Study: Sell BANKINDIA when RSI is below 50 and there is Bearish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BANKINDIA when RSI is below 50 and there is Bearish Centerline 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 BANKINDIA 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
11510.6995455.563187.16676.96-3606.2-9118.10.881.10.0083167.85
225615.8495455.569668.1834541.7-5681.26-10386.51.72.130.0492846.2
39643.2594544.4412980.7433893.31-8455.94-21658.491.541.230.0151071.47
4-14029.3494544.4411503.8136251.11-12008.92-19384.950.960.77-0.021-1558.82
5-24225.1293633.3320139.3131712.35-14107.17-29807.691.430.71-0.031-2691.68
6-5841.6293633.3323774.233127.03-12860.7-21436.231.850.92-0.0075-649.07
74780.5794544.4414679.3332419.69-10787.35-23151.131.361.090.0069531.17
87931.5695455.5613702.7641438.26-15145.56-25056.840.91.130.0099881.28
927831.2296366.6713724.0745682.29-18171.07-29796.360.761.510.0323092.36
1017643.8795455.5613733.7642676.1-12756.23-27867.11.081.350.0221960.43
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BANKINDIA Performance, X=2, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015224 Apr 2015 (-2.67%), 20 Aug 2015 (17.27%)
2011201 Feb 2011 (-2.97%), 24 Feb 2011 (-5.19%)
2008117 Nov 2008 (3.78%)
2005121 Nov 2005 (-0.54%)
2004109 Sep 2004 (0.64%)
1999220 Oct 1999 (1.2%), 27 Dec 1999 (1.27%)

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
atrtrail-14.54-13619.71331023.0818056.3839687.41-6778.88-9436.382.660.8-0.017-1047.67
atrtrail23.54-14636.071331023.0817717.5919850.23-6778.88-9436.382.610.78-0.023-1125.85
atrtrail33.69-23531.771331023.0814752.3629775.34-6778.88-9436.382.180.65-0.036-1810.14
atrnil38.36-31048.25112918.1827104.3929775.34-9473-16825.012.860.64-0.042-2822.57
atrnil24.77-42341.111331023.0817717.5919850.23-9549.39-16825.011.860.56-0.059-3257.01

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 23.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.52%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BANKINDIA Performance, Profit Factor:0.799

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015324 Apr 2015 (-4.04%), 06 May 2015 (1.64%), 20 Aug 2015 (19.84%)
2011401 Feb 2011 (-4.49%), 04 Feb 2011 (5.6%), 24 Feb 2011 (-4.72%), 25 Feb 2011 (-4.65%)
2008117 Nov 2008 (-1.43%)
2005221 Nov 2005 (-3.42%), 30 Nov 2005 (-2.96%)
2004109 Sep 2004 (-2.64%)
1999220 Oct 1999 (-3.15%), 27 Dec 1999 (-2.4%)



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