Study: Buy ULTRACEMCO 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 ULTRACEMCO 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 ULTRACEMCO 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
125343.4298504851.022994.6216044.48-2591.41-11239.851.161.20.018258.61
23208.6698504851.023698.7414055.33-3786.01-11470.680.981.020.001832.74
3-19648.398514752.044370.8414697.78-5160.88-17427.980.850.92-0.0087-200.49
4-13124.1598544455.14625.5917621.61-5975.13-24077.770.770.95-0.0049-133.92
515686.998544455.15587.9817780.94-6501.46-29182.760.861.050.005160.07
664384.7898534554.086899.1218079.43-6694.85-28357.081.031.210.019656.99
714773098603861.228070.2625802.79-8854.89-28765.480.911.440.0371507.45
819678098633564.299005.723923.51-10587.97-30336.930.851.530.0452007.96
919549498613762.249276.9627074.69-10010.82-29946.290.931.530.0451994.84
1020746198613762.249634.2431337.89-10276.42-29395.840.941.550.0452116.95
Although, strategy looks good but profit factor on day 3 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
atrnil310.18266630101356634.6520144.4636541.65-6642.82-15694.683.031.610.0512639.9
atrnil26.64214808111476442.3413549.3724361.1-6593.94-15694.682.051.510.0481935.21
atrtrail24.6418415.97117447337.619149.7920392.8-5262.67-12603.311.741.050.005157.4
atrtrail35.2811879.34114437137.728992.4530589.2-5278.82-12603.311.71.030.0032104.2
atrtrail-15.8-74073.05114437137.726993.5628574.62-5278.82-12603.311.320.8-0.023-649.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 34.65%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ULTRACEMCO Performance, Profit Factor:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Apr 2019 (7.35%), 21 May 2019 (-2.71%), 04 Jul 2019 (-1.98%), 15 Jul 2019 (-2.31%)
2018708 May 2018 (-2.05%), 14 May 2018 (-2.17%), 25 Jun 2018 (6.66%), 23 Jul 2018 (7.57%), 21 Aug 2018 (-2.25%), 02 Nov 2018 (11.14%), 19 Dec 2018 (-2.52%)
2017614 Mar 2017 (-1.84%), 06 Apr 2017 (-1.69%), 25 Apr 2017 (-2.06%), 05 Jul 2017 (6.45%), 13 Oct 2017 (6.03%), 13 Dec 2017 (6.64%)
2016925 Jan 2016 (-2.45%), 01 Mar 2016 (9.12%), 18 Apr 2016 (-2.57%), 27 May 2016 (6.01%), 11 Jul 2016 (6.13%), 08 Aug 2016 (-2.06%), 19 Aug 2016 (-2.24%), 31 Aug 2016 (-2.31%), 14 Oct 2016 (-2.11%)
2015402 Mar 2015 (-2.95%), 11 May 2015 (-3.48%), 23 Jun 2015 (-2.69%), 09 Sep 2015 (-3.24%)
2014628 Mar 2014 (-2.31%), 13 May 2014 (8.79%), 05 Aug 2014 (-3.11%), 02 Sep 2014 (-2.65%), 30 Oct 2014 (-2.58%), 22 Dec 2014 (6.76%)
2013601 Jan 2013 (-2.34%), 06 Feb 2013 (-3.23%), 15 Apr 2013 (8.12%), 28 Jun 2013 (-2.96%), 10 Sep 2013 (14.21%), 09 Dec 2013 (-2.47%)
2012817 Jan 2012 (8.12%), 14 Mar 2012 (-2.86%), 21 Mar 2012 (-2.96%), 24 Jul 2012 (-2.24%), 25 Jul 2012 (6.82%), 11 Sep 2012 (-1.99%), 17 Sep 2012 (6.53%), 03 Dec 2012 (-3.16%)
2011802 Jun 2011 (-2.84%), 09 Jun 2011 (-2.63%), 07 Jul 2011 (-3.13%), 16 Aug 2011 (-2.68%), 23 Aug 2011 (9.04%), 26 Oct 2011 (-2.88%), 01 Dec 2011 (-2.88%), 26 Dec 2011 (-2.83%)
2010504 Jan 2010 (9.6%), 11 Feb 2010 (9.97%), 07 Sep 2010 (8.79%), 01 Oct 2010 (-3.56%), 31 Dec 2010 (-2.85%)
2009928 Jan 2009 (-6.53%), 25 Feb 2009 (14.92%), 23 Mar 2009 (17.94%), 18 May 2009 (-5.4%), 19 May 2009 (18.27%), 09 Jul 2009 (15.29%), 28 Aug 2009 (-4.22%), 17 Sep 2009 (-4.0%), 19 Nov 2009 (12.54%)
2008215 Feb 2008 (-6.55%), 12 Mar 2008 (-6.06%)
20071117 Jan 2007 (-3.77%), 07 Feb 2007 (-4.61%), 18 May 2007 (-4.71%), 20 Jun 2007 (-3.31%), 29 Jun 2007 (9.61%), 28 Aug 2007 (-3.97%), 29 Aug 2007 (13.16%), 12 Oct 2007 (-4.2%), 15 Oct 2007 (-4.52%), 14 Nov 2007 (-5.07%), 15 Nov 2007 (-5.37%)
2006817 Jan 2006 (12.23%), 01 Mar 2006 (10.75%), 30 Mar 2006 (10.15%), 16 Jun 2006 (-7.85%), 28 Jul 2006 (14.7%), 15 Sep 2006 (-3.14%), 14 Nov 2006 (-2.91%), 04 Dec 2006 (-2.93%)
2005728 Jan 2005 (-4.99%), 06 May 2005 (-3.73%), 09 Jun 2005 (-3.63%), 26 Jul 2005 (12.32%), 29 Aug 2005 (11.53%), 07 Nov 2005 (-4.62%), 16 Dec 2005 (-4.33%)
2004101 Dec 2004 (9.23%)



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