Study: Sell BANKINDIA 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 BANKINDIA 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 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
1-51741.274344045.954078.8712813.37-4760.57-20178.80.860.73-0.026-699.21
2-21212.68743737506231.829828.18-6805.12-37037.040.920.92-0.0065-286.66
344482.3574383651.358916.3236151.2-8176.05-34942.531.091.150.01601.11
440549.4974363848.659750.1645446.12-8169.9-41609.21.191.130.009547.97
5-61870.9474403454.058077.0842108.92-11322.18-43908.050.710.84-0.013-836.09
6-70079.3474393552.710538.9937937.43-13745.71-52183.910.770.85-0.012-947.02
7-30066.4274393552.711930.7636231.48-14153.32-59770.110.840.94-0.005-406.3
8-40483.97437375013729.4442102.32-14823.6-64531.440.930.93-0.0062-547.08
9-55424.874383651.3515529.0541099.66-17931.35-91103.20.870.91-0.0072-748.98
10-6576.5574413355.4114888.0439880.95-18696.56-74258.60.80.99-0.00088-88.87
Although, strategy looks good but profit factor on day 1 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
atrnil26.0712795182334940.2417627.8627653.58-9260.58-15347.031.91.280.0241560.38
atrtrail24.2354046.3884285633.3314862.7527211.91-6466.26-15347.032.31.150.012643.41
atrtrail-15.4936269.584285633.3314227.8637305.44-6466.26-15347.032.21.10.0078431.78
atrtrail34.7726465.1784285633.3313877.7130873.32-6466.26-15347.032.151.070.0059315.06
atrnil38.71-26870.0282226026.8324469.0241480.37-9419.81-15347.032.60.95-0.0045-327.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 40.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
BANKINDIA Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (7.44%), 05 Apr 2019 (7.67%)
2018127 Nov 2018 (9.82%)
2017615 Feb 2017 (-3.71%), 12 May 2017 (-4.43%), 07 Aug 2017 (7.49%), 15 Nov 2017 (-4.46%), 16 Nov 2017 (-4.37%), 20 Nov 2017 (8.55%)
2016420 Jul 2016 (-3.75%), 26 Aug 2016 (-3.52%), 16 Sep 2016 (-3.97%), 30 Nov 2016 (8.0%)
2015108 Jan 2015 (-3.24%)
2014410 Jan 2014 (-4.41%), 15 Apr 2014 (-4.2%), 30 Apr 2014 (-4.29%), 03 Jun 2014 (11.03%)
2013421 Jan 2013 (5.66%), 18 Oct 2013 (-5.31%), 28 Oct 2013 (-4.81%), 21 Nov 2013 (-5.94%)
2012423 Feb 2012 (9.56%), 20 Jun 2012 (-3.8%), 09 Jul 2012 (5.96%), 10 Oct 2012 (-3.27%)
2011219 Apr 2011 (5.55%), 28 Nov 2011 (-4.23%)
2010404 May 2010 (6.55%), 23 Aug 2010 (5.28%), 24 Sep 2010 (-2.9%), 14 Oct 2010 (6.15%)
2009408 Jun 2009 (-6.72%), 02 Jul 2009 (11.57%), 06 Oct 2009 (-4.08%), 26 Oct 2009 (8.79%)
2008119 Sep 2008 (12.17%)
2007408 May 2007 (-5.1%), 28 May 2007 (7.21%), 25 Jul 2007 (-3.89%), 12 Nov 2007 (-7.67%)
2006525 Jan 2006 (-4.9%), 05 Sep 2006 (-4.29%), 21 Sep 2006 (-4.2%), 11 Oct 2006 (8.17%), 14 Nov 2006 (-3.45%)
2005506 Jan 2005 (12.9%), 16 Feb 2005 (-4.84%), 23 Mar 2005 (9.85%), 17 Jun 2005 (8.73%), 10 Aug 2005 (10.29%)
2004419 Jan 2004 (9.5%), 29 Apr 2004 (-5.87%), 15 Oct 2004 (6.12%), 10 Dec 2004 (-4.66%)
2003727 Jan 2003 (-5.89%), 21 Apr 2003 (-4.36%), 20 May 2003 (-5.21%), 21 May 2003 (-5.05%), 05 Jun 2003 (11.68%), 16 Sep 2003 (10.58%), 30 Oct 2003 (10.24%)
2002710 Apr 2002 (-4.59%), 11 Apr 2002 (-4.5%), 30 Apr 2002 (-4.75%), 28 Jun 2002 (-3.85%), 01 Jul 2002 (7.56%), 20 Nov 2002 (-2.78%), 30 Dec 2002 (-4.26%)
2001608 Jan 2001 (-6.02%), 22 Feb 2001 (13.61%), 21 Jun 2001 (-6.51%), 25 Jul 2001 (-4.26%), 28 Aug 2001 (6.76%), 13 Nov 2001 (6.59%)
2000301 Dec 2000 (-4.7%), 04 Dec 2000 (-4.93%), 27 Dec 2000 (-6.96%)
1999121 Jul 1999 (-5.2%)
1998317 Mar 1998 (-3.68%), 31 Mar 1998 (-5.11%), 24 Apr 1998 (13.83%)



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