Study: Sell ARVIND when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell ARVIND when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
125451.851510566.674158.56770.1-3226.62-8767.771.292.580.0841696.79
236461.961511473.336152.3817156.29-7803.55-16824.640.792.170.0612430.8
320843.821510566.675475.6112220.92-6782.45-14691.940.811.610.0391389.59
450832.191513286.675707.9122561.69-11685.33-15876.780.493.180.0873388.81
539235.61513286.675998.6121151.59-19373.15-28672.990.312.010.052615.71
634765.051510566.678595.3826792.01-10237.74-27725.120.841.680.0392317.67
742289.581510566.6710412.2735487.66-12366.62-27251.180.841.680.0412819.31
821305.8115966010383.1927027.03-12023.81-24407.580.861.30.0221420.39
926311.311510566.679717.2627732.08-14172.25-26777.250.691.370.0261754.09
1029142.381510566.6711492.7827262.04-17157.09-36966.820.671.340.0241942.83

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 3.18. Strategy is very good and impressively bearish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 1.69%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.087, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ARVIND Performance, X=4, Profit Factor:3.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017226 Jul 2017 (1.16%), 28 Sep 2017 (-3.75%)
2016123 Mar 2016 (0.85%)
2015111 May 2015 (1.4%)
2012119 Apr 2012 (2.33%)
2010105 May 2010 (3.31%)
2008111 Mar 2008 (11.28%)
2005111 Nov 2005 (0.3%)
2004125 Mar 2004 (-7.94%)
2003107 Mar 2003 (4.82%)
2001126 Mar 2001 (2.3%)
1999112 Apr 1999 (2.82%)
1997104 Sep 1997 (1.79%)
1996101 Oct 1996 (0.89%)
1995124 Nov 1995 (3.85%)

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-1450832.191513286.675707.9122561.69-11685.33-15876.780.493.180.0873388.81
atrtrail26.4431520.7416885010482.133916.5-6542.01-17889.741.61.60.0341970.05
atrtrail36.7514365.421688508337.6917862.11-6542.01-17889.741.271.270.019897.84
atrtrail-16.7514365.421688508337.6917862.11-6542.01-17889.741.271.270.019897.84
atrnil211.62-8581.311651131.2521061.5633916.5-10353.55-19017.252.030.92-0.0071-536.33
atrnil315.06-57548.121631318.7527248.7228846.96-10714.94-19017.252.540.59-0.048-3596.76

In the table above, row 1 shows the best exit criterion. Profit factor is 3.18. Strategy is very good and impressively bearish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 1.69%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.087, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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