Study: Sell BIOCON 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 BIOCON 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 BIOCON 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
1-34183.8493464749.462926.7411323.66-3591.79-27230.480.810.8-0.02-367.57
2-93805.0793375639.784397.4214302.23-4580.53-27819.080.960.63-0.042-1008.66
3-13045193405343.015125.8326886.87-6329.89-48048.330.810.61-0.043-1402.7
4-14227093395441.946569.9439174.24-7379.59-53407.680.890.64-0.038-1529.79
5-17809793365738.717575.0130586.29-7908.72-55916.980.960.6-0.045-1915.02
6-17590693385540.867614.1224883.46-8458.95-58333.330.90.62-0.041-1891.46
7-13387593365738.719075.6333540.51-8080.66-49442.381.120.71-0.03-1439.52
8-10556293375639.781001944779.26-8504.74-47986.371.180.78-0.023-1135.08
9-13977893385540.8610330.9655501.05-9679.17-47211.91.070.74-0.028-1502.99
10-18219093365738.7111730.2852312.54-10604.92-50123.921.110.7-0.034-1959.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.8. 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 49.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.

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-11-34183.8493464749.462926.7411323.66-3591.79-27230.480.810.8-0.02-367.57
atrnil38-211863101188317.8220811.8342122.12-7065.97-12886.152.950.64-0.048-2097.65
atrnil25.6-210014108268224.0713850.4528081.41-6952.75-12886.151.990.63-0.054-1944.57
atrtrail23.88-178957111318027.939020.6628081.41-5732.47-12886.151.570.61-0.053-1612.23
atrtrail34.22-182981110317928.188881.4442122.12-5801.34-12886.151.530.6-0.05-1663.47
atrtrail-14.44-224372109307927.527902.7641306.15-5841.21-12886.151.350.51-0.066-2058.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 49.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BIOCON Performance, X=1, Profit Factor:0.798

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Mar 2019 (-0.53%), 26 Mar 2019 (1.49%), 23 Apr 2019 (0.05%), 19 Sep 2019 (-0.33%)
2018807 Mar 2018 (0.67%), 04 May 2018 (0.03%), 05 Jun 2018 (-0.16%), 12 Jul 2018 (2.0%), 04 Oct 2018 (2.03%), 25 Oct 2018 (2.3%), 13 Nov 2018 (-1.15%), 24 Dec 2018 (-0.65%)
2017628 Apr 2017 (1.53%), 27 Jun 2017 (-1.56%), 11 Jul 2017 (-13.62%), 28 Sep 2017 (-0.54%), 27 Oct 2017 (-2.09%), 14 Nov 2017 (-6.61%)
2016317 Mar 2016 (1.0%), 25 Oct 2016 (3.45%), 26 Dec 2016 (-2.53%)
20151007 Jan 2015 (-1.57%), 28 Jan 2015 (0.07%), 26 Feb 2015 (-0.19%), 26 Mar 2015 (1.48%), 20 Apr 2015 (1.5%), 04 Jun 2015 (-2.14%), 21 Jul 2015 (0.67%), 12 Aug 2015 (-0.33%), 15 Oct 2015 (-2.43%), 05 Nov 2015 (-0.01%)
2014510 Mar 2014 (-0.27%), 12 May 2014 (0.58%), 09 Jul 2014 (1.18%), 25 Sep 2014 (-2.81%), 15 Dec 2014 (5.66%)
2013611 Jan 2013 (-1.59%), 26 Feb 2013 (-1.41%), 15 Mar 2013 (-0.46%), 26 Apr 2013 (-1.81%), 12 Jun 2013 (2.77%), 14 Oct 2013 (1.05%)
2012427 Feb 2012 (-2.34%), 10 May 2012 (3.11%), 27 Jul 2012 (-2.62%), 20 Nov 2012 (0.84%)
2011507 Jan 2011 (2.73%), 25 Feb 2011 (-1.93%), 20 Jun 2011 (0.07%), 12 Jul 2011 (-3.07%), 13 Dec 2011 (4.06%)
2010121 Jan 2010 (0.18%)
2009612 Jan 2009 (1.91%), 26 Feb 2009 (-2.67%), 11 Aug 2009 (0.32%), 27 Oct 2009 (0.86%), 26 Nov 2009 (0.68%), 15 Dec 2009 (-1.6%)
2008609 Jan 2008 (2.3%), 17 Mar 2008 (-0.53%), 20 Jun 2008 (1.92%), 17 Jul 2008 (0.54%), 29 Aug 2008 (-2.32%), 15 Sep 2008 (2.61%)
2007711 Jan 2007 (0.7%), 01 Jun 2007 (-0.46%), 28 Jun 2007 (1.09%), 26 Jul 2007 (1.03%), 18 Sep 2007 (0.21%), 22 Nov 2007 (-1.47%), 19 Dec 2007 (-0.99%)
2006616 Jan 2006 (0.59%), 08 Mar 2006 (0.43%), 11 May 2006 (0.7%), 24 Jul 2006 (-1.1%), 20 Oct 2006 (-3.41%), 12 Dec 2006 (-3.04%)
20051211 Jan 2005 (3.03%), 21 Feb 2005 (-0.9%), 18 Mar 2005 (1.66%), 20 Apr 2005 (-0.92%), 17 Jun 2005 (2.06%), 21 Jul 2005 (-1.38%), 08 Aug 2005 (1.17%), 23 Aug 2005 (-1.14%), 22 Sep 2005 (-1.36%), 27 Oct 2005 (-2.49%), 22 Nov 2005 (-0.67%), 07 Dec 2005 (0.01%)
2004423 Jul 2004 (-2.22%), 10 Sep 2004 (-0.77%), 06 Oct 2004 (-0.21%), 25 Nov 2004 (2.99%)



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