Study: Sell AJANTPHARM when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
1-42626.3733141942.424116.039184.85-5276.36-46376.810.780.57-0.033-1291.71
2-43204.3533171651.525699.7716577.06-8756.28-44927.540.650.69-0.027-1309.22
3-67297.4633171651.526319.3317204.3-10920.38-47826.090.580.61-0.038-2039.32
4-17989.1933171651.528827.5526881.72-10503.6-28943.760.840.89-0.01-545.13
5-23410.9233171651.529854.2428590.6-11933.32-55072.460.830.88-0.011-709.42
6-35021.0433151845.4512474.4833794.18-12341.01-31884.061.010.84-0.016-1061.24
710653.0733141942.4214750.3438457.83-10307.98-26956.521.431.050.0048322.82
893521.7333171651.5216040.3467180.72-11197.75-31884.061.431.520.0352833.99
93878.3433191457.5811291.0644337.35-15046.55-37440.330.751.020.0016117.53
10-43094.4933181554.5511587.4549638.55-16777.91-39921.340.690.83-0.016-1305.89
Although, strategy looks good but profit factor on day 1 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
atrtrail24.03-55831.92369272519268.9739354.11-8490.84-21013.482.270.76-0.027-1550.89
atrtrail34.61-56901.3369272519150.1559031.16-8490.84-21013.482.260.75-0.024-1580.59
atrnil38.06-77156.193472720.5930593.359031.16-10789.23-21013.482.840.74-0.029-2269.3
atrtrail-15.17-77099.2369272516905.9448455.55-8490.84-21013.481.990.66-0.036-2141.64
atrnil25.47-97556.863492526.4719570.9739354.11-10947.82-21013.481.790.64-0.046-2869.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.78%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, Profit Factor:0.756

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018225 Jan 2018 (5.96%), 24 Oct 2018 (-3.5%)
2017621 Feb 2017 (-1.04%), 29 May 2017 (-4.03%), 07 Jun 2017 (-1.93%), 20 Jun 2017 (-1.35%), 12 Jul 2017 (5.52%), 06 Dec 2017 (-3.36%)
2016308 Jan 2016 (6.31%), 18 Mar 2016 (-3.33%), 16 Dec 2016 (6.22%)
2015420 Mar 2015 (-5.33%), 27 Apr 2015 (-0.68%), 09 Dec 2015 (-3.37%), 10 Dec 2015 (-1.4%)
2014117 Dec 2014 (-0.6%)
2013212 Apr 2013 (-6.84%), 29 Jul 2013 (11.39%)
2011322 Jun 2011 (-4.19%), 03 Aug 2011 (8.74%), 15 Nov 2011 (7.94%)
2010129 Oct 2010 (-3.32%)
2008110 Jan 2008 (19.68%)
2007212 Feb 2007 (-6.3%), 24 Sep 2007 (-3.75%)
2006301 Feb 2006 (-2.14%), 15 May 2006 (-6.83%), 18 Oct 2006 (-3.97%)
2002226 Apr 2002 (-7.12%), 21 May 2002 (-10.51%)
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%)



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