Study: Buy VEDL 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 VEDL 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 VEDL 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
110295.86125741.676291.7618153.85-3023.28-7093.822.081.490.088857.99
210049.56125741.676528.7915487.18-3227.77-7217.852.021.440.085837.46
318607.8127558.336770.317746.37-5756.86-7709.971.181.650.131550.65
425674.6312665010068.2215312.13-5789.11-10983.731.741.740.162139.55
566881.87127558.3312177.2625284.65-3671.79-8357.993.324.640.365573.49
688114.78128466.6712193.0825972.54-2357.47-3624.265.1710.340.497342.9
790663.931210283.3310191.1433451.12-5623.74-7474.521.819.060.467555.33
81389431210283.3314833.5850961.92-4696.49-7248.023.1615.790.5211578.57
914467012937517999.1456851.2-5774.19-9326.663.129.350.4512055.81
1013550412937517457.9957557.91-7206.12-11919.932.427.270.4211291.96
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
VEDL Performance, X=8, Profit Factor:15.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017506 Jan 2017 (5.98%), 20 Feb 2017 (-1.07%), 24 Mar 2017 (1.24%), 17 Aug 2017 (0.25%), 01 Sep 2017 (3.86%)
2016718 Apr 2016 (6.46%), 30 May 2016 (5.92%), 29 Jun 2016 (25.48%), 22 Aug 2016 (-3.62%), 28 Sep 2016 (14.16%), 01 Nov 2016 (4.55%), 28 Nov 2016 (6.28%)

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
atrnil36.8341169.7124833.3324064.8726477.17-6886.22-9289.723.491.750.153430.81
atrtrail-15.6229936.03136746.1512397.9947289.57-6350.27-7002.951.951.670.112302.77
atrnil25.3120565.67135838.4615131.0917651.45-6886.22-9289.722.21.370.0961581.97
atrtrail24.3115328.7136746.159963.4317651.45-6350.27-7002.951.571.340.0841179.13
atrtrail357831.71136746.158713.9325185.24-6350.27-7002.951.371.180.043602.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.75. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.72%, which is not very high, 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.
VEDL Performance, Profit Factor:1.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017506 Jan 2017 (10.26%), 20 Feb 2017 (-3.42%), 02 Mar 2017 (-3.28%), 24 Mar 2017 (-2.87%), 17 Aug 2017 (-3.21%)
2016718 Apr 2016 (13.24%), 30 May 2016 (12.04%), 29 Jun 2016 (12.59%), 22 Aug 2016 (-3.5%), 28 Sep 2016 (-3.44%), 01 Nov 2016 (-3.18%), 28 Nov 2016 (-4.64%)



View performance of other stocks for this trading system.