Study: Sell BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
1-98109.9994445046.813293.912016.57-4860.84-23008.850.680.6-0.04-1043.72
2-19245894425244.684523.6314979.2-7354.81-26588.080.620.5-0.055-2047.42
3-27773594415343.625761.5115921.64-9697.29-40123.460.590.46-0.059-2954.62
4-25479494435145.746253.2626197.35-10268.32-42269.110.610.51-0.05-2710.58
5-31048694435145.747256.1918446.06-12205.93-39043.210.590.5-0.053-3303.05
6-47259894415343.628220.628686.49-15276.27-43650.790.540.42-0.069-5027.63
7-59347793395441.948374.7929875.52-17038.77-50952.380.490.35-0.081-6381.47
8-43326193415244.099728.5634854.77-16002.53-45061.730.610.48-0.059-4658.72
9-18809193405343.0115456.17180355-15213.93-46996.281.020.77-0.017-2022.49
10-27667493336035.4818058.23180252-14543.26-50646.31.240.68-0.024-2974.99
Although, strategy looks good but profit factor on day 7 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
atrnil37.69-383554110189216.3630023.2545144.6-10043.17-18416.12.990.58-0.047-3486.85
atrnil25.71-358441110258522.7319884.5430096.4-10065.35-18416.11.980.58-0.052-3258.56
atrtrail24.05-339405110308027.279567.2827898.4-7830.3-18050.391.220.46-0.066-3085.5
atrtrail34.33-369740110308027.278556.1238242.83-7830.3-18050.391.090.41-0.071-3361.28
atrtrail-14.49-417063110308027.276978.7134883.41-7830.3-18050.390.890.33-0.092-3791.48

In the table above, row 1 shows the best exit criterion. Profit factor is 0.58. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BALRAMCHIN Performance, Profit Factor:0.585

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018216 Aug 2018 (-4.33%), 05 Sep 2018 (-4.29%)
2017723 Jan 2017 (-3.05%), 31 Jan 2017 (-2.85%), 14 Feb 2017 (-3.24%), 04 May 2017 (-3.6%), 18 May 2017 (-3.28%), 11 Aug 2017 (-3.97%), 19 Sep 2017 (9.22%)
2016605 Feb 2016 (17.9%), 08 Apr 2016 (-4.69%), 20 May 2016 (-4.57%), 21 Jun 2016 (-4.28%), 18 Jul 2016 (-3.97%), 12 Dec 2016 (-3.75%)
2015422 Jan 2015 (-3.66%), 14 Aug 2015 (17.83%), 26 Oct 2015 (-5.23%), 01 Dec 2015 (-6.07%)
2014424 Mar 2014 (-4.37%), 10 Apr 2014 (-4.56%), 13 Jun 2014 (-5.73%), 27 Nov 2014 (-5.98%)
2013727 Feb 2013 (-4.83%), 02 May 2013 (-3.98%), 14 May 2013 (-3.78%), 15 May 2013 (11.9%), 11 Oct 2013 (-3.61%), 25 Oct 2013 (-3.94%), 03 Dec 2013 (16.5%)
2012423 Feb 2012 (-5.06%), 24 Feb 2012 (-4.91%), 10 Apr 2012 (-4.63%), 24 Aug 2012 (-4.05%)
2011127 Apr 2011 (8.03%)
2010516 Jul 2010 (-3.48%), 30 Aug 2010 (-3.01%), 17 Sep 2010 (-3.11%), 23 Sep 2010 (-3.37%), 12 Oct 2010 (9.33%)
20091114 Jan 2009 (-8.78%), 10 Feb 2009 (-6.83%), 28 Apr 2009 (-7.7%), 29 Apr 2009 (-7.18%), 14 May 2009 (-6.52%), 27 May 2009 (-8.03%), 17 Jun 2009 (-7.08%), 01 Jul 2009 (19.12%), 17 Aug 2009 (-5.46%), 24 Sep 2009 (-4.02%), 04 Nov 2009 (-6.58%)
2008403 Jan 2008 (-6.82%), 10 Jan 2008 (22.57%), 06 May 2008 (-6.01%), 25 Aug 2008 (15.03%)
2007731 May 2007 (-5.55%), 18 Jul 2007 (17.54%), 05 Oct 2007 (-7.56%), 05 Nov 2007 (-8.66%), 22 Nov 2007 (-9.21%), 18 Dec 2007 (-7.54%), 24 Dec 2007 (-7.76%)
2006502 Feb 2006 (-5.5%), 09 Mar 2006 (-4.58%), 12 Apr 2006 (-4.49%), 25 Apr 2006 (-4.91%), 01 Nov 2006 (12.57%)
2005607 Jan 2005 (-5.49%), 10 Jan 2005 (-5.44%), 17 Feb 2005 (-4.56%), 10 Mar 2005 (-3.89%), 17 Aug 2005 (-4.15%), 02 Dec 2005 (-3.44%)
2004501 Jan 2004 (19.36%), 12 Mar 2004 (-4.11%), 03 May 2004 (-6.22%), 19 Aug 2004 (-4.6%), 20 Dec 2004 (-4.7%)
2003712 Mar 2003 (-4.42%), 19 Mar 2003 (-4.66%), 18 Jun 2003 (-4.9%), 12 Aug 2003 (-5.75%), 02 Sep 2003 (-6.82%), 03 Sep 2003 (-7.05%), 20 Nov 2003 (-4.86%)
2002622 Feb 2002 (-3.46%), 27 Mar 2002 (-4.46%), 28 Mar 2002 (-4.35%), 29 Apr 2002 (-4.95%), 27 Jun 2002 (-4.06%), 19 Dec 2002 (12.44%)
2000224 Jul 2000 (-4.41%), 19 Sep 2000 (12.04%)
1999427 May 1999 (-4.82%), 03 Sep 1999 (-4.03%), 28 Oct 1999 (-6.07%), 26 Nov 1999 (-6.19%)
1998327 Apr 1998 (-6.94%), 12 May 1998 (-6.44%), 18 Sep 1998 (11.96%)
1997921 Jan 1997 (-5.65%), 25 Feb 1997 (-3.51%), 12 Mar 1997 (15.93%), 22 May 1997 (-4.33%), 16 Jun 1997 (-4.28%), 01 Jul 1997 (-4.23%), 02 Jul 1997 (-4.21%), 29 Jul 1997 (-3.23%), 08 Aug 1997 (-3.3%)
1996111 Mar 1996 (20.92%)



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