Study: Sell AJANTPHARM 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 AJANTPHARM 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 AJANTPHARM 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
1-53007.2197475048.453857.611694.15-4686.29-46376.810.820.77-0.018-546.47
2-82227.5997494850.524952.5417402.53-6768.79-44927.540.730.75-0.023-847.71
3-11469897435444.335465.1917204.3-6475.95-47826.090.840.67-0.032-1182.45
4-82707.1197455246.397169.1826881.72-7794.62-28943.760.920.8-0.02-852.65
5-50685.1597445345.368965.5228590.6-8399.4-55072.461.070.89-0.01-522.53
6-66995.7797435444.3310435.3233794.18-9550.27-39787.491.090.87-0.013-690.68
7-18159296395740.6211420.9238457.83-11000.14-49577.461.040.71-0.03-1891.58
8-66509.2196435344.7912315.1767180.72-11246.44-42030.71.10.89-0.0099-692.8
9-20721596425443.7511686.4444337.35-12926.76-38435.860.90.7-0.032-2158.49
10-26413196425443.7511293.4949638.55-13675.13-41014.080.830.64-0.039-2751.36
Although, strategy looks good but profit factor on day 3 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
atrtrail24.26-250046107258223.3614486.2639354.11-7465.88-21013.481.940.59-0.05-2336.88
atrnil26.01-396766103228121.3619817.0739354.11-10280.76-23209.131.930.52-0.068-3852.09
atrtrail34.54-305870106238321.713913.2159031.16-7540.65-21013.481.850.51-0.059-2885.57
atrnil37.84-458650101148713.8630689.6259031.16-10210.4-23209.133.010.48-0.07-4541.09
atrtrail-14.9-350594106238321.711968.6848455.55-7540.65-21013.481.590.44-0.076-3307.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.59. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, Profit Factor:0.592

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019604 Jan 2019 (-3.45%), 10 Apr 2019 (-2.79%), 22 Apr 2019 (-2.49%), 30 Apr 2019 (-2.78%), 16 May 2019 (-0.64%), 06 Jun 2019 (6.32%)
2018725 Jan 2018 (5.96%), 07 Mar 2018 (-3.25%), 13 Apr 2018 (-2.77%), 02 Jul 2018 (-4.1%), 17 Jul 2018 (-2.28%), 24 Oct 2018 (-3.5%), 06 Dec 2018 (2.41%)
2017924 Jan 2017 (-0.02%), 21 Feb 2017 (-1.04%), 30 Mar 2017 (-0.44%), 29 May 2017 (-4.03%), 07 Jun 2017 (-1.93%), 20 Jun 2017 (-1.35%), 12 Jul 2017 (5.52%), 28 Sep 2017 (-2.82%), 06 Dec 2017 (-3.36%)
2016608 Jan 2016 (6.31%), 17 Feb 2016 (-3.88%), 18 Mar 2016 (-3.33%), 23 May 2016 (-1.47%), 03 Nov 2016 (0.74%), 16 Dec 2016 (6.22%)
2015823 Jan 2015 (-3.66%), 05 Feb 2015 (-4.39%), 20 Mar 2015 (-5.33%), 27 Apr 2015 (-0.68%), 24 Jul 2015 (-2.97%), 04 Nov 2015 (6.45%), 09 Dec 2015 (-3.37%), 10 Dec 2015 (-1.4%)
2014327 Jan 2014 (-3.81%), 02 May 2014 (-2.66%), 17 Dec 2014 (-0.6%)
2013212 Apr 2013 (-6.84%), 29 Jul 2013 (11.39%)
2012206 Nov 2012 (7.37%), 27 Dec 2012 (-3.32%)
20111011 Jan 2011 (-4.21%), 12 Jan 2011 (8.96%), 08 Feb 2011 (2.09%), 25 Feb 2011 (-6.46%), 15 Mar 2011 (-4.57%), 22 Jun 2011 (-4.19%), 03 Aug 2011 (8.74%), 22 Sep 2011 (-0.45%), 15 Nov 2011 (7.94%), 12 Dec 2011 (-4.05%)
2010129 Oct 2010 (-3.32%)
2009512 Jan 2009 (-6.22%), 18 Feb 2009 (-1.85%), 24 Mar 2009 (-3.77%), 07 Oct 2009 (-2.95%), 30 Oct 2009 (-0.44%)
2008510 Jan 2008 (19.68%), 10 Mar 2008 (5.38%), 23 Jun 2008 (15.62%), 16 Sep 2008 (-1.69%), 21 Nov 2008 (-6.28%)
2007512 Feb 2007 (-6.3%), 26 Mar 2007 (-3.46%), 24 Sep 2007 (-3.75%), 06 Nov 2007 (-4.25%), 30 Nov 2007 (13.67%)
2006701 Feb 2006 (-2.14%), 15 May 2006 (-6.83%), 19 Jul 2006 (-7.46%), 31 Jul 2006 (-2.37%), 18 Oct 2006 (-3.97%), 11 Dec 2006 (-4.31%), 12 Dec 2006 (-4.56%)
2005522 Feb 2005 (-0.72%), 22 Mar 2005 (2.61%), 18 Apr 2005 (-4.17%), 24 Aug 2005 (-4.63%), 15 Dec 2005 (-2.0%)
2004204 Mar 2004 (6.34%), 12 Jul 2004 (-5.63%)
2003324 Jan 2003 (1.13%), 07 Mar 2003 (10.27%), 20 Nov 2003 (-2.84%)
20021111 Mar 2002 (1.11%), 26 Mar 2002 (-5.24%), 04 Apr 2002 (-6.91%), 26 Apr 2002 (-7.12%), 21 May 2002 (-10.51%), 21 Jun 2002 (-5.89%), 16 Jul 2002 (-3.13%), 29 Aug 2002 (-4.98%), 30 Aug 2002 (-5.14%), 04 Oct 2002 (-7.63%), 28 Oct 2002 (-2.44%)
2001608 Mar 2001 (-3.57%), 08 May 2001 (14.96%), 25 Jun 2001 (-3.31%), 06 Aug 2001 (-7.54%), 25 Sep 2001 (-9.37%), 09 Nov 2001 (-5.94%)
2000422 Sep 2000 (-2.26%), 30 Oct 2000 (-2.34%), 14 Nov 2000 (3.9%), 06 Dec 2000 (-2.19%)



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