Study: Sell ARVIND 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 ARVIND 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 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
1-52384.6297415642.274308.6712968.85-4090-225001.050.77-0.019-540.05
2-41183.1297524553.615370.8821996.19-7121.53-33411.760.750.87-0.0096-424.57
3-11255297534454.646679.8824157.66-10604.23-34394.90.630.76-0.02-1160.33
4-10303397484949.489301.0930514.94-11213.98-36624.20.830.81-0.016-1062.19
5-13573397494850.5210331.632960.89-13374.61-42812.50.770.79-0.018-1399.31
6-19865197475048.4511778.7831023.52-15045.08-52005.530.780.74-0.024-2047.95
7-32756797475048.4511383.6627416.17-17251.97-48558.760.660.62-0.038-3376.98
8-25123497455246.3912975.9840160.64-16060.63-49455.980.810.7-0.029-2590.04
9-18711997435444.3315710.1649397.59-15975.11-47583.640.980.78-0.02-1929.06
10-12893197435444.3317320.5475438.6-16179.89-58358.061.070.85-0.013-1329.18
Although, strategy looks good but profit factor on day 1 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
atrnil37.88157670109317828.4428741.4953664.86-9401.49-22027.63.061.220.0161446.52
atrnil25.8163556.32109377233.9419709.3335776.57-9245.68-22027.62.131.10.0082583.09
atrtrail34.627805.54109347531.1915795.2640919.02-6789.78-22027.62.331.050.004255.1
atrtrail24.18-37301.01109347531.1913880.3628349.44-6789.78-22027.62.040.93-0.0062-342.21
atrtrail-15.07-98702.19109347531.1912074.4534780.55-6789.78-22027.61.780.81-0.017-905.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 28.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Apr 2019 (12.59%)
2018402 Jan 2018 (-2.96%), 18 Jan 2018 (9.33%), 27 Apr 2018 (-2.85%), 16 May 2018 (9.43%)
2017707 Feb 2017 (-2.89%), 08 Feb 2017 (-2.89%), 23 Mar 2017 (-2.66%), 07 Apr 2017 (-2.42%), 21 Sep 2017 (7.67%), 14 Nov 2017 (-3.72%), 01 Dec 2017 (-2.99%)
2016508 Jan 2016 (9.92%), 06 May 2016 (-3.62%), 03 Jun 2016 (-3.08%), 24 Jun 2016 (-3.4%), 14 Oct 2016 (-3.03%)
2015425 Feb 2015 (-4.02%), 05 Mar 2015 (11.57%), 27 Jul 2015 (-4.01%), 09 Dec 2015 (-3.33%)
2014517 Jan 2014 (-3.94%), 28 Apr 2014 (-3.73%), 09 Jul 2014 (-4.27%), 11 Aug 2014 (-5.2%), 17 Sep 2014 (-4.49%)
2013511 Jan 2013 (-3.0%), 24 Sep 2013 (-3.84%), 06 Nov 2013 (-3.74%), 26 Nov 2013 (-4.03%), 05 Dec 2013 (-3.73%)
2012607 Feb 2012 (-5.28%), 21 Feb 2012 (15.49%), 10 Oct 2012 (-3.88%), 19 Nov 2012 (-3.37%), 13 Dec 2012 (-3.61%), 24 Dec 2012 (-3.38%)
2011611 Jan 2011 (16.55%), 29 Apr 2011 (-4.92%), 10 Jun 2011 (-4.84%), 02 Aug 2011 (12.91%), 05 Oct 2011 (-5.01%), 28 Oct 2011 (11.4%)
2010718 Jan 2010 (-4.17%), 19 Jan 2010 (12.59%), 09 Jul 2010 (-3.51%), 20 Jul 2010 (-3.31%), 27 Aug 2010 (-4.64%), 08 Oct 2010 (-3.96%), 15 Nov 2010 (14.69%)
2009428 Apr 2009 (-11.01%), 10 Jun 2009 (26.83%), 18 Aug 2009 (-5.79%), 06 Oct 2009 (-5.86%)
2008307 Jan 2008 (-5.17%), 08 Jan 2008 (16.87%), 09 May 2008 (20.46%)
2007625 Jul 2007 (-4.79%), 26 Jul 2007 (14.19%), 19 Sep 2007 (-5.24%), 19 Oct 2007 (-9.28%), 31 Oct 2007 (-7.98%), 20 Dec 2007 (-6.72%)
2006324 Apr 2006 (13.87%), 19 Sep 2006 (-4.77%), 12 Oct 2006 (11.67%)
2005505 Jan 2005 (14.02%), 17 Feb 2005 (-4.74%), 09 Mar 2005 (11.61%), 04 Jun 2005 (10.56%), 10 Aug 2005 (-3.21%)
2004806 Jan 2004 (14.23%), 29 Apr 2004 (-5.2%), 03 Jun 2004 (-7.77%), 08 Jul 2004 (-5.64%), 26 Jul 2004 (-5.05%), 10 Sep 2004 (-2.98%), 14 Oct 2004 (-3.17%), 10 Dec 2004 (-3.8%)
2003602 Jun 2003 (-5.42%), 15 Jul 2003 (-5.15%), 01 Aug 2003 (-4.75%), 22 Aug 2003 (-5.39%), 21 Oct 2003 (-5.54%), 12 Dec 2003 (-4.32%)
2002608 Mar 2002 (-7.31%), 23 Apr 2002 (-6.76%), 14 May 2002 (16.02%), 03 Jul 2002 (-6.1%), 16 Jul 2002 (-5.85%), 10 Dec 2002 (-4.02%)
2001308 Jun 2001 (23.42%), 04 Sep 2001 (19.63%), 13 Dec 2001 (-7.48%)
2000225 Sep 2000 (-8.64%), 19 Dec 2000 (21.26%)
1999519 Jan 1999 (-5.79%), 21 Jan 1999 (-5.51%), 28 Jan 1999 (18.0%), 17 Jun 1999 (-7.14%), 02 Jul 1999 (-6.08%)
1998122 Apr 1998 (17.37%)
1997420 Jan 1997 (-3.95%), 26 Feb 1997 (-3.21%), 12 Mar 1997 (13.34%), 22 Jul 1997 (-3.03%)
1996209 May 1996 (-5.32%), 19 Jun 1996 (8.5%)
1995119 Oct 1995 (9.52%)



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