Study: Buy ZEEL 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 ZEEL 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 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
134933.6778374147.445152.216628.39-3797.51-15357.461.361.220.015447.87
2-4198.5878344443.595908.4337482.77-4661.02-15357.461.270.98-0.0014-53.83
3-22712.1678364246.158054.3445883.23-7444.49-33470.011.080.93-0.0054-291.18
4-24481.5878384048.72951152070.86-9647.49-53454.820.990.94-0.0044-313.87
559683.878413752.5611228.750723.55-10829.53-47609.311.041.150.01765.18
616413878403851.2814839.354249.42-11300.9-59674.751.311.380.0242104.33
730577178453357.6917252.489852.31-14260.23-70892.981.211.650.0353920.14
825321578433555.1318252.588914.55-15189.77-61378.911.21.480.0273246.35
936475778433555.1320465.2997760.84-14721.43-56660.171.391.710.0364676.38
1041656178463258.9721151.4297205.54-17387.63-69354.591.221.750.0385340.53
Although, strategy looks good but profit factor on day 3 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
atrnil26.4929246286365041.8624118.22132128-11515.88-28500.742.091.510.0313400.72
atrtrail-15.9119310185295634.1222338.3877266-8119.85-25990.52.751.420.0222271.78
atrtrail35.3614230385295634.1220586.796657.71-8119.85-25990.52.541.310.0181674.15
atrtrail24.9585945.3586305634.8818021.964438.47-8119.85-25990.52.221.190.013999.36
atrnil310.3212536182255730.4932707.3796657.71-12146.03-66064.122.691.180.0131528.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 41.86%, which is not acceptable. Avoid this strategy. Average return per trade is 1.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
ZEEL Performance, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019607 Feb 2019 (14.2%), 24 Apr 2019 (-3.86%), 23 May 2019 (-6.84%), 13 Jun 2019 (-5.41%), 14 Jun 2019 (11.69%), 21 Aug 2019 (-4.62%)
2018325 Jul 2018 (-2.82%), 27 Aug 2018 (-2.34%), 01 Nov 2018 (-3.95%)
2017206 Jul 2017 (-1.94%), 04 Sep 2017 (4.45%)
2016323 Feb 2016 (-3.82%), 05 Apr 2016 (5.81%), 30 Nov 2016 (-4.41%)
2015311 Mar 2015 (5.66%), 10 Apr 2015 (-2.96%), 19 May 2015 (5.85%)
2014220 Feb 2014 (-2.96%), 02 Sep 2014 (5.77%)
2013408 Mar 2013 (-3.17%), 02 Apr 2013 (-3.51%), 10 Apr 2013 (-3.39%), 17 Sep 2013 (8.83%)
2012230 Apr 2012 (-3.53%), 17 May 2012 (6.37%)
2011403 Feb 2011 (-5.94%), 09 Sep 2011 (-3.54%), 20 Sep 2011 (-3.46%), 13 Oct 2011 (6.74%)
2010313 Sep 2010 (-3.12%), 21 Sep 2010 (5.75%), 01 Nov 2010 (6.47%)
2009206 Feb 2009 (20.46%), 19 Mar 2009 (16.37%)
2008704 Feb 2008 (-7.27%), 18 Feb 2008 (-6.43%), 25 Mar 2008 (-6.55%), 05 May 2008 (8.73%), 18 Jul 2008 (12.09%), 31 Oct 2008 (-11.73%), 24 Nov 2008 (-11.56%)
2007411 Jan 2007 (11.16%), 12 Mar 2007 (-7.38%), 20 Nov 2007 (-5.01%), 04 Dec 2007 (9.83%)
2006120 Jun 2006 (16.54%)
2005402 Feb 2005 (-4.77%), 09 Mar 2005 (-4.01%), 30 Mar 2005 (7.88%), 08 Nov 2005 (10.78%)
2004423 Mar 2004 (10.93%), 26 May 2004 (11.96%), 05 Jul 2004 (-4.32%), 16 Nov 2004 (6.1%)
2003307 Feb 2003 (-4.44%), 22 Mar 2003 (-4.37%), 02 Apr 2003 (-5.56%)
2002431 May 2002 (13.47%), 03 Jul 2002 (-4.82%), 09 Aug 2002 (11.27%), 16 Oct 2002 (-5.72%)
2001416 Mar 2001 (-14.25%), 20 Apr 2001 (-14.23%), 03 Jul 2001 (-8.51%), 12 Oct 2001 (-8.62%)
2000611 Apr 2000 (-10.0%), 08 May 2000 (-13.26%), 25 May 2000 (32.22%), 06 Jul 2000 (-9.29%), 17 Aug 2000 (15.74%), 02 Nov 2000 (-8.15%)
1999121 Dec 1999 (66.06%)
1998118 Dec 1998 (8.05%)
1997714 Feb 1997 (-3.79%), 29 Apr 1997 (7.65%), 11 Sep 1997 (-4.75%), 01 Oct 1997 (-4.04%), 03 Dec 1997 (-5.44%), 24 Dec 1997 (-4.69%), 31 Dec 1997 (10.41%)
1996523 Jan 1996 (-5.08%), 30 Jan 1996 (9.8%), 23 Aug 1996 (8.33%), 26 Aug 1996 (8.69%), 12 Dec 1996 (12.02%)
1995101 Dec 1995 (-4.27%)



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