Study: Sell ALBK when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ALBK when RSI is above 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 ALBK 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
119494.3267323547.765543.0816798.31-4510.97-13333.331.231.120.012290.96
2-78995.2267293843.286411.3825693.04-6971.71-21746.880.920.7-0.034-1179.03
3-11155167283941.795525.2218836.23-6827.11-23435.950.810.58-0.052-1664.94
4-17164167264138.816888.527354.53-8554.69-53623.190.810.51-0.056-2561.81
5-25989667293843.286276.4821715.66-11629.32-65797.10.540.41-0.067-3879.05
6-20335867323547.767377.2823755.25-12555.16-84057.970.590.54-0.048-3035.19
7-19444767283941.799856.8246055.27-12062.51-84057.970.820.59-0.044-2902.19
8-27284567293843.289519.3832671.58-14444.92-78550.720.660.5-0.058-4072.31
9-26395467293843.289986.834259.78-14567.67-51157.890.690.52-0.057-3939.61
10-31312467313646.2710151.7238457.18-17439.66-58840.580.580.5-0.063-4673.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.12. 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 47.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study.

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
nilnil-1119494.3267323547.765543.0816798.31-4510.97-13333.331.231.120.012290.96
atrnil25.89-19172374185624.3215947.221547.22-8549.52-13484.541.870.6-0.06-2590.86
atrtrail23.7-14048674215328.388897.3121547.22-6176.03-13484.541.440.57-0.056-1898.46
atrnil37.3-22966973126116.4424180.7528972.82-8521.93-13484.542.840.56-0.063-3146.14
atrtrail-14.4-14404973215228.778616.0738217.38-6249.74-13484.541.380.56-0.051-1973.27
atrtrail33.96-15281473215228.778198.6727378.59-6249.74-13484.541.310.53-0.059-2093.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 47.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
ALBK Performance, X=1, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Mar 2019 (3.4%)
2018106 Dec 2018 (3.9%)
2017416 Feb 2017 (0.35%), 18 Apr 2017 (0.62%), 18 May 2017 (0.9%), 10 Nov 2017 (2.94%)
2016508 Apr 2016 (-4.64%), 02 May 2016 (0.97%), 19 Jul 2016 (-0.13%), 29 Aug 2016 (-6.67%), 14 Sep 2016 (1.26%)
2015114 Aug 2015 (-5.82%)
2014413 Jan 2014 (-0.16%), 07 May 2014 (4.37%), 13 Jun 2014 (-2.01%), 15 Dec 2014 (5.23%)
2013411 Jan 2013 (-4.61%), 01 Oct 2013 (-3.64%), 17 Oct 2013 (-1.38%), 13 Nov 2013 (-2.01%)
2012224 Feb 2012 (8.4%), 09 Oct 2012 (3.29%)
2011111 Apr 2011 (-1.42%)
2010904 Feb 2010 (2.7%), 23 Mar 2010 (-1.64%), 16 Apr 2010 (-4.32%), 03 May 2010 (3.64%), 17 Jun 2010 (0.31%), 20 Aug 2010 (-2.61%), 21 Sep 2010 (-0.63%), 08 Oct 2010 (-2.05%), 12 Nov 2010 (-0.83%)
2009616 Jan 2009 (-4.84%), 08 Jun 2009 (-0.89%), 07 Aug 2009 (4.03%), 05 Oct 2009 (2.05%), 27 Oct 2009 (-1.8%), 27 Nov 2009 (1.19%)
2008211 Jan 2008 (-3.68%), 23 May 2008 (4.2%)
2007501 Jun 2007 (-0.12%), 27 Jul 2007 (-1.07%), 12 Nov 2007 (-3.97%), 28 Nov 2007 (2.77%), 17 Dec 2007 (-0.13%)
2006502 Feb 2006 (2.3%), 07 Sep 2006 (-2.07%), 11 Oct 2006 (-0.87%), 03 Nov 2006 (0.62%), 20 Nov 2006 (-0.38%)
2005510 Jan 2005 (6.15%), 28 Mar 2005 (3.31%), 06 Jun 2005 (-0.71%), 21 Jun 2005 (-0.87%), 05 Aug 2005 (3.17%)
2004722 Jan 2004 (-3.21%), 18 Feb 2004 (3.92%), 28 Apr 2004 (-4.2%), 30 Jul 2004 (0.81%), 20 Oct 2004 (2.3%), 13 Dec 2004 (-1.19%), 27 Dec 2004 (0.93%)
2003523 Apr 2003 (-1.39%), 22 May 2003 (-2.99%), 09 Jun 2003 (6.76%), 05 Aug 2003 (0.81%), 31 Oct 2003 (1.1%)



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