Study: Sell CADILAHC 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 CADILAHC 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 CADILAHC 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
112871.3297425543.34122.7929512.04-2914.28-17900.841.411.080.0055132.69
227454.3497445345.365145.4726831.49-3753.7-27904.391.371.140.01283.03
320706.0297465147.425283.1733025.37-4359.21-18121.181.211.090.0074213.46
459452.7197524553.616328.1436772.93-5991.35-20142.51.061.220.017612.91
555391.7897504751.556985.2333051.4-6252.55-20566.981.121.190.015571.05
625321.5497514652.586590.940286.27-6756.84-26092.980.981.080.0065261.05
74852.0797534454.646876.238490.57-8172.42-36043.520.841.010.001150.02
841392.0397514652.587947.6936018.22-7911.74-34886.2711.110.009426.72
947803.5997524553.618439.533051.4-8690.01-39572.490.971.120.0094492.82
1028873.8997544355.678229.2632843.2-9662.94-55302.820.851.070.0055297.67
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil28-39615.5699326732.3215037.3425156.72-7773.29-16490.571.930.92-0.0083-400.16
atrnil311.13-91143.6994217322.3422755.137735.08-7794.53-16490.572.920.84-0.017-969.61
atrtrail24.89-151129108327629.639153.1125156.72-5842.48-13242.151.570.66-0.039-1399.34
atrtrail35.17-157041108327629.638968.3537735.08-5842.48-13242.151.540.65-0.037-1454.08
atrtrail-15.46-245244106297727.366646.1632670.9-5688.08-13242.151.170.44-0.071-2313.62

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 32.32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:0.924

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019323 Jan 2019 (-2.21%), 30 Jul 2019 (-4.08%), 14 Aug 2019 (-4.56%)
2018923 Jan 2018 (5.41%), 22 Feb 2018 (6.71%), 07 May 2018 (-2.81%), 28 Jun 2018 (-3.72%), 13 Aug 2018 (-3.39%), 21 Sep 2018 (8.89%), 28 Nov 2018 (-3.57%), 10 Dec 2018 (-3.56%), 19 Dec 2018 (-3.09%)
2017519 May 2017 (6.02%), 12 Sep 2017 (-3.99%), 26 Sep 2017 (-3.71%), 24 Oct 2017 (-2.74%), 09 Nov 2017 (6.55%)
2016622 Mar 2016 (6.74%), 03 May 2016 (-2.5%), 17 May 2016 (-2.64%), 06 Jun 2016 (5.21%), 04 Nov 2016 (7.78%), 12 Dec 2016 (7.48%)
2015526 Feb 2015 (-3.11%), 09 Jun 2015 (-3.46%), 24 Aug 2015 (-4.22%), 30 Dec 2015 (5.18%), 31 Dec 2015 (8.47%)
2014210 Apr 2014 (6.43%), 15 May 2014 (6.14%)
2013521 May 2013 (-3.39%), 26 Jun 2013 (-3.71%), 17 Jul 2013 (5.27%), 12 Aug 2013 (6.56%), 14 Oct 2013 (-2.63%)
2012716 Jan 2012 (5.75%), 05 Mar 2012 (-3.31%), 09 Apr 2012 (-3.76%), 02 May 2012 (-3.05%), 23 May 2012 (-3.47%), 17 Sep 2012 (-3.39%), 08 Nov 2012 (-3.25%)
2011603 Feb 2011 (7.73%), 18 Mar 2011 (-5.11%), 20 Jul 2011 (8.18%), 26 Sep 2011 (7.58%), 14 Nov 2011 (5.92%), 23 Dec 2011 (-3.12%)
2010405 Feb 2010 (-5.24%), 21 Apr 2010 (-3.68%), 11 Aug 2010 (-3.01%), 14 Sep 2010 (-2.85%)
2009213 Jan 2009 (-5.9%), 24 Feb 2009 (-3.89%)
2008508 Feb 2008 (-8.25%), 30 Jun 2008 (-5.4%), 21 Aug 2008 (-4.16%), 12 Sep 2008 (7.65%), 20 Nov 2008 (-6.73%)
2007528 Feb 2007 (11.35%), 18 Apr 2007 (-3.92%), 10 Aug 2007 (8.36%), 19 Oct 2007 (-3.86%), 08 Nov 2007 (-5.64%)
2006303 Feb 2006 (-3.01%), 21 Jul 2006 (-4.73%), 17 Nov 2006 (9.08%)
2005511 Feb 2005 (-5.94%), 21 Feb 2005 (9.89%), 29 Jul 2005 (-3.41%), 22 Sep 2005 (-3.08%), 20 Dec 2005 (-2.87%)
2004603 Feb 2004 (-4.89%), 04 Feb 2004 (-4.83%), 28 Apr 2004 (-5.67%), 28 May 2004 (12.58%), 05 Nov 2004 (-2.95%), 09 Dec 2004 (-2.68%)
2003204 Mar 2003 (-2.37%), 21 Apr 2003 (-2.09%)
2002621 Feb 2002 (-2.87%), 06 Mar 2002 (-3.31%), 27 Jun 2002 (-2.66%), 22 Jul 2002 (4.82%), 26 Aug 2002 (4.58%), 15 Nov 2002 (-2.47%)
20011112 Jan 2001 (-3.94%), 20 Feb 2001 (-3.82%), 21 Feb 2001 (-3.79%), 05 Mar 2001 (-4.61%), 07 Mar 2001 (9.42%), 02 Apr 2001 (10.13%), 30 Apr 2001 (-6.23%), 02 May 2001 (-6.13%), 18 Jun 2001 (9.7%), 25 Jul 2001 (-3.95%), 17 Sep 2001 (-5.42%)
2000215 Sep 2000 (9.05%), 12 Oct 2000 (-4.57%)



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