Study: Sell BEL 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 BEL 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 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
13878.595455047.374392.4519818.46-3875.63-16069.221.131.020.001440.83
2-88919.5895435245.266199.233585.48-6836.26-33374.540.910.75-0.019-936
3-15678895415443.167583.2136038.72-8661.11-49938.20.880.66-0.027-1650.4
4-27180995445146.327627.6642662.63-11910.31-69962.920.640.55-0.038-2861.14
5-30735495455047.379009.5554765.51-14255.68-76514.220.630.57-0.037-3235.31
6-39616295484750.539298.854765.51-17925.62-93077.870.520.53-0.042-4170.12
7-42652995484750.5310554.0866565.81-19853.73-957910.530.54-0.04-4489.78
8-54131095464948.4210917.7555068.08-21296.47-95865.920.510.48-0.051-5698
9-40464595484750.5312428.1544780.64-21302.05-96089.390.580.6-0.037-4259.42
10-39000195474849.4713712.2353101.36-21551.58-1237990.640.62-0.034-4105.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.02. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.02%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0014, which is low, don't trade solely on the basis of this study.

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
nilnil-113878.595455047.374392.4519818.46-3875.63-16069.221.131.020.001440.83
atrnil25.64-142682112337929.4617128.4138304.3-8961.01-18338.461.910.8-0.021-1273.95
atrtrail23.9-133962113347930.0912157.8338304.3-6928.21-18289.561.750.76-0.024-1185.5
atrtrail-14.79-167353112328028.5711901.2461300.46-6852.41-18289.561.740.69-0.027-1494.23
atrtrail34.46-179858112337929.4611135.4845444.1-6928.21-18289.561.610.67-0.032-1605.87
atrnil37.77-288797111219018.9224667.7645444.1-8964.67-19152.152.750.64-0.039-2601.78

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.02%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0014, 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, X=1, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Apr 2019 (-0.84%), 10 Jun 2019 (-2.55%), 19 Sep 2019 (-3.64%)
2018223 Aug 2018 (-1.12%), 20 Nov 2018 (-1.45%)
2017706 Feb 2017 (-1.83%), 24 Mar 2017 (-2.09%), 04 May 2017 (1.24%), 22 Aug 2017 (-2.72%), 14 Sep 2017 (0.05%), 13 Nov 2017 (1.96%), 05 Dec 2017 (1.62%)
2016608 Jan 2016 (-2.51%), 12 Apr 2016 (-0.88%), 29 Apr 2016 (-0.45%), 14 Oct 2016 (0.37%), 16 Nov 2016 (-0.64%), 15 Dec 2016 (-0.4%)
2015406 Feb 2015 (3.05%), 25 Feb 2015 (1.61%), 11 Aug 2015 (2.09%), 13 Nov 2015 (-1.02%)
2014630 Apr 2014 (-0.14%), 16 Jun 2014 (0.35%), 08 Jul 2014 (8.53%), 22 Sep 2014 (0.85%), 21 Nov 2014 (-5.12%), 16 Dec 2014 (0.03%)
2013316 Jan 2013 (-0.64%), 23 May 2013 (-0.05%), 13 Jun 2013 (-0.55%)
2012327 Feb 2012 (-4.85%), 19 Mar 2012 (-0.15%), 17 Jul 2012 (0.69%)
2011228 Apr 2011 (-0.11%), 02 Aug 2011 (2.67%)
2010321 Jan 2010 (0.32%), 25 Feb 2010 (-0.16%), 30 Jul 2010 (-0.26%)
2009922 Jan 2009 (-0.03%), 18 Feb 2009 (-1.23%), 22 Apr 2009 (-1.95%), 13 May 2009 (-1.36%), 08 Jun 2009 (0.82%), 24 Jul 2009 (-4.43%), 20 Oct 2009 (0.8%), 20 Nov 2009 (-4.76%), 16 Dec 2009 (0.69%)
2007608 Jan 2007 (0.87%), 23 Feb 2007 (0.31%), 13 Jun 2007 (-1.11%), 27 Jun 2007 (1.28%), 09 Oct 2007 (-2.55%), 18 Dec 2007 (1.43%)
2006303 Feb 2006 (-0.22%), 29 Mar 2006 (2.37%), 12 Oct 2006 (-1.75%)
2005514 Mar 2005 (2.02%), 03 May 2005 (-1.39%), 10 Aug 2005 (-0.05%), 26 Sep 2005 (-0.42%), 14 Dec 2005 (2.73%)
2004606 Jan 2004 (2.99%), 02 Aug 2004 (0.01%), 13 Sep 2004 (-3.35%), 29 Sep 2004 (-1.97%), 12 Oct 2004 (0.18%), 28 Dec 2004 (0.46%)
2003611 Feb 2003 (0.51%), 30 May 2003 (0.82%), 09 Jul 2003 (0.77%), 07 Aug 2003 (-2.21%), 18 Sep 2003 (-3.75%), 11 Nov 2003 (-0.09%)
2002519 Feb 2002 (-7.97%), 22 Apr 2002 (-4.64%), 16 May 2002 (0.05%), 19 Jun 2002 (-1.19%), 11 Dec 2002 (0.17%)
2001508 Jan 2001 (4.09%), 16 Feb 2001 (-0.07%), 04 Jun 2001 (2.26%), 24 Jul 2001 (1.07%), 18 Dec 2001 (2.7%)
2000217 Jan 2000 (0.15%), 14 Sep 2000 (7.15%)
1999511 Mar 1999 (-0.85%), 01 Jul 1999 (-5.11%), 19 Jul 1999 (6.97%), 28 Oct 1999 (7.09%), 30 Dec 1999 (-8.03%)
1998415 Jan 1998 (8.44%), 13 May 1998 (-2.23%), 04 Jun 1998 (9.91%), 09 Oct 1998 (4.26%)



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