Study: Buy UNIONBANK 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 UNIONBANK 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 UNIONBANK 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
11183.662391439.135996.0813492.99-3770.08-9037.331.591.020.002151.46
251437.5723131056.527663.0337032.71-4818.18-9693.331.592.070.0572236.42
342492.1223111247.8310771.3242698.6-6332.7-18278.31.71.560.0381847.48
436960.032316769.578802.9741588.79-14841.06-37028.30.591.360.0281606.96
521359.692314960.879990.3750992.99-13167.27-33136.790.761.180.014928.68
617181.222314960.8710226.1866880.84-13998.36-31965.870.731.140.0099747.01
7-15155.8423111247.8311301.0448130.84-11622.28-27239.910.970.89-0.011-658.95
810158.2823131056.5210004.6152278.04-11990.17-29734.160.831.080.0071441.66
915955.7223121152.1710235.5945210.28-9715.58-34263.211.051.150.012693.73
103496623121152.1713610.7147780.37-11669.32-34460.121.171.270.0221520.26
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
UNIONBANK Performance, X=2, Profit Factor:2.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-1.38%)
2018220 Aug 2018 (0.17%), 30 Oct 2018 (2.04%)
2017112 Apr 2017 (-1.76%)
2016102 Mar 2016 (3.71%)
2015113 May 2015 (6.66%)
2014115 May 2014 (18.52%)
2013102 Apr 2013 (-4.85%)
2012307 Jun 2012 (-0.77%), 05 Nov 2012 (4.62%), 30 Nov 2012 (1.36%)
2011128 Nov 2011 (-4.14%)
2009310 Feb 2009 (-2.2%), 15 Oct 2009 (5.22%), 18 Nov 2009 (0.74%)
2007505 Jun 2007 (-4.48%), 19 Jun 2007 (-0.58%), 09 Jul 2007 (1.17%), 15 Oct 2007 (-1.65%), 30 Oct 2007 (2.36%)
2006204 May 2006 (3.12%), 14 Sep 2006 (0.12%)
2004105 Oct 2004 (-2.28%)

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
atrnil25.5857082.6926101638.4619342.5429567.45-8521.42-11781.722.271.420.0382195.49
atrnil38.4454446.94257182829948.8344351.17-8621.94-12514.173.471.350.032177.88
atrtrail23.389916.8226101638.4611979.5623478.84-6867.42-10146.311.741.090.009381.42
atrtrail33.739680.6126101638.4611955.9435218.26-6867.42-10146.311.741.090.0077372.33
atrtrail-14.125206.11259163612787.2152793.07-6867.42-10146.311.861.050.0038208.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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.
UNIONBANK Performance, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-5.07%)
2018220 Aug 2018 (-3.95%), 30 Oct 2018 (-5.89%)
2017312 Apr 2017 (-2.96%), 25 Apr 2017 (-2.88%), 26 Apr 2017 (6.08%)
2016102 Mar 2016 (12.51%)
2015113 May 2015 (9.13%)
2014215 May 2014 (10.47%), 16 May 2014 (11.74%)
2013102 Apr 2013 (-4.47%)
2012307 Jun 2012 (-3.93%), 05 Nov 2012 (9.15%), 30 Nov 2012 (7.98%)
2011128 Nov 2011 (-4.72%)
2009310 Feb 2009 (-4.81%), 15 Oct 2009 (6.34%), 18 Nov 2009 (-4.11%)
2007505 Jun 2007 (-3.9%), 19 Jun 2007 (8.53%), 09 Jul 2007 (-4.19%), 15 Oct 2007 (-5.85%), 30 Oct 2007 (14.78%)
2006204 May 2006 (-4.28%), 14 Sep 2006 (-3.84%)
2004105 Oct 2004 (-3.32%)



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