Study: Buy TVSMOTOR when RSI is below 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 below 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
1-12818.6257253243.863668.5612023.46-3266.65-7704.651.120.88-0.012-224.89
2-11016457213636.846074.1833137.83-6603.39-22505.310.920.54-0.051-1932.7
3-19791857203735.096844.7316788.32-9048.99-37367.30.760.41-0.079-3472.25
4-20699057223538.67556.3222424.24-10663.68-42462.850.710.45-0.072-3631.4
5-31606757203735.098072.2424695.86-12905.74-52229.30.630.34-0.092-5545.04
6-31729257203735.098636.8521212.12-13244.03-51804.670.650.35-0.089-5566.53
7-34967557213636.848956.1420606.06-14937.61-60297.240.60.35-0.084-6134.65
8-35965957193833.3311093.9936053.81-15011.72-59872.610.740.37-0.083-6309.82
9-35182257203735.0912213.138026.91-16110.39-61951.910.760.41-0.075-6172.32
10-30240357213636.8412744.7635336.32-15834.53-56900.210.80.47-0.063-5305.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.88. 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 43.86%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.

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-11-12818.6257253243.863668.5612023.46-3266.65-7704.651.120.88-0.012-224.89
atrtrail34.91-10547265194629.2314836.6848632.69-8421.07-22519.861.760.73-0.027-1622.65
atrnil38.48-15535563125119.0530282.4548632.69-10171.46-22519.862.980.7-0.034-2465.95
atrtrail24.37-12423165194629.2313849.3632421.79-8421.07-22519.861.640.68-0.037-1911.25
atrnil26.22-19625664154923.4420127.732421.79-10166.76-22519.861.980.61-0.052-3066.5
atrtrail-15.29-15818765194629.2312062.2354774.95-8421.07-22519.861.430.59-0.046-2433.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 43.86%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, X=1, Profit Factor:0.877

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019514 Feb 2019 (-3.08%), 01 Mar 2019 (4.74%), 22 May 2019 (-0.33%), 11 Jul 2019 (0.56%), 05 Aug 2019 (1.02%)
2018523 Feb 2018 (1.95%), 31 May 2018 (1.63%), 05 Jul 2018 (1.1%), 08 Aug 2018 (1.06%), 24 Oct 2018 (-1.69%)
2016226 May 2016 (-2.67%), 01 Dec 2016 (-2.49%)
2015530 Apr 2015 (5.94%), 15 May 2015 (1.29%), 11 Jun 2015 (-1.08%), 20 Aug 2015 (-0.95%), 03 Sep 2015 (0.74%)
2013508 Mar 2013 (0.76%), 04 Apr 2013 (6.01%), 01 Jul 2013 (-0.75%), 02 Aug 2013 (-2.72%), 30 Aug 2013 (1.14%)
2012510 Jan 2012 (1.04%), 10 Feb 2012 (-0.59%), 02 Apr 2012 (-2.2%), 28 May 2012 (-1.13%), 29 Nov 2012 (1.3%)
2011503 Jan 2011 (-1.37%), 24 Jan 2011 (-3.85%), 15 Feb 2011 (-0.36%), 30 May 2011 (2.26%), 26 Dec 2011 (-3.26%)
2009205 Jan 2009 (-0.85%), 29 Jan 2009 (0.91%)
2008401 Apr 2008 (-1.69%), 18 Jun 2008 (-1.98%), 09 Jul 2008 (0.71%), 04 Dec 2008 (-3.2%)
2007612 Jan 2007 (-0.67%), 06 Feb 2007 (-0.91%), 13 Mar 2007 (-1.34%), 10 Apr 2007 (-0.53%), 21 Aug 2007 (0.63%), 31 Oct 2007 (-1.89%)
2006421 Jun 2006 (2.04%), 26 Jul 2006 (1.34%), 24 Nov 2006 (-0.25%), 27 Dec 2006 (3.15%)
2005305 Jan 2005 (-2.98%), 17 Feb 2005 (-0.14%), 05 Apr 2005 (-2.0%)
2004106 May 2004 (-2.12%)
2003122 Apr 2003 (1.74%)
2002316 Aug 2002 (1.25%), 04 Sep 2002 (-1.2%), 27 Sep 2002 (1.55%)
2001120 Apr 2001 (-2.0%)



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