Study: Buy BOSCHLTD 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 BOSCHLTD 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 BOSCHLTD 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
113157.581881044.443317.155815.81-1337.96-4081.72.481.980.093730.98
218099.011899503593.4611407.54-1582.46-3038.182.272.270.0981005.5
341534.271814477.783791.8712814.08-2887.99-3377.911.314.60.182307.46
456434.531814477.785227.8814222.48-4188.94-8512.011.254.370.183135.25
531871.761881044.445783.68688.37-1439.7-5618.194.023.210.141770.65
627429.71811761.114538.677549.15-3213.66-6564.791.412.220.121523.87
741209.491812666.674703.319792.82-2538.38-6303.291.853.710.192289.42
843360.861812666.676352.8311675.57-5478.85-13960.21.162.320.132408.94
937309.411812666.676038.5511431.38-5858.86-17912.351.032.060.12072.74
1041054.131813572.225827.5913417.09-6940.9-19830.670.842.180.12280.78

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 4.6. Strategy is very good and impressively bullish. Percentage of profitable trades is 77.78%, which is excellent. Average return per trade is 1.15%, which is not very high, but percentage of profitable trades compensates for it.
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.
BOSCHLTD Performance, X=3, Profit Factor:4.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016318 Feb 2016 (2.86%), 07 Oct 2016 (-1.43%), 29 Nov 2016 (0.94%)
2015313 May 2015 (1.79%), 22 Jun 2015 (0.78%), 01 Dec 2015 (-1.69%)
2014120 Feb 2014 (5.13%)
2013214 Mar 2013 (0.2%), 19 Jul 2013 (-1.19%)
2012117 Sep 2012 (0.31%)
2011417 Feb 2011 (0.1%), 17 Oct 2011 (-1.47%), 04 Nov 2011 (1.32%), 30 Dec 2011 (1.81%)
2010128 Dec 2010 (1.23%)
2008308 Jul 2008 (0.04%), 03 Nov 2008 (6.41%), 04 Dec 2008 (3.63%)

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-1341534.271814477.783791.8712814.08-2887.99-3377.911.314.60.182307.46
atrtrail26.5332420.561910952.636530.2812428.36-3653.58-5561.921.791.990.0991706.35
atrtrail36.9522026.251910952.635490.8413112.78-3653.58-5561.921.51.670.0671159.28
atrnil29.8413086.641991047.379259.8414649.93-7025.19-15712.151.321.190.027688.77
atrnil313.269457.661961331.5815172.3621974.9-6275.11-15712.152.421.120.016497.77
atrtrail-17.32-726.041991047.373642.599053.24-3350.94-5561.921.090.98-0.0031-38.21

In the table above, row 1 shows the best exit criterion. Profit factor is 4.6. Strategy is very good and impressively bullish. Percentage of profitable trades is 77.78%, which is excellent. Average return per trade is 1.15%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.