Study: Buy VEDL 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 VEDL 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 VEDL 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
1-3.6942e+06134439132.0949839.06565511-64145.92-1562130.780.37-0.049-27568.65
28.44028e+06134706452.24126207725213-6159.28-36483.4120.4922.410.07362987.19
3373452134617345.5260155.281.09221e+06-45150.96-1569941.331.110.00362786.95
42.01169e+07134785658.212640252.62406e+06-8518.06-34051.183143.170.065150126
55.32311e+06134726253.731116061.50781e+06-43750.97-1563332.552.960.03539724.68
64.70017e+07134854963.435588357.83145e+06-10189.2-43780.0954.8595.140.057350759
71.71932e+07134805459.72417683.15105e+06-39781.9-1510026.0890.05128308
81.19957e+08134864864.181.4013e+062.75601e+07-11555.88-45097.54121.26217.260.046895204
94.83522e+07134815360.456230287.97675e+06-39869.25-15089715.6323.880.053360837
102.95037e+08134874764.933.39822e+064.92079e+07-12954.27-46212.31262.32485.580.0472.20177e+06
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
VEDL Performance, X=10, Profit Factor:486

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019431 Jan 2019 (-23.11%), 22 Feb 2019 (4.39%), 25 Jul 2019 (-19.1%), 31 Oct 2019 (-4.21%)
2018629 Jan 2018 (-8.54%), 22 Feb 2018 (-7.45%), 20 Aug 2018 (1.33%), 14 Sep 2018 (-1.25%), 04 Dec 2018 (1.14%), 31 Dec 2018 (-4.53%)
2017706 Jan 2017 (3.45%), 20 Feb 2017 (-3.72%), 24 Mar 2017 (1.98%), 17 Aug 2017 (3.33%), 01 Sep 2017 (1.29%), 16 Oct 2017 (-1.0%), 18 Dec 2017 (6.27%)
2016805 Feb 2016 (1.01%), 18 Apr 2016 (12.82%), 30 May 2016 (7.0%), 30 Jun 2016 (23.8%), 22 Aug 2016 (-1.13%), 28 Sep 2016 (11.96%), 01 Nov 2016 (-5.96%), 28 Nov 2016 (7.96%)
2015107 Apr 2015 (6.7%)
2014520 Jan 2014 (-9.68%), 06 Mar 2014 (-5.58%), 14 May 2014 (40.22%), 19 Aug 2014 (-5.63%), 05 Dec 2014 (-13.86%)
2013222 Oct 2013 (1.68%), 09 Dec 2013 (6.15%)
2012317 Feb 2012 (1233.44%), 19 Jun 2012 (4.23%), 28 Jun 2012 (117.81%)
2011312 Jan 2011 (-5.34%), 28 Jan 2011 (674.01%), 21 Feb 2011 (-15.4%)
2010915 Jan 2010 (-6.42%), 02 Feb 2010 (309.67%), 12 Mar 2010 (99.17%), 13 Apr 2010 (-5.2%), 27 Apr 2010 (2894.09%), 26 May 2010 (105.81%), 15 Jun 2010 (746.1%), 09 Jul 2010 (692.61%), 18 Nov 2010 (644.82%)
2009310 Aug 2009 (1639.22%), 25 Sep 2009 (865.17%), 17 Dec 2009 (338.02%)
2008607 Jan 2008 (13735.2%), 13 Mar 2008 (7459.64%), 21 May 2008 (8851.79%), 23 Jun 2008 (2157.8%), 14 Jul 2008 (8067.79%), 26 Sep 2008 (251.73%)
20071622 Jan 2007 (295.44%), 27 Feb 2007 (3603.16%), 26 Mar 2007 (-1.7%), 04 Apr 2007 (239.68%), 30 Apr 2007 (233.88%), 11 May 2007 (24206.46%), 22 Jun 2007 (24603.95%), 31 Jul 2007 (199.45%), 07 Aug 2007 (24172.29%), 12 Sep 2007 (260.45%), 03 Oct 2007 (267.77%), 12 Oct 2007 (13971.44%), 23 Nov 2007 (259.99%), 30 Nov 2007 (3.07%), 14 Dec 2007 (-2.82%), 28 Dec 2007 (0.02%)
20061216 Jan 2006 (-3.51%), 22 Feb 2006 (9.48%), 17 Mar 2006 (0.27%), 12 May 2006 (445.52%), 23 May 2006 (827.83%), 27 Jun 2006 (193.75%), 11 Jul 2006 (119.65%), 07 Sep 2006 (297.23%), 09 Oct 2006 (565.5%), 02 Nov 2006 (156.76%), 23 Nov 2006 (-0.49%), 28 Dec 2006 (671.28%)
2005820 Jan 2005 (921.68%), 08 Jun 2005 (-3.8%), 15 Jun 2005 (1.96%), 04 Jul 2005 (15.92%), 21 Jul 2005 (-0.24%), 04 Aug 2005 (2.81%), 17 Aug 2005 (-9.68%), 30 Aug 2005 (7.8%)
2004716 Jan 2004 (-7.39%), 13 Feb 2004 (-13.55%), 24 May 2004 (-12.47%), 18 Jun 2004 (9.36%), 05 Aug 2004 (-1.78%), 20 Sep 2004 (-0.81%), 01 Oct 2004 (7.02%)
2003916 Jan 2003 (-13.39%), 18 Feb 2003 (-2.83%), 04 Apr 2003 (26.87%), 17 Jun 2003 (6.07%), 01 Jul 2003 (10.44%), 12 Aug 2003 (17.78%), 01 Oct 2003 (-0.7%), 31 Oct 2003 (26.86%), 22 Dec 2003 (-5.78%)
2002608 Jan 2002 (-2.59%), 11 Feb 2002 (1.64%), 18 Mar 2002 (-4.24%), 05 Apr 2002 (15.67%), 30 May 2002 (23.39%), 20 Dec 2002 (-2.68%)
2001510 Jan 2001 (0.17%), 25 Jan 2001 (9.13%), 23 May 2001 (-3.28%), 14 Jun 2001 (-17.8%), 09 Aug 2001 (-0.86%)
2000112 Jul 2000 (-16.77%)
1999418 Feb 1999 (1.94%), 06 Jul 1999 (6.43%), 12 Aug 1999 (46.27%), 14 Oct 1999 (-16.59%)
1998211 Mar 1998 (-3.82%), 08 May 1998 (3.65%)
1996416 Feb 1996 (-6.22%), 25 Mar 1996 (0.56%), 21 Jun 1996 (5.23%), 03 Dec 1996 (14.27%)
1995314 Aug 1995 (-0.77%), 01 Nov 1995 (-0.75%), 08 Dec 1995 (4.87%)

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
atrtrail-134.592.77377e+11199435643.436.45062e+1092.77377e+111-7151.92-24370.949.01942e+1056.92563e+1050.0182.80178e+109
atrtrail39.142.09838e+07141786355.32277515631732-10514.43-11187226.3932.680.11148821
atrnil312.752.15329e+07135765956.3292424631732-11717.03-11187224.9632.150.12159503
atrnil210.461.60206e+07145895661.38187470421155-11862.4-11187215.825.120.12110487
atrtrail27.961.56724e+07150876358187941421155-10769.5-11187217.4524.10.11104483

In the table above, row 4 shows the best exit criterion. Profit factor is 25.12. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.38%, which is good. Average return per trade is 55.24%, which is very good. 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.
VEDL Performance, Profit Factor:25.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019431 Jan 2019 (-2.52%), 22 Feb 2019 (8.04%), 25 Jul 2019 (-3.27%), 31 Oct 2019 (7.63%)
2018629 Jan 2018 (-3.16%), 22 Feb 2018 (-3.66%), 20 Aug 2018 (-3.63%), 27 Aug 2018 (7.02%), 04 Dec 2018 (-3.78%), 31 Dec 2018 (-3.07%)
2017906 Jan 2017 (6.84%), 20 Feb 2017 (-3.42%), 02 Mar 2017 (-3.28%), 24 Mar 2017 (-2.87%), 17 Aug 2017 (-3.21%), 18 Aug 2017 (6.55%), 04 Sep 2017 (5.8%), 16 Oct 2017 (-2.67%), 18 Dec 2017 (6.89%)
20161005 Feb 2016 (-6.65%), 18 Apr 2016 (8.83%), 20 Apr 2016 (-4.4%), 30 May 2016 (8.03%), 30 Jun 2016 (8.14%), 22 Aug 2016 (-3.5%), 28 Sep 2016 (-3.44%), 29 Sep 2016 (7.58%), 01 Nov 2016 (-3.18%), 28 Nov 2016 (-4.64%)
2015107 Apr 2015 (7.94%)
2014520 Jan 2014 (-3.13%), 06 Mar 2014 (-2.94%), 14 May 2014 (6.23%), 19 Aug 2014 (-3.4%), 05 Dec 2014 (-3.68%)
2013222 Oct 2013 (-6.13%), 09 Dec 2013 (7.4%)
2012217 Feb 2012 (148.13%), 19 Jun 2012 (154.51%)
2011212 Jan 2011 (147.47%), 21 Feb 2011 (142.66%)
2010715 Jan 2010 (160.74%), 12 Mar 2010 (140.59%), 13 Apr 2010 (147.88%), 26 May 2010 (152.8%), 15 Jun 2010 (145.93%), 09 Jul 2010 (129.49%), 18 Nov 2010 (146.41%)
2009410 Aug 2009 (190.62%), 25 Sep 2009 (137.3%), 17 Dec 2009 (0.08%), 17 Dec 2009 (-55.94%)
2008607 Jan 2008 (191.21%), 13 Mar 2008 (208.93%), 21 May 2008 (206.72%), 23 Jun 2008 (210.58%), 14 Jul 2008 (197.53%), 26 Sep 2008 (204.45%)
20071622 Jan 2007 (193.43%), 27 Feb 2007 (193.67%), 26 Mar 2007 (192.34%), 04 Apr 2007 (190.97%), 30 Apr 2007 (190.1%), 11 May 2007 (182.98%), 22 Jun 2007 (187.08%), 31 Jul 2007 (176.3%), 07 Aug 2007 (179.62%), 12 Sep 2007 (186.67%), 03 Oct 2007 (192.04%), 12 Oct 2007 (189.59%), 23 Nov 2007 (193.12%), 30 Nov 2007 (184.98%), 14 Dec 2007 (194.65%), 28 Dec 2007 (194.82%)
20061216 Jan 2006 (15.85%), 22 Feb 2006 (8.38%), 22 Feb 2006 (51.78%), 12 May 2006 (165.77%), 23 May 2006 (179.84%), 27 Jun 2006 (179.71%), 11 Jul 2006 (175.9%), 07 Sep 2006 (160.49%), 09 Oct 2006 (170.03%), 02 Nov 2006 (170.09%), 23 Nov 2006 (170.45%), 28 Dec 2006 (182.22%)
20051020 Jan 2005 (144.58%), 08 Jun 2005 (-5.69%), 15 Jun 2005 (2.82%), 15 Jun 2005 (-7.18%), 17 Jun 2005 (3.56%), 17 Jun 2005 (-7.64%), 04 Jul 2005 (4.55%), 04 Jul 2005 (13.68%), 21 Jul 2005 (-14.92%), 04 Aug 2005 (24.15%)
2004616 Jan 2004 (-5.65%), 13 Feb 2004 (-5.54%), 24 May 2004 (-7.83%), 18 Jun 2004 (1.16%), 18 Jun 2004 (-20.79%), 05 Aug 2004 (55.75%)
20031016 Jan 2003 (-3.63%), 18 Feb 2003 (-4.32%), 04 Apr 2003 (8.8%), 17 Jun 2003 (-6.08%), 01 Jul 2003 (12.17%), 12 Aug 2003 (13.69%), 01 Oct 2003 (-5.85%), 31 Oct 2003 (12.18%), 22 Dec 2003 (-5.15%), 23 Dec 2003 (11.48%)
2002808 Jan 2002 (-4.54%), 11 Feb 2002 (7.48%), 18 Mar 2002 (7.39%), 19 Mar 2002 (-3.99%), 05 Apr 2002 (8.87%), 30 May 2002 (-6.44%), 31 May 2002 (13.91%), 20 Dec 2002 (-4.28%)
2001710 Jan 2001 (-5.76%), 25 Jan 2001 (-5.47%), 29 Jan 2001 (11.8%), 23 May 2001 (-6.08%), 14 Jun 2001 (-5.37%), 15 Jun 2001 (-5.85%), 09 Aug 2001 (8.15%)
2000212 Jul 2000 (-4.74%), 13 Jul 2000 (-5.38%)
1999618 Feb 1999 (-4.88%), 19 Feb 1999 (-5.41%), 06 Jul 1999 (8.51%), 12 Jul 1999 (8.12%), 12 Aug 1999 (10.49%), 14 Oct 1999 (-5.85%)
1998211 Mar 1998 (-5.41%), 08 May 1998 (-4.32%)
1996416 Feb 1996 (-1.81%), 25 Mar 1996 (4.42%), 21 Jun 1996 (-3.78%), 03 Dec 1996 (7.14%)
1995414 Aug 1995 (7.78%), 01 Nov 1995 (5.7%), 10 Nov 1995 (-2.97%), 08 Dec 1995 (4.31%)



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