02 May 2014 (11.39%), 18 Jul 2014 (-5.39%)
2013420 Feb 2013 (-4.75%), 05 Apr 2013 (-5.78%), 26 Nov 2013 (12.67%), 19 Dec 2013 (10.17%)
2012114 Aug 2012 (-4.05%)
2011114 Feb 2011 (-6.62%)
2010502 Mar 2010 (-5.95%), 23 Apr 2010 (12.46%), 01 Jun 2010 (17.8%), 21 Jul 2010 (13.4%), 08 Sep 2010 (-3.85%)
2009327 Mar 2009 (19.28%), 11 Jun 2009 (-9.0%), 20 Oct 2009 (-4.73%)
2008321 May 2008 (-5.55%), 01 Oct 2008 (-5.63%), 22 Oct 2008 (-8.04%)
2006207 Mar 2006 (-4.19%), 23 Mar 2006 (-3.76%)
2005201 Jun 2005 (-2.88%), 24 Jun 2005 (-4.28%)
2004103 Nov 2004 (-4.52%)
2003417 Jan 2003 (-2.89%), 20 Feb 2003 (-2.25%), 18 Jun 2003 (-3.29%), 31 Jul 2003 (12.28%)
2002520 Feb 2002 (-5.17%), 28 Mar 2002 (-5.43%), 18 Apr 2002 (15.19%), 07 Jun 2002 (19.81%), 30 Sep 2002 (-4.65%)
2001124 Sep 2001 (-5.36%)



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