Study: Sell ADANIPOWER 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 ADANIPOWER 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 ADANIPOWER 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
111479861362559.026774.3637029.5-5163.14-21768.711.311.890.0671881.94
216086661402165.577970.1230769.23-7520.91-34353.741.062.020.0812637.14
313535260342656.679779.6424679.49-7582.92-36734.691.291.690.0652255.86
488226.886033275510520.8531906.61-9591.16-39455.781.11.340.0361470.45
568294.0960312951.6712014.8734500.65-10488.51-30703.621.151.220.0251138.23
674641.9160322853.3313852.2138250.25-13165.32-58848.611.051.20.0231244.03
714198560312951.6716252.5946388.61-12477.42-40298.511.31.390.0412366.42
814829160283246.6717569.4545167.85-10739.16-33901.921.641.430.0452471.52
91385946030305018381.9650457.78-13762.14-43070.361.341.340.0362309.91
1040142.4260322853.3316754.2155137.33-17714.01-57967.910.951.080.0095669.04

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.02. 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 65.57%, which is good. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
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.
ADANIPOWER Performance, X=2, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Jan 2019 (12.21%), 26 Apr 2019 (8.16%), 17 Jun 2019 (0.11%), 01 Oct 2019 (2.67%), 13 Nov 2019 (3.95%)
2018417 Jan 2018 (6.63%), 07 Mar 2018 (7.12%), 11 May 2018 (7.76%), 27 Jun 2018 (0.92%)
2017511 Apr 2017 (11.56%), 25 May 2017 (6.81%), 22 Sep 2017 (0.82%), 15 Nov 2017 (-6.53%), 04 Dec 2017 (2.96%)
2016614 Jan 2016 (15.38%), 29 Mar 2016 (-17.18%), 24 Jun 2016 (-5.73%), 11 Jul 2016 (-0.34%), 28 Sep 2016 (8.96%), 04 Nov 2016 (-2.17%)
2015605 Feb 2015 (2.21%), 10 Mar 2015 (-1.05%), 20 Apr 2015 (0.44%), 28 May 2015 (3.11%), 13 Aug 2015 (-2.7%), 08 Dec 2015 (2.73%)
2014502 Jan 2014 (0.67%), 09 Jul 2014 (2.17%), 26 Aug 2014 (4.45%), 24 Sep 2014 (3.43%), 21 Nov 2014 (0.44%)
2013921 Mar 2013 (3.64%), 13 May 2013 (-3.41%), 07 Jun 2013 (3.63%), 31 Jul 2013 (9.13%), 27 Sep 2013 (3.48%), 28 Oct 2013 (0.31%), 13 Nov 2013 (-4.95%), 28 Nov 2013 (-5.69%), 17 Dec 2013 (-0.96%)
2012427 Feb 2012 (-4.05%), 24 Apr 2012 (4.51%), 17 Jul 2012 (1.51%), 27 Aug 2012 (3.08%)
20111011 Jan 2011 (-0.69%), 09 Feb 2011 (-1.34%), 25 Feb 2011 (1.52%), 25 Apr 2011 (1.61%), 09 Jun 2011 (1.2%), 11 Jul 2011 (-2.09%), 29 Jul 2011 (-3.78%), 05 Oct 2011 (2.12%), 11 Nov 2011 (5.04%), 20 Dec 2011 (0.22%)
2010607 May 2010 (-3.55%), 07 Jun 2010 (1.71%), 25 Jun 2010 (-3.12%), 13 Jul 2010 (-2.92%), 13 Oct 2010 (1.04%), 26 Nov 2010 (-4.3%)
2009116 Nov 2009 (-2.44%)

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
atrtrail-16.32942816432325015789.4448363.54-6593.16-17525.172.392.390.0974598.14
atrtrail35.0727222867333449.2515198.5737182.78-6744.85-17525.172.252.190.0934063.11
nilnil-1216086661402165.577970.1230769.23-7520.91-34353.741.062.020.0812637.14
atrtrail24.0624382169343549.2814254.828643.19-6881.22-17525.172.072.010.0933533.63
atrnil25.3618830269303943.4817807.6828643.19-8869.96-17525.172.011.540.0632729.02
atrnil39.1916293063204331.7527235.3937840.89-8878.55-17525.173.071.430.0472586.19

In the table above, row 1 shows the best exit criterion. Profit factor is 2.39. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.3%, which is very good. Sharpe Ratio is 0.097, 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.
ADANIPOWER Performance, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Jan 2019 (13.26%), 26 Apr 2019 (15.53%), 17 Jun 2019 (-5.49%), 01 Oct 2019 (-0.3%)
2018417 Jan 2018 (16.55%), 07 Mar 2018 (0.8%), 11 May 2018 (15.88%), 27 Jun 2018 (-1.09%)
2017511 Apr 2017 (15.68%), 25 May 2017 (1.48%), 22 Sep 2017 (0.31%), 15 Nov 2017 (-4.73%), 04 Dec 2017 (-1.22%)
2016714 Jan 2016 (9.4%), 29 Mar 2016 (-4.0%), 24 Jun 2016 (-3.63%), 11 Jul 2016 (8.57%), 28 Sep 2016 (5.92%), 04 Nov 2016 (-3.69%), 07 Nov 2016 (0.62%)
2015705 Feb 2015 (-1.9%), 10 Mar 2015 (7.84%), 20 Apr 2015 (3.5%), 28 May 2015 (24.18%), 13 Aug 2015 (-4.5%), 20 Aug 2015 (13.6%), 08 Dec 2015 (0.11%)
2014602 Jan 2014 (10.58%), 09 Jul 2014 (-4.56%), 10 Jul 2014 (0.08%), 26 Aug 2014 (0.14%), 24 Sep 2014 (3.87%), 21 Nov 2014 (-3.76%)
2013921 Mar 2013 (-1.18%), 13 May 2013 (-4.23%), 07 Jun 2013 (20.35%), 31 Jul 2013 (3.82%), 27 Sep 2013 (-1.59%), 28 Oct 2013 (-4.35%), 13 Nov 2013 (-4.63%), 27 Nov 2013 (-4.37%), 17 Dec 2013 (-4.47%)
2012427 Feb 2012 (-8.76%), 24 Apr 2012 (20.29%), 17 Jul 2012 (5.72%), 27 Aug 2012 (-0.54%)
20111111 Jan 2011 (-2.59%), 09 Feb 2011 (-3.61%), 25 Feb 2011 (4.89%), 25 Apr 2011 (3.82%), 09 Jun 2011 (2.06%), 11 Jul 2011 (-2.18%), 29 Jul 2011 (-3.76%), 01 Aug 2011 (8.12%), 05 Oct 2011 (-2.54%), 11 Nov 2011 (9.37%), 20 Dec 2011 (3.73%)
2010607 May 2010 (-3.68%), 07 Jun 2010 (-1.2%), 25 Jun 2010 (-2.87%), 13 Jul 2010 (-2.87%), 13 Oct 2010 (2.59%), 26 Nov 2010 (-4.29%)
2009116 Nov 2009 (-2.93%)



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