Study: Buy ALBK 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 ALBK 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 ALBK 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
135764.37149564.295412.9619113.57-2590.45-8315.722.093.760.112554.6
263420.11410471.437262.0224000-2300.02-5019.543.167.890.154530.01
31019081411378.5710118.637430.17-3132.18-50743.2311.850.177279.15
41066951410471.431246730726.26-4493.74-7982.952.776.940.187621.07
51058171410471.4311305.9740997.23-1810.69-3657.146.2415.610.187558.36
61353721413192.8611169.8342105.26-9836.07-9836.071.1414.760.229669.4
7126957149564.2917464.2444690.67-6044.15-9962.172.895.20.169068.38
845571.28149564.2912550.3636934.44-13476.39-29028.570.931.680.0543255.09
98717.51148657.1415100.3143490.3-18680.83-55771.430.811.080.0075622.68
1020281.52148657.1414601.8333610.34-16088.85-336000.911.210.0211448.68

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 15.61. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 3.78%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ALBK Performance, X=5, Profit Factor:15.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014225 Apr 2014 (3.9%), 16 May 2014 (20.5%)
2011101 Dec 2011 (-0.5%)
2010420 Apr 2010 (1.28%), 09 Sep 2010 (2.81%), 06 Oct 2010 (-0.16%), 25 Oct 2010 (-1.12%)
2009116 Oct 2009 (2.44%)
2006203 May 2006 (11.46%), 14 Sep 2006 (3.34%)
2004304 May 2004 (-1.83%), 08 Nov 2004 (4.84%), 23 Dec 2004 (3.45%)
2003126 May 2003 (2.51%)

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
nilnil-151058171410471.4311305.9740997.23-1810.69-3657.146.2415.610.187558.36
atrtrail34.0662902.15167943.7514136.7533198.47-4006.12-7237.613.532.740.0843931.38
atrnil35.684853.915694025105.7333198.47-7308.94-9972.363.432.290.0935656.93
atrtrail-14.4445494.34167943.7511649.9230304.38-4006.12-7237.612.912.260.072843.4
atrnil24.6970166.2916885015942.9322132.31-7172.14-9972.362.222.220.0994385.39
atrtrail23.7542355.24167943.7511201.4722132.31-4006.12-7237.612.82.170.0762647.2

In the table above, row 1 shows the best exit criterion. Profit factor is 15.61. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 3.78%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.