Study: Buy ZEEL 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 ZEEL 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 ZEEL 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
151088.86153698445.15047.8219253.6-3538.22-15970.861.431.170.012333.91
2-80282.79153648941.836036.4129019.61-5242.84-24790.621.150.83-0.015-524.72
3-62494.09153698445.17088.6529019.61-6566.8-24790.621.080.89-0.0092-408.46
4-2484.22153718246.418883.3745042.02-7722-33668.341.151-0.00029-16.24
5112255153787550.9810753.0463650.43-9686.42-44053.61.111.150.0098733.69
671098.13153747948.3711839.3282598.61-10190.02-55782.31.161.090.0057464.69
7150755153728147.0613783.8379814.39-10391.12-46956.521.331.180.011985.33
8160155153668743.1416159.9172108.26-10418.38-56545.481.551.180.0111046.76
9167004153757849.0215075.4179721.03-12354.5-50336.311.221.170.0111091.53
10187204153698445.117949.5278615.38-12515.62-58874.521.431.180.0111223.56
Although, strategy looks good but profit factor on day 2 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
atrtrail-14.49-32895.44170511193014322.0385205.81-6414.44-19465.72.230.96-0.0027-193.5
atrnil36.92-1610901593412521.3825059.0747810.76-8104.79-19465.73.090.84-0.014-1013.14
atrtrail23.58-1401801755412130.8612025.9331873.84-6525.45-19465.71.840.82-0.016-801.03
atrtrail34.11-136871170511193012283.344035-6414.44-19465.71.910.82-0.015-805.12
atrnil24.84-1900301725112129.6515691.1931873.84-8184.14-19465.71.920.81-0.02-1104.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is -0.097%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, Profit Factor:0.957

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019424 May 2019 (-5.28%), 11 Jul 2019 (-2.82%), 20 Aug 2019 (-4.68%), 26 Aug 2019 (-2.02%)
2018715 Jan 2018 (-0.89%), 12 Mar 2018 (-1.77%), 18 Apr 2018 (-0.9%), 11 Jun 2018 (-2.79%), 10 Oct 2018 (-3.67%), 11 Oct 2018 (-2.07%), 31 Oct 2018 (-3.96%)
2017915 Mar 2017 (-2.17%), 29 Mar 2017 (2.1%), 12 May 2017 (-2.82%), 29 May 2017 (-1.86%), 07 Jul 2017 (-1.9%), 01 Sep 2017 (-0.17%), 25 Oct 2017 (0.51%), 22 Nov 2017 (-0.25%), 27 Dec 2017 (-0.96%)
20161229 Jan 2016 (-3.09%), 22 Feb 2016 (-3.81%), 04 Apr 2016 (-2.81%), 11 Apr 2016 (0.61%), 09 May 2016 (3.77%), 27 May 2016 (-2.44%), 05 Jul 2016 (-2.32%), 14 Jul 2016 (-1.11%), 25 Jul 2016 (3.67%), 24 Aug 2016 (-2.16%), 29 Aug 2016 (-0.67%), 29 Sep 2016 (2.35%)
2015819 Jan 2015 (-0.98%), 12 Mar 2015 (-2.75%), 09 Apr 2015 (-2.84%), 15 Jul 2015 (-0.95%), 10 Sep 2015 (-0.64%), 16 Oct 2015 (-0.22%), 24 Nov 2015 (0.51%), 15 Dec 2015 (0.38%)
2014808 Jan 2014 (0.8%), 21 Feb 2014 (-2.88%), 12 May 2014 (-2.69%), 09 Jun 2014 (-3.08%), 20 Jun 2014 (2.26%), 16 Jul 2014 (-2.67%), 20 Aug 2014 (-1.68%), 25 Nov 2014 (-2.96%)
2013905 Feb 2013 (-2.66%), 01 Apr 2013 (-3.59%), 18 Apr 2013 (10.02%), 21 Jun 2013 (-3.51%), 18 Jul 2013 (-3.11%), 14 Aug 2013 (-4.31%), 16 Aug 2013 (-4.55%), 12 Nov 2013 (-3.15%), 06 Dec 2013 (1.49%)
20121112 Jan 2012 (-1.95%), 03 Mar 2012 (-0.4%), 03 Apr 2012 (-4.65%), 02 May 2012 (-2.91%), 23 Jul 2012 (6.89%), 13 Aug 2012 (-2.02%), 18 Sep 2012 (-0.47%), 07 Nov 2012 (-2.7%), 15 Nov 2012 (-3.71%), 23 Nov 2012 (-3.67%), 18 Dec 2012 (0.05%)
2011725 Mar 2011 (-2.57%), 20 Apr 2011 (-3.89%), 25 May 2011 (0.87%), 29 Jun 2011 (-3.22%), 22 Jul 2011 (-3.3%), 08 Sep 2011 (-3.54%), 28 Nov 2011 (2.34%)
20101111 Jan 2010 (2.82%), 02 Mar 2010 (0.74%), 05 Apr 2010 (5.87%), 04 Jun 2010 (-4.01%), 07 Jun 2010 (0.17%), 30 Jun 2010 (-3.74%), 08 Jul 2010 (-0.57%), 09 Aug 2010 (-2.91%), 02 Nov 2010 (-0.08%), 01 Dec 2010 (-0.75%), 31 Dec 2010 (-3.7%)
2009909 Feb 2009 (-0.33%), 11 May 2009 (13.05%), 04 Jun 2009 (-7.39%), 17 Jul 2009 (-6.84%), 03 Aug 2009 (-4.73%), 21 Aug 2009 (6.42%), 24 Sep 2009 (4.51%), 11 Nov 2009 (2.21%), 23 Dec 2009 (-3.64%)
2008117 Jun 2008 (-1.52%)
2007722 May 2007 (-4.18%), 22 Jun 2007 (-3.98%), 04 Jul 2007 (10.53%), 31 Aug 2007 (-2.06%), 29 Oct 2007 (-6.28%), 19 Nov 2007 (-4.95%), 05 Dec 2007 (-4.65%)
2006513 Feb 2006 (-3.77%), 02 May 2006 (-6.22%), 11 Aug 2006 (4.19%), 13 Sep 2006 (-0.63%), 30 Oct 2006 (8.6%)
2005702 May 2005 (-3.69%), 03 May 2005 (5.49%), 06 Jun 2005 (-3.15%), 23 Jun 2005 (-3.42%), 24 Jun 2005 (5.1%), 26 Jul 2005 (-6.05%), 30 Aug 2005 (1.73%)
2004816 Feb 2004 (-5.89%), 17 Jun 2004 (-5.19%), 06 Jul 2004 (-4.09%), 19 Aug 2004 (-0.05%), 05 Oct 2004 (-3.27%), 12 Nov 2004 (0.6%), 02 Dec 2004 (-3.22%), 07 Dec 2004 (-3.58%)
2003607 Jan 2003 (-2.32%), 21 May 2003 (6.99%), 02 Jul 2003 (18.12%), 08 Sep 2003 (-5.46%), 24 Sep 2003 (12.86%), 03 Dec 2003 (-4.26%)
2002707 Jan 2002 (-7.94%), 05 Feb 2002 (3.45%), 18 Mar 2002 (-5.23%), 19 Mar 2002 (-2.29%), 12 Apr 2002 (-4.47%), 19 Apr 2002 (2.7%), 09 Dec 2002 (-4.3%)
2001322 Jan 2001 (0.56%), 02 Jul 2001 (-8.07%), 01 Aug 2001 (-9.73%)
2000103 Mar 2000 (-3.84%)
1999621 Apr 1999 (-6.0%), 05 Jul 1999 (42.6%), 11 Aug 1999 (14.15%), 23 Oct 1999 (-5.18%), 25 Oct 1999 (-5.68%), 15 Nov 1999 (-6.54%)
1998801 Jan 1998 (16.09%), 18 Feb 1998 (35.38%), 18 Mar 1998 (2.9%), 21 May 1998 (3.24%), 01 Jul 1998 (8.37%), 08 Sep 1998 (15.36%), 26 Oct 1998 (-3.27%), 21 Dec 1998 (-3.99%)
1997528 Feb 1997 (26.85%), 30 Apr 1997 (35.09%), 09 Jul 1997 (-1.31%), 31 Jul 1997 (5.07%), 06 Nov 1997 (-4.46%)
1996504 Apr 1996 (0.02%), 07 May 1996 (4.14%), 07 Jun 1996 (0.62%), 30 Sep 1996 (-0.01%), 23 Oct 1996 (-4.48%)
1995605 May 1995 (-2.56%), 18 May 1995 (-3.26%), 02 Jun 1995 (-2.9%), 24 Jul 1995 (-1.79%), 26 Sep 1995 (-2.88%), 27 Sep 1995 (-3.37%)



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