Study: Sell BIOCON 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 BIOCON 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 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
119306.6643232503808.810969.89-3205.47-13303.771.191.190.017301.67
2-57732.7163283544.443734.3514813.13-4636.98-18167.580.810.64-0.038-916.39
3-77134.0963263741.274907.5219881.98-5533.23-23802.610.890.62-0.041-1224.35
4-76258.8763283544.446415.3622318.05-7311.12-42428.640.880.7-0.031-1210.46
5-13068963283544.445951.1125480.06-8494.84-34034.830.70.56-0.054-2074.42
6-12995463283544.446772.1918066.03-9130.73-37013.830.740.59-0.051-2062.77
7-17231363273642.867015.1123974.76-10047.81-38345.670.70.52-0.059-2735.13
8-22929563224134.927771.6127865.87-9762.7-40566.760.80.43-0.077-3639.61
9-26769063214233.337217.9622952.95-9982.56-32907.840.720.36-0.096-4249.06
10-32152263204331.757983.2718990.25-11190.42-37886.140.710.33-0.1-5103.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1119306.6643232503808.810969.89-3205.47-13303.771.191.190.017301.67
atrnil26.46-12591676205626.3213991.1621360.82-7245.34-177491.930.69-0.043-1656.79
atrnil310.03-14137576156119.7420213.7727002.9-7288.23-177492.770.68-0.042-1860.2
atrtrail34.88-11524376175922.3711365.6425228.82-5228.12-14780.032.170.63-0.047-1516.36
atrtrail24.53-11562976185823.6810614.9621360.82-5287.9-14780.032.010.62-0.051-1521.44
atrtrail-15.11-15974076175922.378748.1519732.75-5228.12-14780.031.670.48-0.078-2101.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BIOCON Performance, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Jul 2019 (2.14%), 27 Oct 2019 (-0.58%), 14 Nov 2019 (-1.0%)
2018205 Feb 2018 (3.35%), 03 Oct 2018 (5.48%)
2017720 Jan 2017 (-2.49%), 15 Feb 2017 (-3.46%), 31 Mar 2017 (0.1%), 31 Jul 2017 (2.08%), 26 Oct 2017 (2.53%), 15 Nov 2017 (2.36%), 21 Dec 2017 (-0.06%)
2016612 Jan 2016 (1.75%), 16 May 2016 (0.2%), 10 Jun 2016 (-0.54%), 16 Aug 2016 (-0.58%), 09 Sep 2016 (2.46%), 29 Sep 2016 (-1.11%)
2015310 Mar 2015 (1.12%), 25 Mar 2015 (0.37%), 01 Jul 2015 (0.53%)
2014309 Jan 2014 (1.6%), 09 May 2014 (2.32%), 26 Sep 2014 (-2.49%)
2013529 Apr 2013 (-1.2%), 07 Aug 2013 (-6.65%), 23 Aug 2013 (-0.34%), 21 Nov 2013 (-1.49%), 12 Dec 2013 (2.66%)
2012524 Feb 2012 (5.36%), 23 Jul 2012 (-1.32%), 29 Aug 2012 (-1.04%), 24 Sep 2012 (-1.9%), 06 Dec 2012 (-0.39%)
2011329 Apr 2011 (0.46%), 26 Jul 2011 (-1.27%), 02 Nov 2011 (0.09%)
2010516 Apr 2010 (-1.17%), 05 Jul 2010 (-1.06%), 27 Aug 2010 (-2.97%), 23 Sep 2010 (-0.29%), 28 Oct 2010 (2.43%)
2009621 Apr 2009 (2.53%), 17 Jun 2009 (-3.05%), 02 Jul 2009 (-0.07%), 04 Sep 2009 (-4.62%), 26 Oct 2009 (5.17%), 16 Dec 2009 (-2.21%)
2008107 May 2008 (1.27%)
2007713 Feb 2007 (-0.19%), 28 Feb 2007 (2.5%), 29 Mar 2007 (-3.66%), 23 Apr 2007 (-0.45%), 22 Oct 2007 (-2.13%), 21 Nov 2007 (2.28%), 18 Dec 2007 (1.95%)
2006206 Sep 2006 (0.98%), 25 Sep 2006 (0.21%)
2005522 Jul 2005 (0.23%), 24 Aug 2005 (-0.34%), 23 Sep 2005 (-1.19%), 26 Oct 2005 (3.01%), 21 Nov 2005 (0.8%)
2004122 Jul 2004 (0.63%)



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