Study: Sell ADANIPORTS when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ADANIPORTS when RSI is below 50 and there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ADANIPORTS 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. buy 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
110434.4561313050.824113.819867.01-3903.12-12849.361.051.090.0097171.06
235908.7261283345.97393.1228796.43-5184.81-25791.431.431.210.021588.67
329623.8461313050.828089.9724557.97-7372.18-22408.441.11.130.014485.64
461023.8661332854.19111.2738382.94-8558.85-27455.181.061.250.0241000.39
531788.8861303149.1810193.2637796.53-8839-26877.721.151.120.012521.13
631882.9361313050.8210666.6142256.77-9959.4-30514.391.071.110.011522.67
77767.4861273444.2612638.1242718.79-9807.7-37925.021.291.020.0025127.34
8-26297.7261273444.2612501.1641172.81-10700.85-38971.231.170.93-0.0082-431.11
966999.4861283345.914334.9246100.86-10132.68-31299.041.411.20.021098.35
1096205.2361283345.914709.2246841.4-9565.24-34218.921.541.30.0291577.13
Although, strategy looks good but profit factor on day 8 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
atrtrail35.2114588566254137.8816167.2936097.19-6299.92-11396.772.571.560.052210.39
atrtrail-15.8591336.5565244136.9214390.7237656.04-6196.11-11396.772.321.360.0341405.18
atrtrail24.4988671.6968264238.2413554.742360.53-6279.77-11396.772.161.340.0331304
atrnil26.1536019.3267244335.8216058.3142360.53-8125.12-13040.641.981.10.012537.6
atrnil38.11-79791.3965164924.6221114.9231023.86-8523.06-21180.272.480.81-0.027-1227.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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.
ADANIPORTS Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 Jan 2019 (7.22%), 27 Feb 2019 (-4.14%), 19 Jul 2019 (7.53%)
2018707 Mar 2018 (-3.63%), 08 Mar 2018 (5.3%), 17 May 2018 (7.38%), 15 Jun 2018 (0.16%), 07 Aug 2018 (-2.08%), 04 Sep 2018 (-2.82%), 21 Sep 2018 (12.15%)
2017710 Mar 2017 (-2.77%), 12 Apr 2017 (-0.74%), 23 May 2017 (-3.27%), 24 May 2017 (-3.28%), 10 Aug 2017 (-1.67%), 26 Sep 2017 (2.01%), 13 Nov 2017 (1.18%)
2016607 Jan 2016 (8.52%), 11 Feb 2016 (-1.04%), 05 Apr 2016 (-0.05%), 04 May 2016 (14.18%), 28 Jun 2016 (-3.14%), 21 Dec 2016 (1.91%)
2015723 Feb 2015 (-3.91%), 22 Apr 2015 (-1.06%), 28 May 2015 (10.35%), 27 Jul 2015 (-2.64%), 12 Aug 2015 (-2.78%), 28 Oct 2015 (9.4%), 08 Dec 2015 (1.06%)
2014130 Apr 2014 (-3.72%)
2013523 May 2013 (-4.33%), 17 Jul 2013 (9.22%), 20 Aug 2013 (-1.9%), 25 Oct 2013 (-4.04%), 12 Dec 2013 (-2.62%)
2012702 Jan 2012 (-5.7%), 07 Feb 2012 (-4.32%), 27 Apr 2012 (-1.79%), 15 Jun 2012 (-4.07%), 12 Jul 2012 (2.96%), 22 Aug 2012 (3.28%), 16 Oct 2012 (-3.77%)
2011911 Jan 2011 (-3.01%), 02 Feb 2011 (11.61%), 03 Mar 2011 (15.51%), 04 Mar 2011 (-3.06%), 12 Jul 2011 (-3.23%), 22 Sep 2011 (-4.63%), 04 Oct 2011 (-5.22%), 11 Nov 2011 (-4.52%), 14 Nov 2011 (13.34%)
2010522 Jul 2010 (-1.89%), 14 Oct 2010 (1.09%), 11 Nov 2010 (10.85%), 09 Dec 2010 (-5.49%), 28 Dec 2010 (-4.92%)
2009511 Aug 2009 (-0.74%), 02 Sep 2009 (-4.72%), 03 Sep 2009 (-4.56%), 10 Sep 2009 (-2.85%), 23 Oct 2009 (-1.13%)
2008407 Mar 2008 (14.69%), 21 Aug 2008 (-3.92%), 12 Sep 2008 (13.15%), 29 Oct 2008 (18.05%)



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