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

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In this study, we evaluate the performance of strategy "Sell BEL when RSI is below 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 BEL 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
1-19106.19101435842.574243.0512008.67-3475.13-16021.361.220.91-0.0081-189.17
219508.62101554654.464820.8518840.58-5339.96-33377.840.91.080.0058193.15
347882.34101524951.498006.7721081.08-7519.79-52069.431.061.130.0093474.08
4-30471.6101534852.487956.7535135.14-9420.4-69959.950.840.93-0.0048-301.7
5-20391.8101534852.488851.1238378.38-10197.94-91588.790.870.96-0.0028-201.9
6-48630.9101485347.5210013.3648108.11-9986.27-98664.8910.91-0.0061-481.49
7-90070.57101524951.4910019.8848648.65-12471.51-1165550.80.85-0.01-891.79
825029.94101495248.5113160.0651351.35-11919.48-91321.761.11.040.0028247.82
9-21534.65101544753.4712214.9452162.16-14492.37-78494.620.840.97-0.0023-213.21
10-36445.43101524951.4912506.847297.3-14016.31-68817.20.890.95-0.0042-360.85
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
atrnil39.7315147794286629.7926058.7144106.04-8760.11-22095.522.971.260.021611.45
atrnil27.12116687103396437.8617395.6629404.03-8777.24-22095.521.981.210.0181132.89
atrtrail24.39059.29111397235.1412027.9129404.03-6389.29-22095.521.881.020.001681.62
atrtrail-15.65-42874.91108357332.4112019.9749360.77-6350.33-22095.521.890.91-0.0071-396.99
atrtrail34.83-57156.2108357332.4111611.9344106.04-6350.33-22095.521.830.88-0.01-529.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 29.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
BEL Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 Jan 2019 (9.92%)
2018801 Feb 2018 (9.33%), 23 Mar 2018 (-3.28%), 26 Mar 2018 (-3.25%), 17 Apr 2018 (8.47%), 14 May 2018 (8.14%), 01 Jun 2018 (-4.18%), 21 Jun 2018 (11.11%), 19 Jul 2018 (-4.91%)
2017523 Jun 2017 (-2.42%), 10 Aug 2017 (-2.46%), 14 Nov 2017 (-2.82%), 04 Dec 2017 (-2.81%), 28 Dec 2017 (7.6%)
2016510 Feb 2016 (10.74%), 11 Apr 2016 (-3.35%), 10 Aug 2016 (-2.18%), 13 Oct 2016 (-1.83%), 15 Nov 2016 (-2.98%)
2015317 Apr 2015 (-4.44%), 09 Jun 2015 (-4.2%), 12 Aug 2015 (-3.17%)
2014217 Jan 2014 (7.13%), 13 Aug 2014 (-4.47%)
2013215 Mar 2013 (-3.56%), 17 Sep 2013 (8.52%)
2012827 Jan 2012 (-3.22%), 24 Feb 2012 (-3.84%), 23 Apr 2012 (-2.94%), 18 Jul 2012 (7.7%), 27 Aug 2012 (-2.99%), 05 Sep 2012 (8.33%), 30 Oct 2012 (-2.98%), 14 Dec 2012 (-2.99%)
2011710 Jan 2011 (-2.51%), 07 Feb 2011 (-3.64%), 20 Jun 2011 (-2.55%), 03 Aug 2011 (7.16%), 26 Sep 2011 (-3.61%), 16 Nov 2011 (7.07%), 19 Dec 2011 (-3.29%)
2010805 Apr 2010 (9.17%), 25 May 2010 (-3.46%), 29 Jun 2010 (-3.0%), 29 Jul 2010 (-2.57%), 29 Sep 2010 (-2.77%), 15 Oct 2010 (-2.97%), 20 Dec 2010 (-2.63%), 28 Dec 2010 (-2.42%)
2008410 Jan 2008 (13.26%), 07 Mar 2008 (20.9%), 31 Jul 2008 (21.78%), 26 Nov 2008 (-7.61%)
2007529 Mar 2007 (-5.42%), 17 Oct 2007 (-4.57%), 18 Oct 2007 (-4.91%), 31 Oct 2007 (-5.25%), 21 Nov 2007 (-5.14%)
2006615 May 2006 (14.52%), 19 Jul 2006 (-7.14%), 04 Aug 2006 (-6.35%), 11 Sep 2006 (-3.99%), 11 Oct 2006 (-3.41%), 23 Oct 2006 (-2.9%)
2005429 Jul 2005 (-4.04%), 09 Aug 2005 (-3.79%), 23 Sep 2005 (-4.35%), 11 Oct 2005 (-4.33%)
2004323 Feb 2004 (14.58%), 29 Apr 2004 (14.93%), 01 Jun 2004 (-6.95%)
2003326 Feb 2003 (-3.87%), 06 Aug 2003 (-5.48%), 10 Nov 2003 (-5.35%)
2002229 Jul 2002 (-6.25%), 30 Aug 2002 (13.8%)
2001305 Jun 2001 (-5.53%), 23 Jul 2001 (20.14%), 30 Oct 2001 (-4.37%)
2000503 May 2000 (-11.05%), 14 Jun 2000 (-7.58%), 27 Jun 2000 (-8.11%), 20 Jul 2000 (-5.49%), 13 Sep 2000 (-4.97%)
1999315 Jan 1999 (-6.57%), 27 Oct 1999 (-10.18%), 29 Dec 1999 (-8.42%)
1998416 Jan 1998 (16.32%), 20 Jul 1998 (22.05%), 08 Oct 1998 (18.55%), 24 Dec 1998 (-5.05%)
1997329 Aug 1997 (21.31%), 13 Oct 1997 (17.38%), 17 Nov 1997 (14.9%)



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