Study: Sell ANDHRABANK 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 ANDHRABANK 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 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
1-4569.9766283842.424807.1317255.72-3662.36-11966.821.310.97-0.003-69.24
2-60227.2166293743.944498.5912594.7-5153.68-20603.910.870.68-0.036-912.53
3-57311.9266303645.455217.3213920.45-5939.76-23550.720.880.73-0.029-868.36
4-12078966273940.915807.8317897.73-7117.96-22463.770.820.56-0.054-1830.14
5-88770.9866293743.947067.2829261.36-7938.43-35036.50.890.7-0.032-1345.01
6-10768266273940.918939.9338116.39-8950.26-48175.1810.69-0.031-1631.54
7-51762.8366283842.4211480.9255886.27-9821.8-41849.151.170.86-0.013-784.29
8-93567.6366303645.4511128.9834473.57-11873.25-46715.330.940.78-0.023-1417.69
9-49264.4266313546.9712544.6144780.1-12518.49-4330910.89-0.011-746.43
10-89212.5866313546.9713849.0848202.61-14815.26-50252.950.930.83-0.018-1351.71

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 42.42%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.

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-11-4569.9766283842.424807.1317255.72-3662.36-11966.821.310.97-0.003-69.24
atrnil37.27-11910274155920.2725561.5935036.29-8517.39-14552.1630.76-0.028-1609.49
atrnil25.51-13152074195525.6817502.2525966.96-8437.5-14552.162.070.72-0.037-1777.3
atrtrail23.92-10772274215328.3810383.3423357.52-6146.64-13363.91.690.67-0.039-1455.7
atrtrail34.22-10957074215328.3810295.3233241.07-6146.64-13363.91.670.66-0.038-1480.68
atrtrail-14.43-11953774215328.389820.7340824.98-6146.64-13363.91.60.63-0.042-1615.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 42.42%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ANDHRABANK Performance, X=1, Profit Factor:0.967

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017616 Feb 2017 (0.37%), 23 Mar 2017 (-2.81%), 19 Apr 2017 (-2.45%), 15 May 2017 (-2.91%), 29 Sep 2017 (-0.36%), 08 Nov 2017 (-0.08%)
2016208 Apr 2016 (-2.51%), 19 Jul 2016 (-0.93%)
2015108 Jan 2015 (-1.43%)
2014513 Jan 2014 (-0.48%), 16 Apr 2014 (-2.45%), 12 Jun 2014 (5.04%), 20 Nov 2014 (-0.78%), 09 Dec 2014 (-5.98%)
2013215 Jan 2013 (2.56%), 18 Nov 2013 (0.08%)
2012524 Feb 2012 (5.26%), 15 Mar 2012 (1.44%), 04 Jul 2012 (-0.85%), 10 Oct 2012 (-1.58%), 21 Dec 2012 (-0.75%)
2011113 Apr 2011 (0.74%)
2010714 May 2010 (1.69%), 11 Jun 2010 (-0.51%), 29 Jul 2010 (-2.03%), 27 Aug 2010 (1.14%), 23 Sep 2010 (-1.69%), 08 Oct 2010 (-1.8%), 05 Nov 2010 (1.07%)
2009505 Jun 2009 (5.46%), 26 Aug 2009 (-0.06%), 05 Oct 2009 (-1.35%), 29 Oct 2009 (0.18%), 13 Nov 2009 (-0.65%)
2008411 Jan 2008 (-3.55%), 13 May 2008 (-0.12%), 18 Sep 2008 (-4.79%), 22 Dec 2008 (1.99%)
2007408 May 2007 (-1.67%), 24 May 2007 (1.53%), 05 Oct 2007 (8.63%), 18 Dec 2007 (1.54%)
2006227 Jan 2006 (2.67%), 28 Aug 2006 (-1.63%)
2005416 Feb 2005 (2.06%), 23 Mar 2005 (1.28%), 05 Aug 2005 (4.97%), 26 Sep 2005 (-1.0%)
2004509 Jan 2004 (-1.09%), 30 Apr 2004 (2.21%), 12 Oct 2004 (1.09%), 16 Dec 2004 (0.98%), 30 Dec 2004 (-5.86%)
2003903 Jan 2003 (3.41%), 28 Jan 2003 (-3.68%), 28 Feb 2003 (-2.74%), 22 Apr 2003 (3.4%), 20 May 2003 (-4.08%), 03 Jun 2003 (-2.84%), 01 Aug 2003 (0.86%), 23 Oct 2003 (-2.07%), 06 Nov 2003 (0.44%)
2002328 Feb 2002 (-0.0%), 08 May 2002 (-0.0%), 25 Jun 2002 (5.21%)
2001105 Nov 2001 (-0.0%)



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