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

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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 and ADX is Trending" 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
123367.5434151944.125250.5512008.67-2915.3-14364.641.81.420.028687.28
243926.4934181652.946090.8418840.58-4106.79-10632.391.481.670.0411291.96
398554.0134211361.768366.4521081.08-5933.96-15335.181.412.280.0712898.65
477445.7634201458.829034.7935135.14-7375.01-18491.921.231.750.0462277.82
511173434191555.8811106.2238378.38-6618.91-17934.861.682.130.0613286.31
611598234191555.8811262.8248108.11-6534.08-18613.921.722.180.0573411.25
786655.0634201458.829962.248648.65-8042.06-20838.291.241.770.0422548.68
814601333191457.5813645.2751351.35-8089.05-18665.111.692.290.0634424.65
917627833221166.6713183.6152162.16-10341.9-33751.881.272.550.0715341.77
1015409533231069.712374.2947297.3-13051.32-35258.660.952.180.0634669.56
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BEL Performance, X=9, Profit Factor:2.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018601 Feb 2018 (2.85%), 23 Mar 2018 (-3.32%), 14 May 2018 (5.81%), 01 Jun 2018 (-4.26%), 21 Jun 2018 (4.57%), 18 Jul 2018 (-16.88%)
2017110 Aug 2017 (-10.07%)
2015112 Aug 2015 (10.61%)
2014127 Jan 2014 (3.45%)
2011220 Jun 2011 (-1.2%), 03 Aug 2011 (5.86%)
2010505 Apr 2010 (10.9%), 25 May 2010 (0.2%), 29 Sep 2010 (-5.06%), 15 Oct 2010 (1.47%), 15 Nov 2010 (-0.31%)
2008407 Mar 2008 (9.48%), 12 May 2008 (3.37%), 24 Jun 2008 (7.49%), 31 Jul 2008 (-0.53%)
2007117 Oct 2007 (-1.38%)
2004101 Jun 2004 (6.68%)
2003226 Feb 2003 (-0.31%), 06 Aug 2003 (-13.55%)
2001305 Jun 2001 (1.6%), 23 Jul 2001 (0.08%), 30 Aug 2001 (9.11%)
1999127 Oct 1999 (1.38%)
1998216 Jan 1998 (7.65%), 20 Jul 1998 (26.08%)
1997329 Aug 1997 (0.1%), 13 Oct 1997 (9.99%), 17 Nov 1997 (16.3%)

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
atrnil313.3924512131131841.9430721.3244106.04-8569.77-20364.323.582.590.0817907.14
atrnil28.612547435161945.7118658.2729404.03-9108.34-20364.322.051.730.0513584.97
atrtrail35.5382258.5736142238.8914850.5144106.04-5711.3-20364.322.61.650.0382284.96
atrtrail-16.6171042.6236142238.8914049.3740729.79-5711.3-20364.322.461.570.0331973.41
atrtrail24.7658359.0637152240.5412305.9629404.03-5737.74-20364.322.141.460.0311577.27

In the table above, row 1 shows the best exit criterion. Profit factor is 2.59. 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 41.94%, which is not acceptable. Avoid this strategy. Average return per trade is 3.95%, which is very good. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEL Performance, Profit Factor:2.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018701 Feb 2018 (9.33%), 23 Mar 2018 (-3.28%), 26 Mar 2018 (-3.25%), 14 May 2018 (8.14%), 01 Jun 2018 (-4.18%), 21 Jun 2018 (11.11%), 19 Jul 2018 (-4.91%)
2017110 Aug 2017 (-2.46%)
2015112 Aug 2015 (-3.17%)
2014127 Jan 2014 (-2.64%)
2011220 Jun 2011 (-2.55%), 03 Aug 2011 (7.16%)
2010405 Apr 2010 (9.17%), 25 May 2010 (-3.46%), 29 Sep 2010 (-2.77%), 15 Oct 2010 (-2.97%)
2008207 Mar 2008 (20.9%), 31 Jul 2008 (21.78%)
2007217 Oct 2007 (-4.57%), 18 Oct 2007 (-4.91%)
2004101 Jun 2004 (-6.95%)
2003226 Feb 2003 (-3.87%), 06 Aug 2003 (-5.48%)
2001205 Jun 2001 (-5.53%), 23 Jul 2001 (20.14%)
1999127 Oct 1999 (-10.18%)
1998216 Jan 1998 (16.32%), 20 Jul 1998 (22.05%)
1997329 Aug 1997 (21.31%), 13 Oct 1997 (17.38%), 17 Nov 1997 (14.9%)



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