Study: Sell BAJFINANCE 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 BAJFINANCE 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 BAJFINANCE 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
1-27463.44110515946.363248.1310447.76-3273.19-12164.380.990.86-0.012-249.67
2-1540271104466404694.0420447.28-5463.11-21619.10.860.57-0.041-1400.25
3-166479110466441.825395.1118690.1-6478.97-29306.930.830.6-0.04-1513.44
4-215282109446540.376340.1542484.03-7603.83-30122.310.830.56-0.042-1975.07
5-318620109397035.787418.6952056.94-8684.98-27561.640.850.48-0.056-2923.12
6-342460109347531.198371.6327552.96-8361.28-29753.4210.45-0.061-3141.84
7-349602109337630.289084.2933135.3-8544.52-35443.041.060.46-0.059-3207.36
8-575612109387134.867712.1924215.25-12234.87-42784.810.630.34-0.084-5280.85
9-563018109416837.618660.6328251.12-13501.53-76962.030.640.39-0.068-5165.31
10-635603109397035.789268.9324281.15-14244.16-69482.580.650.36-0.075-5831.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. 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 46.36%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.

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-11-27463.44110515946.363248.1310447.76-3273.19-12164.380.990.86-0.012-249.67
atrnil26.05-3894831322510718.9418111.3233815.08-7871.64-15649.062.30.54-0.055-2950.63
atrnil37.56-4682721301811213.8524021.3950722.61-8041.58-15758.972.990.48-0.062-3602.09
atrtrail24.4-3439031332810521.0510294.2427758.13-6020.4-14134.371.710.46-0.067-2585.74
atrtrail34.8-3549671332710620.310393.0332760.34-5996.03-14134.371.730.44-0.068-2668.93
atrtrail-14.95-4236641322610619.78168.0416828.01-6000.31-14134.371.360.33-0.097-3209.57

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 46.36%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, X=1, Profit Factor:0.858

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019604 Jan 2019 (0.87%), 14 Feb 2019 (1.84%), 12 Jun 2019 (-1.1%), 09 Jul 2019 (4.83%), 11 Oct 2019 (2.26%), 11 Nov 2019 (0.59%)
2018504 Jun 2018 (-1.83%), 21 Jun 2018 (-3.48%), 13 Aug 2018 (-2.53%), 31 Aug 2018 (4.64%), 11 Dec 2018 (-2.77%)
2017614 Feb 2017 (1.8%), 31 Mar 2017 (-0.91%), 20 Apr 2017 (0.4%), 28 Jun 2017 (-0.29%), 10 Aug 2017 (-3.66%), 16 Oct 2017 (1.02%)
2016614 Jan 2016 (1.66%), 15 Feb 2016 (3.2%), 21 Apr 2016 (0.22%), 26 May 2016 (-2.81%), 09 Aug 2016 (1.78%), 14 Sep 2016 (0.19%)
2015705 Jan 2015 (0.26%), 06 Feb 2015 (0.88%), 28 May 2015 (4.69%), 08 Jul 2015 (3.91%), 11 Aug 2015 (2.58%), 16 Nov 2015 (0.79%), 04 Dec 2015 (-0.54%)
2014906 Jan 2014 (-0.17%), 11 Apr 2014 (0.26%), 13 May 2014 (3.93%), 12 Jun 2014 (1.71%), 21 Jul 2014 (-2.57%), 17 Sep 2014 (-2.83%), 13 Oct 2014 (-1.5%), 25 Nov 2014 (0.15%), 16 Dec 2014 (-1.35%)
2013518 Jan 2013 (-1.45%), 27 May 2013 (-1.32%), 24 Oct 2013 (-0.85%), 21 Nov 2013 (1.18%), 17 Dec 2013 (-1.05%)
2012516 Feb 2012 (-2.64%), 27 Mar 2012 (0.63%), 24 Apr 2012 (-0.06%), 02 Aug 2012 (-0.58%), 31 Oct 2012 (-0.49%)
2011218 Apr 2011 (-0.63%), 28 Jul 2011 (-1.1%)
2010513 Jan 2010 (-2.68%), 11 May 2010 (-2.0%), 19 Aug 2010 (-3.39%), 24 Sep 2010 (-2.26%), 11 Nov 2010 (1.65%)
2009706 May 2009 (-1.0%), 12 Jun 2009 (-3.2%), 11 Aug 2009 (-3.69%), 11 Sep 2009 (-1.28%), 21 Oct 2009 (1.31%), 30 Nov 2009 (-1.77%), 14 Dec 2009 (1.51%)
2008115 Jan 2008 (-0.9%)
2007229 Jan 2007 (2.68%), 25 Apr 2007 (0.25%)
2006317 Jan 2006 (1.94%), 28 Feb 2006 (0.83%), 06 Sep 2006 (-0.31%)
2005609 Mar 2005 (-0.31%), 18 Apr 2005 (-0.54%), 05 May 2005 (-6.08%), 23 May 2005 (-1.42%), 16 Jun 2005 (-1.08%), 19 Jul 2005 (0.47%)
2004729 Apr 2004 (-1.71%), 25 Jun 2004 (-0.77%), 18 Aug 2004 (-1.25%), 17 Sep 2004 (-1.22%), 18 Oct 2004 (-2.04%), 06 Dec 2004 (-0.56%), 30 Dec 2004 (-0.47%)
2003722 Jan 2003 (-0.41%), 03 Mar 2003 (1.58%), 20 May 2003 (-3.33%), 09 Jun 2003 (1.2%), 27 Jun 2003 (0.57%), 02 Sep 2003 (0.45%), 16 Dec 2003 (-6.01%)
2002505 Feb 2002 (-1.39%), 26 Feb 2002 (-1.07%), 19 Mar 2002 (-1.02%), 17 May 2002 (3.43%), 27 Jun 2002 (1.17%)
2001330 May 2001 (-0.83%), 13 Jun 2001 (2.59%), 07 Dec 2001 (0.14%)
2000405 Jan 2000 (-1.46%), 05 Jul 2000 (0.79%), 24 Jul 2000 (0.15%), 26 Dec 2000 (-1.16%)
1999214 Jan 1999 (5.22%), 19 Feb 1999 (-0.0%)
1998201 Apr 1998 (0.86%), 17 Nov 1998 (0.71%)
1997322 Jan 1997 (0.3%), 01 Apr 1997 (2.62%), 23 Jul 1997 (3.38%)
1996110 May 1996 (-1.44%)
1995119 Jun 1995 (0.74%)



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