Study: Buy UNIONBANK 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 UNIONBANK 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 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
1-49941.6667283941.793473.7610648.15-3774.54-15508.140.920.66-0.039-745.4
2-36828.9767313646.275553.424532.71-5805.12-21839.870.960.82-0.018-549.69
3-93299.4467313646.277130.838177.53-8732.06-31199.820.820.7-0.032-1392.53
4-15918067283941.798720.7840848.39-10342.6-37210.370.840.61-0.046-2375.82
5-11870167274040.311600.6943047.92-10797.99-34778.621.070.73-0.03-1771.65
6-11274467313646.2710152.5540771.03-11874.26-36659.780.860.74-0.029-1682.75
7-13247167303744.7812520.4949646.5-13732.04-29705.880.910.74-0.03-1977.18
8-82468.4167293843.2812899.4348075.41-12014.53-26003.091.070.82-0.019-1230.87
9-70899.9167293843.2815415.7649175.18-13630.44-34324.551.130.86-0.014-1058.21
10-14032267303744.7814772.1757187.75-15769.91-42853.870.940.76-0.027-2094.35
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
atrnil38.86-73158.7274175722.9728453.3837657.87-9769.58-20315.062.910.87-0.015-988.63
atrtrail-15.38-49528.5574225229.7314859.0744389.42-7239-20229.542.050.87-0.012-669.3
atrtrail34.88-67669.8674225229.7314034.4636031.99-7239-20229.541.940.82-0.018-914.46
atrnil27.27-10674774225229.7318525.925105.24-9890.71-20315.061.870.79-0.026-1442.53
atrtrail24.47-89307.9774225229.7313050.9125105.24-7239-20229.541.80.76-0.027-1206.86

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 22.97%, which is not acceptable. Avoid this strategy. Average return per trade is -0.49%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
UNIONBANK Performance, Profit Factor:0.869

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Feb 2019 (-4.08%), 26 Feb 2019 (12.72%), 27 May 2019 (-5.3%), 27 Aug 2019 (-4.65%), 11 Sep 2019 (-5.02%)
2018905 Jan 2018 (-3.47%), 19 Jan 2018 (-3.52%), 14 Mar 2018 (-6.04%), 30 Apr 2018 (-4.22%), 02 May 2018 (-4.44%), 23 May 2018 (-4.95%), 23 Jul 2018 (13.53%), 10 Oct 2018 (-6.08%), 25 Oct 2018 (17.86%)
2017405 Jan 2017 (9.95%), 03 Jul 2017 (-3.35%), 28 Aug 2017 (-3.85%), 09 Oct 2017 (-3.03%)
2016327 Jan 2016 (-4.73%), 28 Jan 2016 (-4.96%), 27 May 2016 (11.23%)
2015527 Feb 2015 (-4.7%), 24 Jun 2015 (-4.53%), 16 Sep 2015 (-5.69%), 11 Nov 2015 (-4.0%), 23 Dec 2015 (-3.26%)
2014218 Feb 2014 (-3.27%), 04 Aug 2014 (-4.76%)
2013719 Feb 2013 (-3.76%), 05 Mar 2013 (-4.45%), 03 Apr 2013 (-4.58%), 19 Jun 2013 (-3.88%), 11 Jul 2013 (-4.95%), 13 Aug 2013 (-7.96%), 09 Oct 2013 (16.83%)
2012603 Jan 2012 (-5.22%), 03 May 2012 (-3.86%), 24 May 2012 (-4.11%), 06 Jun 2012 (-4.08%), 16 Aug 2012 (-3.86%), 31 Aug 2012 (10.22%)
2011812 Jan 2011 (-3.93%), 19 Jan 2011 (11.27%), 30 May 2011 (-3.61%), 08 Jul 2011 (-2.88%), 08 Sep 2011 (-5.02%), 11 Oct 2011 (-5.12%), 08 Nov 2011 (-5.18%), 25 Nov 2011 (-4.98%)
2010324 Feb 2010 (10.06%), 03 Dec 2010 (-4.65%), 23 Dec 2010 (-4.5%)
2009309 Feb 2009 (-4.98%), 16 Mar 2009 (18.02%), 27 Aug 2009 (11.78%)
2008326 Mar 2008 (-8.89%), 16 Jun 2008 (-5.42%), 07 Jul 2008 (-7.37%)
2007320 Feb 2007 (-4.12%), 15 Mar 2007 (18.31%), 31 Aug 2007 (18.59%)
2006425 Apr 2006 (-4.2%), 21 Jun 2006 (-7.98%), 21 Jul 2006 (16.76%), 22 Dec 2006 (-5.09%)
2005413 Apr 2005 (-5.01%), 25 Apr 2005 (-4.95%), 09 May 2005 (15.51%), 07 Nov 2005 (-4.72%)
2004410 Mar 2004 (-4.01%), 07 Jun 2004 (-10.16%), 16 Jun 2004 (-9.09%), 13 Jul 2004 (18.83%)
2003101 Dec 2003 (10.39%)



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