Study: Buy YESBANK 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 YESBANK 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 YESBANK 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
1-55944.2361818504640.0310287.57-7748.04-1122280.60.6-0.021-1554.01
2-21300.5136201655.565850.2750760.36-8644.12-84510.870.680.85-0.0091-591.68
335486.3361818508658.5474777.14-6687.08-43478.261.291.290.017985.73
474659.8336211558.3310483.4280964.87-9699.46-63858.71.081.510.0292073.88
554682.9836221461.1110527.1360828.53-12636.71-61141.30.831.310.0221518.97
613673036231363.8910534.0662926.06-8119.48-21833.771.32.30.0683798.06
726078036201655.5619391.75118750-7940.92-23992.512.443.050.0757243.89
825357536211558.3319259.82128533-10058.76-31483.421.912.680.0717043.75
923753936231363.8917387.5292663.04-12490.31-30395.791.392.460.0756598.3
1016799536211558.3315389.0561982.17-10345.04-32321.91.492.080.0654666.51
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
YESBANK Performance, X=7, Profit Factor:3.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020105 Mar 2020 (59.38%)
2019127 Mar 2019 (-0.6%)
2017414 Mar 2017 (-0.86%), 29 Mar 2017 (3.54%), 02 May 2017 (-3.46%), 05 Jun 2017 (-4.89%)
2016720 Apr 2016 (6.92%), 11 May 2016 (2.23%), 26 May 2016 (4.28%), 04 Jul 2016 (4.82%), 26 Jul 2016 (2.62%), 02 Sep 2016 (-12.0%), 03 Oct 2016 (-0.81%)
2014325 Apr 2014 (-7.03%), 12 May 2014 (8.32%), 03 Dec 2014 (-5.72%)
2013102 Jan 2013 (2.16%)
2012313 Mar 2012 (-0.49%), 25 Oct 2012 (0.55%), 29 Nov 2012 (3.2%)
2011214 Feb 2011 (-0.37%), 24 Jun 2011 (8.1%)
2010102 Mar 2010 (2.73%)
2009414 May 2009 (33.72%), 29 Jun 2009 (-11.35%), 08 Oct 2009 (21.27%), 10 Nov 2009 (-7.54%)
2007315 Jan 2007 (-0.26%), 25 Jun 2007 (13.49%), 31 Aug 2007 (-0.49%)
2006617 Jan 2006 (12.25%), 06 Mar 2006 (1.53%), 03 May 2006 (1.63%), 29 Aug 2006 (-4.0%), 27 Nov 2006 (1.18%), 15 Dec 2006 (-3.66%)

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-16.0314596536201655.5613137.0472226.84-7298.47-17743.261.82.250.0664054.59
atrnil38.3824693439172243.5926230.49107394-9044.74-27798.542.92.240.0726331.64
atrtrail35.119142039201951.2817468.93107394-8313.61-27798.542.12.210.0594908.2
atrtrail24.291260544221215014074.8771596.02-8072.3-27798.541.741.740.053001.28
atrnil25.5713659442202247.6216812.5771596.02-9075.32-27798.541.851.680.0523252.24

In the table above, row 1 shows the best exit criterion. Profit factor is 2.25. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 2.03%, which is very good. Sharpe Ratio is 0.066, 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.
YESBANK Performance, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020205 Mar 2020 (-8.87%), 16 Mar 2020 (36.11%)
2019127 Mar 2019 (1.12%)
2017414 Mar 2017 (-1.9%), 29 Mar 2017 (3.73%), 02 May 2017 (-2.04%), 05 Jun 2017 (-2.73%)
2016620 Apr 2016 (4.6%), 11 May 2016 (5.69%), 04 Jul 2016 (3.39%), 26 Jul 2016 (3.53%), 02 Sep 2016 (1.79%), 03 Oct 2016 (-1.94%)
2014325 Apr 2014 (-3.41%), 12 May 2014 (9.76%), 03 Dec 2014 (-0.25%)
2013102 Jan 2013 (3.49%)
2012313 Mar 2012 (0.38%), 25 Oct 2012 (-2.61%), 29 Nov 2012 (2.96%)
2011214 Feb 2011 (1.13%), 24 Jun 2011 (6.19%)
2010102 Mar 2010 (0.11%)
2009414 May 2009 (16.61%), 29 Jun 2009 (-6.76%), 08 Oct 2009 (16.37%), 10 Nov 2009 (-3.79%)
2007315 Jan 2007 (0.13%), 25 Jun 2007 (10.18%), 31 Aug 2007 (-2.09%)
2006617 Jan 2006 (-3.37%), 06 Mar 2006 (-3.38%), 03 May 2006 (-4.86%), 29 Aug 2006 (-4.51%), 27 Nov 2006 (4.09%), 15 Dec 2006 (-5.85%)



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