Study: Sell CADILAHC when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
12015.5628131546.434887.0629512.04-4101.09-17900.841.191.030.002171.98
28273.2228121642.866892.426831.49-4652.22-27904.391.481.110.0078295.47
342868.9828161257.146463.0933025.37-5045.04-18121.181.281.710.0411531.03
453978.6128161257.148222.0236772.93-6464.48-15341.861.271.70.0441927.81
529390.55281414508317.1433051.4-6217.82-20566.981.341.340.0241049.66
611650.4428131546.438179.9840286.27-6312.62-24458.031.31.120.0088416.09
710611.6228121642.868868.9438490.57-5988.48-25125.071.481.110.0079378.99
822682.9281414508570.1336018.22-6949.92-24569.211.231.230.017810.1
9-9643.6328131546.438523.7533051.4-8030.16-26459.141.060.92-0.0068-344.42
10-14526.5528131546.4310218.4132843.2-9824.39-24458.031.040.9-0.0093-518.81
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
atrnil29.2616747.1427111640.7414576.8225156.72-8974.87-16490.571.621.120.012620.26
atrtrail35.83-44202.063072323.3312913.3437735.08-5851.98-13242.152.210.67-0.032-1473.4
atrnil313.74-63539.142762122.2220028.9137735.08-8748.22-16490.572.290.65-0.042-2353.3
atrtrail-16.21-47333.22962320.6914543.7132670.9-5851.98-13242.152.490.65-0.035-1632.18
atrtrail25.37-53538.63072323.3311579.5525156.72-5851.98-13242.151.980.6-0.046-1784.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 40.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
CADILAHC Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019231 Jul 2019 (8.12%), 30 Sep 2019 (-3.75%)
2018222 Feb 2018 (6.71%), 28 Jun 2018 (-3.72%)
2017119 May 2017 (6.02%)
2015230 Dec 2015 (5.18%), 31 Dec 2015 (8.47%)
2014110 Apr 2014 (6.43%)
2013221 May 2013 (-3.39%), 17 Jul 2013 (5.27%)
2012109 Apr 2012 (-3.76%)
2011103 Feb 2011 (7.73%)
2010121 Apr 2010 (-3.68%)
2008308 Feb 2008 (-8.25%), 30 Jun 2008 (-5.4%), 20 Nov 2008 (-6.73%)
2007108 Nov 2007 (-5.64%)
2006221 Jul 2006 (-4.73%), 17 Nov 2006 (9.08%)
2005120 Dec 2005 (-2.87%)
2004228 Apr 2004 (-5.67%), 28 May 2004 (12.58%)
2003104 Mar 2003 (-2.37%)
2002226 Aug 2002 (4.58%), 15 Nov 2002 (-2.47%)
2001212 Jan 2001 (-3.94%), 17 Sep 2001 (-5.42%)



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