Study: Sell ANDHRABANK 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 ANDHRABANK 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 ANDHRABANK 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
116545.0420128603772.418274.4-3590.48-8325.361.051.580.045827.25
2-16531.0220119554030.1110254.6-6762.47-14981.270.60.73-0.031-826.55
3-5100.4320119556441.7117048.35-8439.91-28131.420.760.93-0.0063-255.02
42031.2920812409357.1918801.84-6068.85-13464.341.541.030.0026101.56
5-20752.79207133512173.9924356.22-8151.59-13483.151.490.8-0.022-1037.64
6-128802010105010247.8627281.11-11535.86-20973.780.890.89-0.012-644
72560.18209114512153.1929677.42-9710.77-27715.361.251.020.0023128.01
8-18177.87207133512105.7325806.45-7916.77-25468.161.530.82-0.018-908.89
9-31608.36207133511993.8225806.45-8889.62-23970.041.350.73-0.031-1580.42
10-20074.91208124010299.8725643.78-8539.49-24719.11.210.8-0.021-1003.75

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.58. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.

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-1116545.0420128603772.418274.4-3590.48-8325.361.051.580.045827.25
atrtrail34.1925319.922171433.3316244.9630893.39-6313.91-13164.012.571.290.0231205.71
atrtrail23.817687.292171433.3313726.0120595.6-6313.91-13164.012.171.090.0085366.06
atrnil25.14-5684.492171433.3315885.1420595.6-8348.61-15499.971.90.95-0.0055-270.69
atrnil37.38-10648.272151623.8124274.5430893.39-8251.31-15499.972.940.92-0.0086-507.06
atrtrail-14.67-14011.752171433.3310626.1521948.54-6313.91-13164.011.680.84-0.017-667.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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 using the best exit criterion.
ANDHRABANK Performance, X=1, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018229 Jan 2018 (1.84%), 07 Mar 2018 (-0.25%)
2017123 Jun 2017 (3.95%)
2016211 Feb 2016 (3.24%), 20 Dec 2016 (-0.41%)
2012128 Aug 2012 (0.98%)
2011507 Jan 2011 (4.14%), 13 Sep 2011 (0.33%), 05 Oct 2011 (-1.73%), 24 Oct 2011 (0.57%), 13 Dec 2011 (0.38%)
2010128 Jul 2010 (-2.11%)
2009107 Aug 2009 (2.26%)
2007126 Jul 2007 (2.83%)
2005224 Mar 2005 (-4.16%), 08 Aug 2005 (1.4%)
2004221 Jan 2004 (0.72%), 21 Jun 2004 (-0.25%)
2002125 Oct 2002 (-3.0%)
2001113 Nov 2001 (-2.45%)



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