Study: Sell AUROPHARMA 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 AUROPHARMA 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 AUROPHARMA 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
160213.32108585053.75288.0329245.86-4929.84-37274.241.071.240.015557.53
299829.83107575053.277908.8246815.21-7019.46-42161.181.131.280.017932.99
395311.29107604756.078356.0551001.58-8639.4-40761.580.971.230.015890.76
498107.96107555251.410223.5347040.29-8926.66-47511.91.151.210.014916.9
577446.8107525548.611127.6252584.27-9112.54-54868.021.221.150.01723.8
613928.08107505746.7312855.7857739.69-11032.64-58156.641.171.020.0016130.17
7-76783.11107505746.7313424.367773.61-13122.77-69355.271.020.9-0.0081-717.6
814280.65107584954.2112072.2259667.92-13998.12-66100.330.861.020.0015133.46
96184.49107575053.271271558541.75-14371.41-60458.020.881.010.0006457.8
10-91774.02107584954.2111990.8177414.39-16066.14-78167.940.750.88-0.0089-857.7
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
atrtrail-15.05126995122477538.5213160.4564649.68-6553.95-16548.782.011.260.0161040.94
atrtrail34.47106730122477538.5212729.2843769.97-6553.95-16548.781.941.220.015874.83
atrtrail24.0369894.23126487838.112198.4329179.98-6610.65-16548.781.851.140.011554.72
atrnil38.2110034.29112308226.7924227.1343769.97-8741.22-18176.012.771.010.001289.59
atrnil25.627628.34121418033.8816985.8829179.98-8609.91-18176.011.971.010.00163.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 38.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, 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.
AUROPHARMA Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019629 Jan 2019 (-2.6%), 04 Feb 2019 (-0.21%), 03 May 2019 (11.39%), 17 Jun 2019 (2.02%), 18 Jul 2019 (-0.61%), 19 Sep 2019 (-2.65%)
2018415 Jan 2018 (0.22%), 14 Mar 2018 (2.0%), 04 May 2018 (-2.66%), 06 Dec 2018 (2.33%)
2017631 Jan 2017 (-0.83%), 10 Feb 2017 (3.19%), 09 Mar 2017 (-1.76%), 29 Mar 2017 (0.57%), 22 May 2017 (5.39%), 10 Nov 2017 (2.9%)
2016507 Jan 2016 (1.92%), 09 Jun 2016 (3.83%), 02 Aug 2016 (-2.77%), 03 Aug 2016 (-3.08%), 15 Dec 2016 (-2.61%)
2015105 Feb 2015 (6.44%)
2014109 Jul 2014 (-2.54%)
2013810 Jan 2013 (-0.23%), 08 Feb 2013 (-2.48%), 22 Feb 2013 (9.92%), 18 Mar 2013 (11.32%), 10 Jun 2013 (1.39%), 21 Jun 2013 (-4.81%), 17 Jul 2013 (-2.67%), 16 Sep 2013 (-5.81%)
2012507 Mar 2012 (-6.81%), 04 May 2012 (-4.85%), 01 Jun 2012 (-5.88%), 17 Jul 2012 (2.01%), 09 Aug 2012 (-4.96%)
20111110 Jan 2011 (-3.35%), 22 Feb 2011 (18.68%), 02 May 2011 (-0.25%), 23 May 2011 (3.27%), 20 Jun 2011 (-3.78%), 21 Jun 2011 (-1.79%), 11 Jul 2011 (-2.92%), 01 Aug 2011 (7.26%), 30 Sep 2011 (-0.62%), 25 Oct 2011 (-4.49%), 09 Nov 2011 (25.7%)
2010206 Feb 2010 (-3.79%), 05 May 2010 (3.43%)
2009212 Jan 2009 (3.21%), 04 Feb 2009 (1.5%)
2008508 Jan 2008 (32.32%), 17 Mar 2008 (-3.45%), 22 May 2008 (7.6%), 24 Jun 2008 (3.84%), 16 Jul 2008 (-4.87%)
2007512 Feb 2007 (-0.34%), 24 May 2007 (-3.62%), 27 Sep 2007 (-4.08%), 08 Oct 2007 (4.42%), 07 Nov 2007 (-2.28%)
2006319 Jul 2006 (-4.99%), 11 Sep 2006 (-3.64%), 17 Nov 2006 (-2.37%)
2005806 Jan 2005 (-3.28%), 10 Feb 2005 (-4.47%), 28 Feb 2005 (-3.96%), 18 Mar 2005 (-4.56%), 21 Mar 2005 (3.01%), 18 Apr 2005 (-4.01%), 14 Sep 2005 (0.27%), 10 Oct 2005 (2.15%)
20041119 Feb 2004 (-4.16%), 10 Mar 2004 (12.56%), 20 Apr 2004 (-4.37%), 17 May 2004 (-7.81%), 17 Jun 2004 (6.21%), 15 Jul 2004 (-4.22%), 23 Aug 2004 (-1.19%), 17 Sep 2004 (-2.74%), 23 Sep 2004 (-2.68%), 06 Dec 2004 (-1.51%), 28 Dec 2004 (-0.21%)
2003203 Jan 2003 (-1.99%), 27 Mar 2003 (-0.47%)
2002824 Apr 2002 (-1.01%), 13 May 2002 (6.45%), 03 Sep 2002 (0.66%), 11 Oct 2002 (-1.86%), 30 Oct 2002 (-2.44%), 12 Nov 2002 (-2.64%), 06 Dec 2002 (-2.26%), 09 Dec 2002 (-2.38%)
2001706 Feb 2001 (-4.95%), 22 Feb 2001 (-3.85%), 05 Mar 2001 (14.78%), 03 Apr 2001 (26.27%), 05 Jun 2001 (17.8%), 31 Jul 2001 (0.56%), 14 Sep 2001 (7.74%)
2000120 Sep 2000 (6.66%)
1999426 May 1999 (3.58%), 14 Jun 1999 (-3.3%), 30 Aug 1999 (-6.35%), 21 Sep 1999 (-4.92%)
1998212 Jan 1998 (4.58%), 28 Apr 1998 (-8.27%)
1997914 Jan 1997 (-4.12%), 21 Feb 1997 (-1.74%), 06 Jun 1997 (1.14%), 01 Jul 1997 (-5.62%), 02 Jul 1997 (1.17%), 15 Jul 1997 (-2.44%), 09 Oct 1997 (-3.62%), 24 Nov 1997 (-3.43%), 04 Dec 1997 (-3.48%)
1996604 Jul 1996 (0.45%), 01 Aug 1996 (-6.55%), 02 Aug 1996 (14.16%), 11 Sep 1996 (1.0%), 01 Nov 1996 (-3.86%), 25 Nov 1996 (-3.59%)



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