Study: Sell ASHOKLEY 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 ASHOKLEY 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 ASHOKLEY 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
136218.84118645454.245281.8415938.3-5589.24-36986.30.951.120.0087306.94
239956.11185959507886.0229813.66-7208.8-55650.681.091.090.0066338.61
387126.82118645454.248479.7242608.7-8436.58-57363.011.011.190.013738.36
4105956118605850.859771.8251925.47-8281.96-42294.521.181.220.015897.93
5187569118615751.6911000.7547080.75-8482.04-51712.331.31.390.0231589.57
6211306118685057.6310963.6656461.23-10684.46-46232.881.031.40.0241790.73
7269330118694958.4712300.5372365.81-11824.63-42826.181.041.460.0272282.46
8277818118675156.7813183.1954782.61-11871.69-40683.231.111.460.0282354.39
9241315118665255.9313196.5956858.85-12108.85-36856.371.091.380.0252045.04
10183670118685057.6312823.2350894.63-13766.19-46883.470.931.270.0191556.53
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
atrnil25.84339041138568240.5818922.7844093.79-8788.23-14959.112.151.470.0342456.82
atrtrail23.75203194140528837.1414922.3744093.79-6508.75-14959.112.291.350.0241451.38
atrtrail34.43107041139518836.6913436.2645956.38-6570.55-14959.112.041.190.013770.08
atrtrail-14.86102053139518836.6913338.4565839.52-6570.55-14959.112.031.180.011734.19
atrnil310.33117292123348927.6427172.8966140.68-9062.77-21036.3331.150.011953.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 40.58%, which is not acceptable. Avoid this strategy. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
ASHOKLEY Performance, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019702 Jan 2019 (6.05%), 25 Mar 2019 (-3.1%), 25 Apr 2019 (6.29%), 13 Jun 2019 (6.49%), 09 Jul 2019 (7.02%), 19 Sep 2019 (-5.09%), 07 Oct 2019 (-6.99%)
2018518 Jan 2018 (-3.21%), 08 Jun 2018 (6.67%), 18 Jul 2018 (-5.8%), 14 Nov 2018 (-4.69%), 04 Dec 2018 (7.27%)
2017509 May 2017 (-2.27%), 24 May 2017 (-2.56%), 10 Aug 2017 (-3.37%), 06 Dec 2017 (-3.63%), 12 Dec 2017 (-3.46%)
20161215 Jan 2016 (-3.31%), 11 Feb 2016 (-4.35%), 12 Feb 2016 (-4.28%), 26 Feb 2016 (-4.03%), 29 Feb 2016 (-4.02%), 15 Jun 2016 (5.78%), 02 Aug 2016 (6.46%), 02 Sep 2016 (-2.66%), 06 Sep 2016 (-2.64%), 15 Sep 2016 (-2.98%), 26 Sep 2016 (5.51%), 11 Nov 2016 (7.49%)
2015520 Apr 2015 (6.79%), 25 May 2015 (-3.8%), 03 Jun 2015 (-3.82%), 24 Aug 2015 (-4.6%), 03 Dec 2015 (5.9%)
2014213 Jan 2014 (-3.9%), 13 Aug 2014 (-4.67%)
2013511 Feb 2013 (7.4%), 26 Mar 2013 (-4.08%), 13 May 2013 (-2.88%), 07 Jun 2013 (5.96%), 16 Dec 2013 (-4.0%)
2012607 Feb 2012 (-5.1%), 27 Feb 2012 (-4.97%), 11 Apr 2012 (-4.56%), 22 Jun 2012 (-4.06%), 16 Jul 2012 (6.76%), 24 Aug 2012 (6.37%)
20111011 Jan 2011 (-4.77%), 17 Jan 2011 (10.24%), 02 Feb 2011 (12.54%), 11 Apr 2011 (8.92%), 17 Jun 2011 (7.2%), 20 Jul 2011 (-3.45%), 03 Aug 2011 (7.2%), 17 Aug 2011 (-5.02%), 16 Nov 2011 (7.95%), 13 Dec 2011 (8.64%)
2010622 Jan 2010 (7.55%), 20 May 2010 (-4.43%), 08 Oct 2010 (-3.39%), 15 Oct 2010 (-3.43%), 03 Nov 2010 (-3.12%), 12 Nov 2010 (-4.74%)
2009315 Jan 2009 (-7.12%), 21 Jan 2009 (-6.39%), 06 Aug 2009 (-6.4%)
2008611 Jan 2008 (14.42%), 18 Mar 2008 (-5.69%), 19 Mar 2008 (-6.3%), 12 May 2008 (10.5%), 24 Jun 2008 (10.07%), 12 Nov 2008 (20.42%)
2007712 Feb 2007 (7.99%), 02 Apr 2007 (-5.53%), 11 May 2007 (-3.96%), 08 Jun 2007 (-3.37%), 14 Sep 2007 (-3.83%), 08 Oct 2007 (-5.99%), 06 Nov 2007 (-5.25%)
2006515 May 2006 (9.52%), 14 Jul 2006 (-6.19%), 15 Nov 2006 (6.48%), 12 Dec 2006 (-4.53%), 13 Dec 2006 (-4.66%)
2005425 Feb 2005 (-4.18%), 21 Sep 2005 (7.35%), 06 Oct 2005 (-3.77%), 28 Oct 2005 (-4.8%)
2004721 Jan 2004 (10.58%), 12 Mar 2004 (7.35%), 15 Mar 2004 (8.65%), 08 Jul 2004 (-5.64%), 09 Jul 2004 (-5.68%), 12 Aug 2004 (-5.58%), 15 Oct 2004 (-3.36%)
2003326 Feb 2003 (-3.7%), 27 Mar 2003 (-3.71%), 21 Apr 2003 (-3.23%)
2002731 Jan 2002 (-6.23%), 05 Feb 2002 (-6.14%), 20 May 2002 (-6.96%), 13 Sep 2002 (6.43%), 24 Oct 2002 (-3.32%), 25 Oct 2002 (-3.38%), 13 Nov 2002 (-4.77%)
2001312 Jan 2001 (-4.01%), 05 Mar 2001 (21.04%), 26 Jul 2001 (-4.49%)
2000627 Jan 2000 (15.32%), 01 Mar 2000 (22.05%), 11 May 2000 (11.89%), 20 Jun 2000 (11.1%), 20 Jul 2000 (11.81%), 19 Sep 2000 (9.42%)
1999401 Mar 1999 (-7.48%), 08 Apr 1999 (15.18%), 28 Oct 1999 (15.89%), 28 Dec 1999 (-6.23%)
1998315 Jan 1998 (13.09%), 03 Jul 1998 (21.35%), 29 Sep 1998 (11.52%)
1997620 Jan 1997 (-5.23%), 11 Mar 1997 (-4.45%), 12 Mar 1997 (8.81%), 29 Apr 1997 (-3.56%), 30 Apr 1997 (7.16%), 27 Oct 1997 (6.44%)
1996512 Jan 1996 (-3.29%), 15 Jul 1996 (-3.84%), 24 Jul 1996 (7.65%), 16 Sep 1996 (-3.16%), 22 Nov 1996 (6.66%)
1995618 Apr 1995 (-3.51%), 19 Apr 1995 (6.83%), 12 May 1995 (-3.35%), 22 May 1995 (5.85%), 10 Jul 1995 (-2.85%), 11 Aug 1995 (6.59%)



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