Study: Sell BPCL 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 BPCL 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 BPCL 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
141927.59124636150.814858.0718518.52-4330.01-15234.61.121.160.011338.13
2-1162.57124566845.166385.4224487.85-5275.68-19951.631.211-0.00025-9.38
3-28958.18124655952.426293.0131189.46-7423.8-24498.970.850.93-0.005-233.53
4-115065124566845.168136.5535667.78-8392.82-26480.920.970.8-0.018-927.94
5-290740124566845.169186.6735127.84-11841.08-59090.910.780.64-0.034-2344.68
6-315335124507440.3211265.8142443.3-11873.32-68181.820.950.64-0.034-2543.03
7-263763124566845.1611142.8161127.33-13055.3-68227.270.850.7-0.027-2127.12
8-155695124596547.5812509.6553716.6-13750.21-68181.820.910.83-0.014-1255.6
9-19410512462625012658.8850436.72-15789.6-64727.270.80.8-0.017-1565.36
10-264306124576745.9713150.454974.17-15132.52-68181.820.870.74-0.023-2131.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.16. 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 50.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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-1141927.59124636150.814858.0718518.52-4330.01-15234.61.121.160.011338.13
atrnil38.9-21011.49122319125.4123991.8853424.65-8403.96-18013.982.850.97-0.0023-172.23
atrnil26.49-25875.27128448434.3815619.7235616.44-8489.79-18013.981.840.96-0.0034-202.15
atrtrail24.08-92186.83134449032.8410918.6635616.44-6362.31-15002.21.720.84-0.015-687.96
atrtrail34.52-112629132429031.8210808.7753424.65-6295.53-15002.21.720.8-0.017-853.25
atrtrail-14.89-136458131428932.0610203.4149773.51-6348.33-15002.21.610.76-0.021-1041.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 50.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
BPCL Performance, X=1, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019529 Jan 2019 (0.64%), 13 May 2019 (-0.99%), 11 Jun 2019 (1.55%), 25 Jul 2019 (-1.03%), 22 Aug 2019 (-5.22%)
2018801 Jan 2018 (1.73%), 14 Feb 2018 (-3.25%), 21 Mar 2018 (3.7%), 13 Apr 2018 (-0.69%), 24 May 2018 (-2.48%), 27 Jun 2018 (4.14%), 09 Aug 2018 (-3.25%), 05 Oct 2018 (0.15%)
2017115 Feb 2017 (0.79%)
2016120 Jan 2016 (1.12%)
2015409 Oct 2015 (-0.06%), 30 Oct 2015 (-0.08%), 18 Nov 2015 (-2.65%), 09 Dec 2015 (-2.48%)
2014202 Jan 2014 (2.99%), 28 Jul 2014 (0.23%)
2013720 Mar 2013 (3.01%), 10 Apr 2013 (0.87%), 21 Jun 2013 (2.7%), 10 Jul 2013 (-1.28%), 30 Jul 2013 (-4.0%), 03 Sep 2013 (-1.46%), 16 Dec 2013 (-0.9%)
2012329 May 2012 (1.45%), 16 Oct 2012 (0.3%), 21 Dec 2012 (-0.92%)
2011723 Feb 2011 (4.1%), 10 Mar 2011 (-0.46%), 18 Apr 2011 (-2.71%), 18 May 2011 (0.11%), 23 Jun 2011 (-2.84%), 17 Oct 2011 (-1.5%), 26 Dec 2011 (-0.56%)
2010515 Feb 2010 (-2.21%), 02 Mar 2010 (-0.18%), 08 Jun 2010 (-1.66%), 16 Nov 2010 (-1.86%), 29 Dec 2010 (1.48%)
2009523 Jan 2009 (-4.88%), 26 Feb 2009 (0.76%), 05 May 2009 (1.71%), 22 Jul 2009 (-2.48%), 17 Sep 2009 (-1.44%)
2008910 Jan 2008 (0.62%), 07 Mar 2008 (-0.06%), 07 Apr 2008 (1.65%), 23 Apr 2008 (1.11%), 08 May 2008 (2.61%), 04 Jun 2008 (6.35%), 30 Jun 2008 (3.51%), 10 Oct 2008 (-3.65%), 11 Dec 2008 (-6.0%)
2007502 Feb 2007 (-1.77%), 26 Jun 2007 (1.86%), 12 Jul 2007 (-1.61%), 21 Aug 2007 (0.12%), 17 Dec 2007 (-5.1%)
2006630 Jan 2006 (1.52%), 28 Feb 2006 (-0.72%), 20 Apr 2006 (0.59%), 12 May 2006 (2.84%), 17 Jul 2006 (-2.01%), 07 Nov 2006 (3.34%)
2005629 Apr 2005 (-5.02%), 06 Jun 2005 (1.06%), 05 Jul 2005 (-2.0%), 12 Aug 2005 (1.65%), 30 Aug 2005 (-0.46%), 05 Dec 2005 (2.58%)
2004720 Feb 2004 (4.49%), 12 Mar 2004 (2.35%), 27 Apr 2004 (1.79%), 09 Jul 2004 (-0.05%), 12 Aug 2004 (1.69%), 06 Sep 2004 (-0.62%), 24 Sep 2004 (-0.56%)
2003410 Mar 2003 (-2.25%), 06 Aug 2003 (-5.29%), 17 Sep 2003 (0.2%), 20 Nov 2003 (0.3%)
2002220 May 2002 (3.6%), 26 Jun 2002 (-0.74%)
2001425 May 2001 (-3.72%), 06 Jul 2001 (0.89%), 16 Aug 2001 (-0.23%), 31 Aug 2001 (5.79%)
2000508 Feb 2000 (-7.62%), 19 Apr 2000 (5.97%), 26 Jun 2000 (0.38%), 20 Jul 2000 (-0.25%), 19 Sep 2000 (-4.29%)
1999418 Jan 1999 (4.51%), 03 Mar 1999 (4.37%), 01 Apr 1999 (2.35%), 28 Sep 1999 (-0.18%)
1998914 Jan 1998 (0.74%), 17 Mar 1998 (-0.55%), 15 Jun 1998 (2.66%), 02 Jul 1998 (-0.91%), 06 Aug 1998 (6.43%), 02 Sep 1998 (3.74%), 05 Oct 1998 (8.0%), 26 Nov 1998 (3.42%), 16 Dec 1998 (6.4%)
1997511 Mar 1997 (-2.08%), 08 Sep 1997 (2.33%), 25 Sep 1997 (-2.06%), 24 Oct 1997 (1.96%), 05 Dec 1997 (1.79%)
1996518 Jan 1996 (-0.0%), 20 Jun 1996 (1.47%), 24 Sep 1996 (-5.94%), 05 Nov 1996 (0.45%), 28 Nov 1996 (0.72%)
1995502 May 1995 (-1.92%), 05 Jun 1995 (-2.41%), 25 Jul 1995 (-7.05%), 17 Aug 1995 (-1.43%), 20 Oct 1995 (9.26%)



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