Study: Sell AXISBANK 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 AXISBANK 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 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
18758.35134930.775985.1912919.32-1686.93-6212.993.551.580.032673.72
2-6030.93136746.154858.7412570.15-5026.2-15310.220.970.83-0.015-463.92
3-6332.52135838.466739.4415854.01-5003.71-20228.421.350.84-0.013-487.12
4-4679.61139469.234230.8617392.03-10689.33-19014.30.40.89-0.009-359.97
5-24287.19135838.469220.7218264.95-8798.85-22286.241.050.65-0.036-1868.25
612774.77135838.4614654.527983.54-7562.22-19981.481.941.210.017982.67
7-12172.72136746.159859.4119462.11-10189.88-18886.710.970.83-0.018-936.36
8-31442.72135838.469413.9316568.98-9814.05-24241.180.960.6-0.047-2418.67
9-36016.62136746.156939.8413052.33-11093.67-22409.710.630.54-0.059-2770.51
10-47676.94135838.4612024.0618788.71-13474.65-36499.070.890.56-0.053-3667.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.58. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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-118758.35134930.775985.1912919.32-1686.93-6212.993.551.580.032673.72
atrtrail34.77-3916.27135838.467493.1522201.01-5172.75-8321.791.450.91-0.0082-301.25
atrtrail-14.85-6059.42135838.467064.5220057.86-5172.75-8321.791.370.85-0.013-466.11
atrtrail24.46-11316.6135838.466013.0814800.68-5172.75-8321.791.160.73-0.029-870.51
atrnil35.62-79831.15131127.6922201.0122201.01-8502.68-183952.610.22-0.15-6140.86
atrnil25.31-87231.49131127.6914800.6814800.68-8502.68-183951.740.15-0.21-6710.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
AXISBANK Performance, X=1, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Sep 2019 (-1.71%)
2018120 Apr 2018 (-0.1%)
2017127 Oct 2017 (0.4%)
2016106 Dec 2016 (1.94%)
2015111 Sep 2015 (-3.11%)
2013123 Jul 2013 (6.46%)
2012214 Jun 2012 (-1.92%), 03 Sep 2012 (-0.07%)
2011120 Jan 2011 (-0.15%)
2008108 May 2008 (3.17%)
2006107 Jul 2006 (-0.05%)
2002125 Sep 2002 (-0.28%)
2001123 Mar 2001 (-0.19%)



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