Study: Buy WOCKPHARMA 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 WOCKPHARMA 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 WOCKPHARMA 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
1-64115.4884305435.713727.6117812.44-3258.22-9199.631.140.64-0.042-763.28
2-12050.8384354941.676027.5228890.07-4551.31-14000.381.320.95-0.0047-143.46
366340.284414348.817280.8449283.06-5399.4-41047.331.351.290.018789.76
417011084523261.97712.3560754.12-7216.62-50612.91.071.740.0392025.12
528204184533163.19917.8244928.31-7858.17-50372.061.262.160.063357.63
631992684493558.3311950.3460010.62-7589.72-51897.371.572.20.0623808.65
731668084493558.3312800.5849176.85-8872.79-53083.031.442.020.0583770.01
833081984513360.7112811.1156718-9774.17-51582.431.312.030.0593938.32
939704484533163.113577.0563197.03-10404.52-48389.791.32.230.0684726.71
1048074684552965.4815187.39103346-12226.23-49260.511.242.360.0685723.17
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
WOCKPHARMA Performance, X=10, Profit Factor:2.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jan 2019 (-7.03%)
2018414 Mar 2018 (-8.47%), 03 Apr 2018 (-3.11%), 17 Sep 2018 (-17.84%), 17 Dec 2018 (0.52%)
2017806 Feb 2017 (0.07%), 20 Feb 2017 (3.13%), 20 Mar 2017 (2.59%), 05 Apr 2017 (-2.69%), 24 Aug 2017 (-0.27%), 09 Oct 2017 (-2.59%), 27 Oct 2017 (5.73%), 12 Dec 2017 (20.13%)
2016212 Jan 2016 (-24.63%), 21 Jul 2016 (1.94%)
2015502 Jan 2015 (0.11%), 20 Jan 2015 (16.51%), 03 Aug 2015 (6.77%), 14 Sep 2015 (8.88%), 18 Nov 2015 (5.72%)
2014420 Feb 2014 (11.25%), 02 Apr 2014 (13.47%), 05 Sep 2014 (4.22%), 03 Nov 2014 (6.71%)
2013201 Mar 2013 (0.95%), 19 Dec 2013 (5.59%)
2012601 Mar 2012 (12.68%), 04 Apr 2012 (8.54%), 20 Apr 2012 (2.11%), 23 May 2012 (4.74%), 27 Jun 2012 (-1.58%), 25 Jul 2012 (19.21%)
2011418 May 2011 (2.25%), 04 Jul 2011 (8.12%), 04 Oct 2011 (11.38%), 30 Nov 2011 (-13.62%)
2010519 Jul 2010 (2.41%), 03 Aug 2010 (18.92%), 07 Sep 2010 (0.39%), 04 Oct 2010 (-3.16%), 03 Nov 2010 (7.65%)
2009819 May 2009 (51.67%), 22 Jul 2009 (4.69%), 13 Aug 2009 (1.19%), 17 Sep 2009 (7.79%), 17 Oct 2009 (-15.67%), 09 Nov 2009 (-6.55%), 03 Dec 2009 (-5.62%), 30 Dec 2009 (6.44%)
2007627 Feb 2007 (4.2%), 22 Mar 2007 (7.75%), 30 May 2007 (-3.28%), 27 Aug 2007 (6.37%), 25 Oct 2007 (-3.63%), 31 Dec 2007 (-1.44%)
2006416 Jan 2006 (5.02%), 01 Mar 2006 (-4.98%), 05 Apr 2006 (-14.55%), 03 Nov 2006 (-2.69%)
2005507 Feb 2005 (1.27%), 07 Mar 2005 (-0.92%), 05 Apr 2005 (-8.88%), 04 Jul 2005 (5.29%), 10 Aug 2005 (-1.64%)
2004405 Feb 2004 (9.79%), 01 Apr 2004 (3.64%), 03 Nov 2004 (-3.77%), 14 Dec 2004 (2.24%)
2003728 Feb 2003 (-6.8%), 04 Jul 2003 (-0.88%), 30 Jul 2003 (21.19%), 01 Sep 2003 (-3.3%), 07 Oct 2003 (0.28%), 04 Nov 2003 (2.93%), 01 Dec 2003 (15.34%)
2002312 Feb 2002 (9.61%), 26 Mar 2002 (0.67%), 19 Jul 2002 (-4.75%)
2001401 Jan 2001 (-2.92%), 24 Jan 2001 (2.07%), 09 Oct 2001 (5.52%), 27 Nov 2001 (15.72%)
2000225 Oct 2000 (11.94%), 05 Dec 2000 (2.31%)

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
atrnil38.4625715590306033.3324221.4244024.65-7824.8-12164.583.11.550.0432857.28
atrtrail34.7615358294346036.1714801.5544024.65-5827.85-11306.552.541.440.0331633.85
atrtrail24.3314869395356036.8414238.9729349.77-5827.85-11306.552.441.430.0351565.19
atrnil25.6915772794375739.3616147.7929349.77-7714.76-12164.582.091.360.0331677.94
atrtrail-15.2861847.1293336035.4812470.2443862.02-5827.85-11306.552.141.180.014665.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
WOCKPHARMA Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018514 Mar 2018 (-4.31%), 03 Apr 2018 (-3.89%), 17 Sep 2018 (-3.99%), 17 Dec 2018 (-4.16%), 28 Dec 2018 (-3.61%)
2017806 Feb 2017 (-3.04%), 17 Feb 2017 (9.42%), 20 Mar 2017 (-3.22%), 05 Apr 2017 (-3.02%), 24 Aug 2017 (11.38%), 30 Oct 2017 (10.57%), 12 Dec 2017 (-3.47%), 13 Dec 2017 (10.9%)
2016212 Jan 2016 (-3.2%), 21 Jul 2016 (-4.13%)
2015602 Jan 2015 (-3.68%), 09 Jan 2015 (-3.64%), 20 Jan 2015 (10.5%), 03 Aug 2015 (-3.43%), 14 Sep 2015 (-6.08%), 18 Nov 2015 (-4.02%)
2014520 Feb 2014 (11.57%), 02 Apr 2014 (10.94%), 03 Apr 2014 (12.41%), 05 Sep 2014 (12.66%), 03 Nov 2014 (-3.38%)
2013201 Mar 2013 (-5.37%), 19 Dec 2013 (-6.05%)
2012801 Mar 2012 (13.04%), 04 Apr 2012 (-4.01%), 19 Apr 2012 (-4.08%), 23 May 2012 (-4.72%), 27 Jun 2012 (-3.47%), 25 Jul 2012 (-2.86%), 26 Jul 2012 (-3.28%), 31 Jul 2012 (10.75%)
2011418 May 2011 (13.33%), 05 Jul 2011 (11.59%), 04 Oct 2011 (12.14%), 30 Nov 2011 (-4.67%)
2010519 Jul 2010 (-3.26%), 03 Aug 2010 (-3.89%), 07 Sep 2010 (-5.52%), 04 Oct 2010 (-4.68%), 03 Nov 2010 (15.36%)
2009819 May 2009 (22.01%), 22 Jul 2009 (19.29%), 13 Aug 2009 (-5.65%), 17 Sep 2009 (13.47%), 17 Oct 2009 (-4.17%), 09 Nov 2009 (-5.57%), 03 Dec 2009 (-4.98%), 30 Dec 2009 (-4.28%)
2007727 Feb 2007 (-3.2%), 28 Feb 2007 (10.28%), 22 Mar 2007 (-3.96%), 30 May 2007 (-3.94%), 27 Aug 2007 (-3.55%), 25 Oct 2007 (-4.22%), 31 Dec 2007 (-3.74%)
2006516 Jan 2006 (-3.5%), 01 Mar 2006 (-4.7%), 05 Apr 2006 (-3.6%), 07 Apr 2006 (-4.08%), 03 Nov 2006 (-2.97%)
2005607 Feb 2005 (10.26%), 07 Mar 2005 (-3.41%), 05 Apr 2005 (-3.04%), 04 Jul 2005 (-3.28%), 10 Aug 2005 (-4.02%), 11 Aug 2005 (-4.69%)
2004405 Feb 2004 (12.96%), 01 Apr 2004 (-4.36%), 03 Nov 2004 (-3.05%), 14 Dec 2004 (8.49%)
2003628 Feb 2003 (-2.37%), 04 Jul 2003 (11.0%), 01 Sep 2003 (-3.66%), 07 Oct 2003 (-3.72%), 04 Nov 2003 (-4.32%), 01 Dec 2003 (11.65%)
2002312 Feb 2002 (10.55%), 26 Mar 2002 (-2.64%), 19 Jul 2002 (-2.26%)
2001401 Jan 2001 (-3.7%), 02 Jan 2001 (11.47%), 09 Oct 2001 (12.85%), 27 Nov 2001 (9.39%)
2000225 Oct 2000 (12.46%), 05 Dec 2000 (10.61%)



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