Study: Buy MARICO when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > marico > 64

In this study, we evaluate the performance of strategy "Buy MARICO 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 MARICO 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
1-4316.991981142.111677.163916.08-1612.21-9972.31.040.76-0.024-227.21
212561.841991047.374646.0310602.41-2925.24-14589.11.591.430.037661.15
341235.81912763.165160.9219871.21-2956.46-7940.91.752.990.12170.31
425504.491991047.376321.9911389.47-3139.34-13481.072.011.810.0671342.34
544937.661911857.897659.4117831.33-4914.48-18836.571.562.140.0862365.14
660766.751914573.687211.0517831.33-8037.59-15697.140.92.510.123198.25
762694.191912763.168953.7421204.82-6392.96-13296.41.42.40.113299.69
843257.841913668.427642.8417349.4-9349.85-14035.090.821.770.0772276.73
967694.691911857.8910278.2321475.26-5670.73-14589.11.812.490.113562.88
1092329.391913668.429402.4818860.88-4983.81-13481.071.894.090.174859.44
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MARICO Performance, X=10, Profit Factor:4.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016224 Nov 2016 (4995.0), 28 Dec 2016 (8549.74)
2015114 Sep 2015 (-1959.82)
2014121 Mar 2014 (6165.7)
2013212 Mar 2013 (-4766.27), 08 Jul 2013 (4811.82)
2011205 Oct 2011 (9702.01), 23 Dec 2011 (12081.01)
2010216 Feb 2010 (11434.3), 21 Dec 2010 (-2085.0)
2008701 Feb 2008 (-5073.02), 04 Mar 2008 (-2537.67), 19 Mar 2008 (18152.61), 04 Jun 2008 (6151.42), 18 Jul 2008 (919.96), 23 Oct 2008 (-13481.07), 19 Nov 2008 (5010.02)
2007113 Mar 2007 (18860.88)
2006119 Jun 2006 (15397.78)

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
atrnil257.38272540139469.2333294.94169521-6778.64-8343.144.9111.050.1420964.61
atrnil380.6735625212665065710.78254282-6335.4-8343.1410.3710.370.1229687.69
atrtrail26.5577372.3722121054.5512969.8940688.62-7826.63-12533.841.661.990.0783516.93
atrtrail37.7752606.722121054.5510906.0830667.93-7826.63-12533.841.391.670.0592391.21
atrtrail-18.4130338.2122121054.559050.3830667.93-7826.63-12533.841.161.390.0381379.01

In the table above, row 1 shows the best exit criterion. Profit factor is 11.05. Strategy is very good and impressively bullish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 10.48%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:11.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016224 Nov 2016 (-6887.16), 28 Dec 2016 (10087.81)
2015114 Sep 2015 (-6869.44)
2014121 Mar 2014 (7996.46)
2013212 Mar 2013 (-5014.83), 08 Jul 2013 (13799.18)
2011303 Jan 2011 (14347.29), 05 Oct 2011 (15013.79), 23 Dec 2011 (13184.45)
2010216 Feb 2010 (15015.74), 21 Dec 2010 (-8343.14)
2007113 Mar 2007 (169521.15)
2006119 Jun 2006 (40688.62)



View performance of other stocks for this trading system.