Study: Sell BHEL 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 BHEL 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 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
167466.3197574058.763352.8912581.49-3091.21-13282.481.081.550.032695.53
213000296554157.295738.1422946.54-4526.72-14402.061.271.70.0421354.19
3-12051.0396455146.886625.0528229.67-6081.92-26832.41.090.96-0.003-125.53
433837.5896474948.967449.823342.28-6455.16-27797.931.151.110.0079352.47
570386.5596504652.087699.6334342.66-6839.02-23555.681.131.220.015733.19
657277.9996474948.968477.2532274.33-6962.3-33519.071.221.170.012596.65
734942.55964848509966.2634627.67-9238.29-45349.341.081.080.0059363.98
8-10175496435344.7910337.5726760.8-10306.98-39948.5610.81-0.017-1059.94
9-15884096425443.7510517.8126828.04-11122.01-42434.630.950.74-0.025-1654.59
10-18846496445245.839796.1727750.1-11913.37-50492.930.820.7-0.028-1963.16

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.7. 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 57.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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-1213000296554157.295738.1422946.54-4526.72-14402.061.271.70.0421354.19
atrtrail23.9224186.4108337530.5612557.0122933.9-5202.6-12355.752.411.060.0049223.95
atrnil26.1127429.11107347331.7816751.3522933.9-7426.26-13169.162.261.050.0045256.35
atrnil39.54-63178.37106238321.724621.7534400.85-7584.08-13169.163.250.9-0.009-596.02
atrtrail34.36-48954.29107327529.9110753.7334400.85-5240.98-12355.752.050.88-0.01-457.52
atrtrail-14.59-96997.1107327529.919252.3929419.54-5240.98-12355.751.770.75-0.023-906.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.7. 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 57.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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.
BHEL Performance, X=2, Profit Factor:1.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Apr 2019 (-3.77%), 13 Jun 2019 (1.53%)
2018217 Jan 2018 (2.35%), 10 Sep 2018 (3.41%)
2017421 Feb 2017 (0.74%), 23 Mar 2017 (-0.03%), 13 Apr 2017 (2.05%), 09 Nov 2017 (2.93%)
2016328 Apr 2016 (-2.16%), 01 Aug 2016 (6.03%), 20 Sep 2016 (-0.93%)
2015305 Feb 2015 (6.61%), 11 Jun 2015 (-1.66%), 27 Jul 2015 (-4.26%)
2014503 Jan 2014 (0.27%), 02 Apr 2014 (5.09%), 30 May 2014 (-6.26%), 12 Nov 2014 (0.65%), 08 Dec 2014 (5.19%)
2013415 May 2013 (-5.51%), 03 Jun 2013 (1.29%), 21 Oct 2013 (1.92%), 13 Dec 2013 (0.16%)
2012303 Mar 2012 (6.94%), 16 Jul 2012 (0.5%), 12 Oct 2012 (0.31%)
2010312 Jan 2010 (-0.91%), 21 Apr 2010 (-0.9%), 16 Aug 2010 (-0.14%)
2009328 Apr 2009 (-6.85%), 12 Jun 2009 (2.39%), 22 Oct 2009 (2.89%)
2008214 Aug 2008 (1.75%), 10 Sep 2008 (0.78%)
2007526 Apr 2007 (1.09%), 06 Jun 2007 (2.13%), 30 Jul 2007 (-1.17%), 14 Sep 2007 (-0.2%), 16 Nov 2007 (5.01%)
2006616 Feb 2006 (2.57%), 13 Mar 2006 (-0.02%), 17 Apr 2006 (-1.93%), 25 Aug 2006 (-1.5%), 04 Oct 2006 (-1.1%), 31 Oct 2006 (-1.56%)
2005506 Jan 2005 (-0.37%), 03 Jun 2005 (-0.1%), 22 Sep 2005 (-3.69%), 11 Oct 2005 (2.63%), 06 Dec 2005 (-0.34%)
2004820 Jan 2004 (6.35%), 24 Feb 2004 (4.38%), 11 Mar 2004 (1.61%), 21 Apr 2004 (0.01%), 27 Jul 2004 (-0.69%), 16 Aug 2004 (2.6%), 24 Sep 2004 (1.98%), 29 Oct 2004 (-1.0%)
20031203 Jan 2003 (2.44%), 31 Jan 2003 (-5.02%), 03 Mar 2003 (-0.83%), 11 Apr 2003 (0.57%), 15 May 2003 (-4.49%), 02 Jun 2003 (2.51%), 19 Jun 2003 (-0.17%), 18 Jul 2003 (4.94%), 05 Sep 2003 (1.73%), 21 Oct 2003 (1.29%), 10 Nov 2003 (-1.76%), 11 Dec 2003 (1.54%)
2002521 Feb 2002 (-1.7%), 12 Apr 2002 (2.09%), 11 Jul 2002 (2.46%), 29 Aug 2002 (-1.84%), 18 Dec 2002 (-2.36%)
2001405 Jan 2001 (1.18%), 19 Feb 2001 (-4.5%), 06 Jun 2001 (-2.61%), 27 Nov 2001 (3.72%)
2000326 Jun 2000 (-5.03%), 23 Nov 2000 (-7.2%), 21 Dec 2000 (11.47%)
1999415 Jan 1999 (3.67%), 23 Jul 1999 (6.16%), 09 Sep 1999 (1.93%), 27 Oct 1999 (6.97%)
1998221 Apr 1998 (3.02%), 06 Oct 1998 (5.86%)
1997414 Jan 1997 (-2.04%), 21 Mar 1997 (-3.89%), 22 Apr 1997 (-1.04%), 13 Aug 1997 (4.28%)
1996411 Mar 1996 (0.84%), 09 May 1996 (-1.28%), 24 Sep 1996 (2.83%), 26 Dec 1996 (0.14%)



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