Study: Sell AXISBANK 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 AXISBANK 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 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
138497.5105574854.293445.731208.26-3289.74-13368.981.051.240.015366.64
2-14372.98105525349.524961.6124711.6-5139.18-18397.260.970.95-0.0045-136.89
3-43360.31105495646.675961.6126775.96-5990.7-33234.1310.87-0.011-412.96
4-143480104406438.467613.9229143.9-7000.57-35242.291.090.68-0.031-1379.61
5-202749104446042.317196.4730074.2-8656.55-36563.880.830.61-0.04-1949.51
6-295533104465844.236991.219109.65-10640.15-47802.70.660.52-0.055-2841.67
7-366402104386636.547702.1323500.03-9986.1-45923.590.770.44-0.066-3523.09
8-426583104356933.659707.7527002.65-11106.58-50807.40.870.44-0.07-4101.76
9-400652104416339.429311.6126060.19-12419.49-52622.530.750.49-0.061-3852.42
10-426868104396537.59281.9431566.35-12136.36-52733.120.760.46-0.066-4104.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.24. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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-1138497.5105574854.293445.731208.26-3289.74-13368.981.051.240.015366.64
atrtrail24.1-95096.09115348129.5710794.3929931-5705-18318.621.890.79-0.021-826.92
atrnil25.46-203735115318426.9614522.5829931-7784.94-18318.621.870.69-0.037-1771.6
atrtrail34.73-161368115338228.79184.6136992.19-5664.14-18318.621.620.65-0.037-1403.2
atrtrail-15.02-217381115338228.77487.2322350.92-5664.14-18318.621.320.53-0.057-1890.27
atrnil37.72-371828114179714.9122154.1844896.5-7715.97-18318.622.870.5-0.062-3261.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019524 Jan 2019 (-0.92%), 13 Feb 2019 (0.36%), 03 Apr 2019 (-0.09%), 14 Jun 2019 (2.93%), 11 Nov 2019 (3.07%)
2018611 Jan 2018 (0.65%), 01 Feb 2018 (4.71%), 01 Jun 2018 (-0.07%), 03 Sep 2018 (-1.58%), 04 Dec 2018 (1.33%), 26 Dec 2018 (0.31%)
2017825 Jan 2017 (-2.01%), 20 Feb 2017 (-4.84%), 08 Mar 2017 (-1.23%), 14 Jun 2017 (0.37%), 10 Jul 2017 (0.62%), 31 Jul 2017 (0.63%), 03 Oct 2017 (0.73%), 30 Nov 2017 (0.29%)
2016407 Apr 2016 (1.18%), 04 May 2016 (0.3%), 20 May 2016 (0.84%), 14 Jun 2016 (0.16%)
2015407 Jan 2015 (-0.66%), 05 Feb 2015 (0.49%), 11 Mar 2015 (-0.04%), 23 Jul 2015 (0.57%)
2014622 Mar 2014 (-1.55%), 04 Apr 2014 (0.43%), 30 Apr 2014 (-0.85%), 10 Jun 2014 (-0.43%), 31 Jul 2014 (1.19%), 09 Dec 2014 (-0.09%)
2013607 Jan 2013 (0.91%), 21 Jan 2013 (-0.57%), 08 Feb 2013 (-2.98%), 11 May 2013 (1.39%), 06 Nov 2013 (3.44%), 30 Dec 2013 (-1.03%)
2012628 Feb 2012 (-0.62%), 18 Jul 2012 (-1.81%), 24 Aug 2012 (3.38%), 12 Oct 2012 (0.05%), 31 Oct 2012 (-2.08%), 12 Dec 2012 (0.08%)
2011221 Mar 2011 (-1.29%), 18 Apr 2011 (-1.41%)
2010622 Mar 2010 (-1.35%), 06 May 2010 (3.47%), 02 Jul 2010 (0.1%), 30 Jul 2010 (-0.54%), 11 Oct 2010 (0.49%), 15 Nov 2010 (3.45%)
2009501 Jun 2009 (2.95%), 07 Jul 2009 (3.7%), 03 Sep 2009 (-2.1%), 20 Oct 2009 (1.73%), 30 Nov 2009 (-3.75%)
2008221 Jan 2008 (8.11%), 12 May 2008 (0.91%)
2007729 Jan 2007 (-6.07%), 06 Jun 2007 (0.98%), 26 Jun 2007 (1.63%), 20 Jul 2007 (3.13%), 08 Oct 2007 (-1.94%), 08 Nov 2007 (0.74%), 19 Dec 2007 (0.55%)
2006601 Feb 2006 (-0.76%), 22 Mar 2006 (1.2%), 22 Aug 2006 (-2.47%), 05 Sep 2006 (1.49%), 27 Oct 2006 (-2.25%), 29 Nov 2006 (-0.95%)
2005605 Jan 2005 (-0.49%), 17 Feb 2005 (0.2%), 17 Mar 2005 (0.62%), 18 Jul 2005 (0.06%), 08 Aug 2005 (-0.63%), 20 Dec 2005 (-0.48%)
2004730 Jan 2004 (15.6%), 22 Apr 2004 (-0.86%), 03 Aug 2004 (1.46%), 29 Sep 2004 (-2.13%), 25 Oct 2004 (3.26%), 11 Nov 2004 (0.45%), 14 Dec 2004 (1.55%)
2003424 Jan 2003 (4.83%), 14 May 2003 (-2.53%), 06 Jun 2003 (2.07%), 05 Aug 2003 (0.64%)
2002428 Feb 2002 (-6.68%), 22 Oct 2002 (-0.42%), 13 Nov 2002 (0.14%), 27 Dec 2002 (0.8%)
2001128 Nov 2001 (-0.91%)
2000416 Feb 2000 (-1.05%), 01 Aug 2000 (-0.39%), 01 Dec 2000 (0.91%), 15 Dec 2000 (-1.0%)
1999631 May 1999 (-3.57%), 15 Jun 1999 (-1.36%), 05 Jul 1999 (-0.64%), 28 Jul 1999 (0.57%), 02 Sep 1999 (-1.98%), 27 Dec 1999 (-5.51%)



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