Study: Sell ARVIND 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 ARVIND 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 ARVIND 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
1-51169.17128537541.415047.7617468.81-4249.34-18952.881.190.84-0.014-399.76
2-123965128537541.415962.3321212.12-5866.25-22564.11.020.72-0.025-968.48
3-137491128596946.096522.9920226.06-7570.25-40341.880.860.74-0.023-1074.15
4-51650.98128666251.568096.1630323.68-9451.57-46153.850.860.91-0.0068-403.52
5-40428.83128686053.129425.2429229.12-11355.75-53864.730.830.94-0.0043-315.85
6-19844.38128705854.6910464.5550428.27-12971.77-65641.030.810.97-0.0019-155.03
7-58931.54128755358.5910293.5844004.28-15678.3-82828.280.660.93-0.0052-460.4
8-94217.17128656350.7811827.7437687.37-13698.73-65898.170.860.89-0.0084-736.07
9-33905.99128656350.7813192.6344633.73-14149.64-66666.670.930.96-0.0029-264.89
10230106128695953.9116245.03130250-15098.33-74074.071.081.260.0161797.7
Although, strategy looks good but profit factor on day 2 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
atrnil28.1271913130498137.6922248.06101765-10101.75-21250.532.21.330.0242091.64
atrnil310.26263974117358229.9131120.0858710.94-10063.77-21250.533.091.320.0232256.19
atrtrail24.86-41653.83141499234.7513903.334162.31-7857.78-19903.761.770.94-0.0049-295.42
atrtrail35.31-48162.2114049913513636.7651243.46-7872.12-19903.761.730.93-0.0053-344.02
atrtrail-15.64-193004138489034.7810371.5434979.99-7675.97-19235.051.350.72-0.027-1398.58

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 37.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
ARVIND Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jul 2019 (-7.45%), 13 Aug 2019 (-8.1%)
2018719 Jan 2018 (6.14%), 19 Mar 2018 (-3.53%), 15 May 2018 (6.37%), 27 Jun 2018 (-2.82%), 07 Aug 2018 (7.13%), 13 Nov 2018 (-4.38%), 28 Nov 2018 (50.88%)
2017715 Feb 2017 (-3.02%), 22 Mar 2017 (-2.68%), 12 May 2017 (5.77%), 27 Jun 2017 (-2.57%), 25 Jul 2017 (-2.27%), 21 Aug 2017 (-3.0%), 22 Sep 2017 (-2.79%)
2016307 Apr 2016 (-3.95%), 13 Jul 2016 (6.13%), 14 Dec 2016 (-4.06%)
2015608 Jan 2015 (-3.7%), 21 Apr 2015 (-4.03%), 07 May 2015 (-5.01%), 20 May 2015 (8.98%), 16 Jun 2015 (-4.91%), 26 Oct 2015 (-3.41%)
2014613 Mar 2014 (-3.73%), 10 Jul 2014 (-4.94%), 25 Jul 2014 (-4.73%), 11 Nov 2014 (-4.08%), 24 Nov 2014 (-3.54%), 09 Dec 2014 (8.62%)
2013722 Mar 2013 (-4.61%), 26 Apr 2013 (-4.76%), 14 May 2013 (-4.2%), 20 May 2013 (-4.32%), 13 Jun 2013 (-4.31%), 14 Jun 2013 (8.46%), 05 Aug 2013 (10.44%)
2012722 Feb 2012 (12.65%), 23 Mar 2012 (-5.94%), 10 May 2012 (11.7%), 05 Jun 2012 (-5.0%), 19 Jun 2012 (-4.78%), 17 Jul 2012 (8.28%), 22 Aug 2012 (6.95%)
2011510 Jan 2011 (-5.6%), 07 Mar 2011 (-5.97%), 18 Mar 2011 (-5.81%), 03 Aug 2011 (8.65%), 12 Dec 2011 (11.53%)
2010722 Feb 2010 (-4.44%), 15 Mar 2010 (-3.88%), 25 Mar 2010 (-4.38%), 20 Apr 2010 (-3.62%), 05 May 2010 (8.47%), 08 Jun 2010 (-4.48%), 16 Nov 2010 (10.91%)
2009407 Jan 2009 (-10.63%), 19 Feb 2009 (14.03%), 17 Aug 2009 (-6.13%), 26 Nov 2009 (-5.14%)
2008207 Mar 2008 (-9.62%), 22 Aug 2008 (11.73%)
2007609 Feb 2007 (8.69%), 12 Feb 2007 (-5.21%), 27 Apr 2007 (-4.21%), 14 May 2007 (-4.12%), 24 May 2007 (-4.06%), 06 Jun 2007 (-3.63%)
2006416 Mar 2006 (7.59%), 25 Apr 2006 (9.72%), 12 May 2006 (10.2%), 21 Jul 2006 (-8.33%)
2005515 Apr 2005 (-4.07%), 09 Aug 2005 (-3.32%), 22 Sep 2005 (-4.07%), 07 Oct 2005 (7.1%), 19 Dec 2005 (6.34%)
2004526 Feb 2004 (-7.18%), 30 Apr 2004 (-5.55%), 14 May 2004 (15.9%), 17 May 2004 (-9.95%), 14 Jun 2004 (-6.67%)
2003527 Jan 2003 (-4.46%), 10 Mar 2003 (8.61%), 25 Aug 2003 (-5.95%), 15 Sep 2003 (-6.47%), 22 Oct 2003 (11.63%)
2002222 Aug 2002 (-5.6%), 25 Sep 2002 (10.16%)
2001730 Jan 2001 (-7.04%), 15 Feb 2001 (14.95%), 12 Apr 2001 (-8.53%), 26 Jul 2001 (-5.75%), 27 Jul 2001 (-5.61%), 03 Sep 2001 (-6.81%), 09 Oct 2001 (-6.77%)
2000514 Jan 2000 (12.88%), 06 Mar 2000 (19.57%), 20 Apr 2000 (17.08%), 26 Jun 2000 (15.07%), 22 Sep 2000 (18.24%)
1999709 Apr 1999 (13.37%), 26 Apr 1999 (-6.39%), 01 Jun 1999 (-8.0%), 19 Jul 1999 (13.37%), 14 Sep 1999 (11.07%), 22 Oct 1999 (-4.88%), 29 Oct 1999 (10.01%)
1998912 Jan 1998 (8.63%), 23 Apr 1998 (12.84%), 02 Jun 1998 (13.13%), 27 Jul 1998 (-5.89%), 11 Aug 1998 (-5.75%), 12 Aug 1998 (-5.78%), 30 Sep 1998 (8.56%), 03 Nov 1998 (-6.02%), 26 Nov 1998 (-5.05%)
1997511 Mar 1997 (-4.46%), 24 Apr 1997 (7.3%), 26 May 1997 (-2.88%), 28 Oct 1997 (-3.73%), 29 Oct 1997 (7.62%)
1996609 Jan 1996 (8.37%), 11 Mar 1996 (-4.41%), 10 Sep 1996 (-4.84%), 27 Sep 1996 (7.53%), 06 Nov 1996 (-4.03%), 25 Nov 1996 (-3.33%)
1995121 Apr 1995 (5.73%)



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