Study: Sell BHEL 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 BHEL 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 BHEL 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
164942.1938211755.265602.6815247.96-3100.83-7368.421.812.230.0641709.01
217941.6238172144.748591.8423954.8-6100.93-23740.951.411.140.0099472.15
345361.938221657.898266.8727387.12-8531.83-33950.880.971.330.0211193.73
453932.4838211755.269238.0140710.58-8239.16-37535.431.121.390.0231419.28
572275.63819195011785.0239674.32-7981.04-36941.741.481.480.0271901.99
610614038211755.2612563.0234641.01-9275.5-54879.031.351.670.0362793.16
754840.0638211755.2611052.1437051.48-10426.75-58660.431.061.310.0191443.16
881640.3738231560.5311004.0931591.26-11430.24-54128.60.961.480.0292148.43
987963.7238231560.5311877.8338923.56-12348.43-57773.550.961.470.0292314.83
1078728.2338231560.5312548.2841749.05-13992.15-64892.920.91.380.0232071.8

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.23. 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 55.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.064, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BHEL Performance, X=1, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Jun 2018 (-2.35%), 13 Jul 2018 (3.2%)
2016307 Jan 2016 (0.1%), 03 Feb 2016 (-1.01%), 16 Dec 2016 (1.02%)
2015102 Nov 2015 (-0.42%)
2013105 Mar 2013 (-2.09%)
2012305 Mar 2012 (3.4%), 17 May 2012 (2.6%), 17 Jul 2012 (-1.24%)
20111010 Jan 2011 (-2.06%), 28 Jan 2011 (-3.09%), 24 Feb 2011 (1.24%), 14 Mar 2011 (2.96%), 21 Apr 2011 (-0.71%), 23 May 2011 (-0.6%), 22 Aug 2011 (-2.6%), 16 Sep 2011 (1.58%), 05 Oct 2011 (-3.68%), 12 Dec 2011 (-0.97%)
2008211 Feb 2008 (1.39%), 23 Jun 2008 (-2.85%)
2007213 Feb 2007 (-0.13%), 19 Oct 2007 (-0.27%)
2006112 Dec 2006 (0.56%)
2003121 Jul 2003 (2.87%)
2002212 Jul 2002 (0.95%), 31 Oct 2002 (3.0%)
2001303 Apr 2001 (6.1%), 11 Sep 2001 (7.62%), 28 Nov 2001 (-0.69%)
2000219 Jul 2000 (2.65%), 15 Sep 2000 (4.87%)
1999326 Jul 1999 (1.66%), 10 Sep 1999 (-1.6%), 29 Dec 1999 (0.94%)
1996129 Jul 1996 (2.84%)
1995124 Apr 1995 (7.27%)

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
nilnil-1164942.1938211755.265602.6815247.96-3100.83-7368.421.812.230.0641709.01
atrtrail23.6361966.6443172639.5312501.4823990.26-5790.71-12353.722.161.410.0281441.08
atrtrail34.150924.242162638.112592.6730815.22-5790.71-12353.722.171.340.0231212.48
atrtrail-15.2142258.842162638.112051.0838731.73-5790.71-12353.722.081.280.0181006.16
atrnil2534776.8543152834.8816948.7223990.26-7837.64-16181.172.161.160.013808.76
atrnil38.18-211374010302522702.9230815.22-8272.21-16181.172.740.91-0.0078-528.42

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. 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 55.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.064, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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