Study: Sell AXISBANK 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 AXISBANK 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 AXISBANK 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
1-26689.17106456142.454587.2713471.5-3821.58-14503.761.20.89-0.0097-251.78
2-73313.17106485845.285969.6628238.34-6204.43-27358.190.960.8-0.018-691.63
3-37119.83105495646.677897.6933333.33-7573.33-31065.861.040.91-0.0072-353.52
4-143791105475844.767512.2637216.83-8566.67-38799.830.880.71-0.027-1369.43
5-179957105456042.868979.0545631.07-9733.56-37261.70.920.69-0.03-1713.87
6-155945105465943.819859.7143327.62-10330.37-46396.840.950.74-0.024-1485.19
7-74585.18105475844.7612394.3548638.87-11329.64-39189.191.090.89-0.01-710.34
8-103458105485745.7112069.1756634.3-11978.57-36720.11.010.85-0.014-985.32
9-167889105446141.913702.3146011.8-12635.91-46777.241.080.78-0.021-1598.94
10-17587210542634014882.0548993.83-12712.98-54461.471.170.78-0.021-1674.97
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
atrtrail24.03-55496.47118407833.911589.9831821.43-6655.07-19343.591.740.89-0.0096-470.31
atrnil25.85-105639116348229.3117916.4434025.85-8717.05-23522.132.060.85-0.015-910.68
atrnil39.55-112539104238122.1226145.9651038.77-8813.53-23522.132.970.84-0.015-1082.11
atrtrail34.61-145168117407734.199224.5438111.53-6677.27-19343.591.380.72-0.028-1240.75
atrtrail-14.82-184047117397833.338572.0336558.69-6645.59-19343.591.290.64-0.037-1573.05

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 33.9%, which is not acceptable. Avoid this strategy. Average return per trade is -0.24%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AXISBANK Performance, Profit Factor:0.893

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 Jun 2019 (-0.36%), 08 Jul 2019 (4.3%), 19 Sep 2019 (-2.97%), 04 Oct 2019 (-4.08%)
2018602 Feb 2018 (5.79%), 23 Mar 2018 (-3.06%), 03 Apr 2018 (-1.12%), 20 Apr 2018 (-0.56%), 21 May 2018 (-1.58%), 24 Dec 2018 (-1.39%)
20171124 Jan 2017 (-2.86%), 18 Apr 2017 (0.22%), 15 May 2017 (-1.09%), 13 Jun 2017 (-2.02%), 21 Jun 2017 (3.87%), 07 Jul 2017 (-2.03%), 01 Aug 2017 (4.73%), 08 Sep 2017 (-1.81%), 27 Sep 2017 (-1.17%), 18 Oct 2017 (0.11%), 01 Dec 2017 (-1.77%)
2016906 Jan 2016 (4.21%), 07 Jan 2016 (-2.47%), 04 Feb 2016 (-3.93%), 25 Feb 2016 (-3.36%), 06 Apr 2016 (-2.13%), 21 Jul 2016 (-2.31%), 26 Oct 2016 (-0.47%), 07 Dec 2016 (-2.39%), 23 Dec 2016 (-1.45%)
2015615 Apr 2015 (6.68%), 03 Jun 2015 (-2.47%), 12 Oct 2015 (-3.65%), 29 Oct 2015 (-2.02%), 18 Nov 2015 (-2.0%), 09 Dec 2015 (4.33%)
2014314 Feb 2014 (-2.72%), 01 Aug 2014 (1.52%), 16 Sep 2014 (-1.83%)
2013423 May 2013 (5.56%), 17 Jul 2013 (-3.54%), 18 Jul 2013 (7.37%), 19 Aug 2013 (-5.02%)
2012527 Feb 2012 (-4.57%), 23 Apr 2012 (0.45%), 27 Jun 2012 (-0.93%), 23 Jul 2012 (-0.19%), 27 Aug 2012 (5.55%)
20111010 Jan 2011 (-3.29%), 13 Jan 2011 (1.33%), 01 Feb 2011 (7.39%), 25 Feb 2011 (-3.92%), 28 Feb 2011 (-4.16%), 12 Jul 2011 (-0.07%), 05 Aug 2011 (-0.29%), 30 Sep 2011 (2.28%), 09 Nov 2011 (6.92%), 16 Dec 2011 (8.57%)
2010825 Jan 2010 (1.0%), 07 May 2010 (-2.88%), 19 May 2010 (0.52%), 17 Jun 2010 (-2.61%), 01 Jul 2010 (-2.63%), 27 Aug 2010 (4.59%), 16 Nov 2010 (5.68%), 07 Dec 2010 (1.6%)
2009412 Jan 2009 (7.93%), 20 Feb 2009 (12.7%), 05 Aug 2009 (-1.1%), 27 Nov 2009 (-3.68%)
20081122 Jan 2008 (-8.07%), 04 Mar 2008 (15.69%), 04 Apr 2008 (-9.34%), 09 May 2008 (-5.8%), 24 Jun 2008 (14.1%), 18 Aug 2008 (-0.36%), 12 Sep 2008 (-0.57%), 29 Sep 2008 (-6.13%), 06 Oct 2008 (-7.26%), 07 Oct 2008 (15.91%), 12 Nov 2008 (-5.68%)
2007510 Jan 2007 (-3.7%), 13 Feb 2007 (-5.8%), 04 Apr 2007 (-5.27%), 12 Apr 2007 (-2.77%), 20 Dec 2007 (-4.3%)
2006423 Mar 2006 (-5.1%), 15 May 2006 (-4.83%), 16 May 2006 (-1.94%), 18 Jul 2006 (-7.15%)
2005303 May 2005 (-3.73%), 12 May 2005 (2.03%), 29 Sep 2005 (-0.24%)
2004403 Feb 2004 (-9.67%), 13 Jul 2004 (-6.83%), 02 Aug 2004 (10.31%), 26 Oct 2004 (-5.69%)
2003327 Jan 2003 (-5.98%), 05 Mar 2003 (0.61%), 22 Oct 2003 (-4.76%)
2002717 May 2002 (9.34%), 26 Jun 2002 (-6.29%), 17 Jul 2002 (-6.63%), 18 Jul 2002 (13.66%), 18 Sep 2002 (-3.77%), 31 Oct 2002 (-3.42%), 14 Nov 2002 (-3.4%)
2001431 Jan 2001 (0.54%), 06 Jun 2001 (-3.07%), 24 Jul 2001 (0.32%), 12 Sep 2001 (10.48%)
2000223 May 2000 (3.27%), 15 Sep 2000 (7.33%)
1999522 Feb 1999 (-0.41%), 15 Mar 1999 (-0.26%), 26 Apr 1999 (-5.86%), 28 May 1999 (-5.52%), 28 Oct 1999 (13.01%)



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