Study: Sell CANBK 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 CANBK 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 CANBK 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
155768.6575403553.334510.3519939.69-3561.3-11010.931.271.450.034743.58
272191.3875383750.677604.6335458.43-5859.04-158451.31.330.026962.55
338777.9475344145.33967146249.53-7074.05-37003.971.371.130.011517.04
494084.0475383750.6710339.3144868.28-8075.94-31646.831.281.310.0241254.45
537899.5675403553.3311164.3663391.88-11676.43-43342.590.961.090.0077505.33
632371.177539365212084.149478.59-12191.91-35740.770.991.070.0066431.62
7-80390.6775383750.6711256.8948984.63-13733.85-55624.230.820.84-0.016-1071.88
8-1293137539365211576.1240587.27-16132.82-79251.280.720.78-0.022-1724.17
9-1484817536394812660.2633452.25-15493.59-89987.640.820.75-0.025-1979.74
10-11991775403553.3312528.7543441.27-17744.78-86738.480.710.81-0.019-1598.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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-1155768.6575403553.334510.3519939.69-3561.3-11010.931.271.450.034743.58
atrnil25.3567090.1585315436.4716497.9725498.85-8228.65-15499.7121.150.016789.3
atrtrail23.71-23989.8485315436.4710315.1825498.85-6365.94-15499.711.620.93-0.0072-282.23
atrnil38.48-53203.0481196223.4624209.5636209.23-8277.17-15499.712.920.9-0.011-656.83
atrtrail-14.53-82213.3683295434.949121.2847535.76-6420.94-15499.711.420.76-0.024-990.52
atrtrail34.16-10800983295434.948231.7832507.51-6420.94-15499.711.280.69-0.036-1301.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
CANBK Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Jan 2019 (0.09%), 05 Apr 2019 (2.23%), 11 Jun 2019 (-0.13%), 09 Jul 2019 (-0.02%)
2018214 Aug 2018 (1.13%), 03 Dec 2018 (1.59%)
2017416 Feb 2017 (1.4%), 15 May 2017 (-2.43%), 27 Jul 2017 (-2.84%), 10 Nov 2017 (1.54%)
2016321 Sep 2016 (-2.02%), 13 Oct 2016 (-0.89%), 08 Dec 2016 (-1.4%)
2015307 Jan 2015 (-3.37%), 02 Feb 2015 (3.38%), 26 Oct 2015 (0.43%)
2014606 Jan 2014 (1.12%), 16 Apr 2014 (-5.51%), 07 May 2014 (2.45%), 12 Jun 2014 (4.28%), 21 Nov 2014 (-1.55%), 16 Dec 2014 (-0.04%)
2013410 Jan 2013 (0.45%), 30 May 2013 (3.29%), 25 Oct 2013 (2.8%), 12 Nov 2013 (0.42%)
2012423 Feb 2012 (1.14%), 11 Oct 2012 (-0.29%), 15 Nov 2012 (1.4%), 14 Dec 2012 (-1.64%)
2011321 Mar 2011 (-0.27%), 28 Apr 2011 (1.3%), 26 Oct 2011 (-4.12%)
2010812 Jan 2010 (0.98%), 13 Apr 2010 (2.23%), 19 May 2010 (-0.64%), 23 Jun 2010 (-1.67%), 26 Jul 2010 (0.13%), 26 Aug 2010 (1.8%), 23 Sep 2010 (-2.07%), 16 Nov 2010 (-0.57%)
2009619 Jan 2009 (2.65%), 03 Jun 2009 (-2.11%), 10 Aug 2009 (-0.5%), 26 Oct 2009 (6.34%), 17 Nov 2009 (1.01%), 11 Dec 2009 (2.55%)
2008315 Jan 2008 (2.92%), 20 Aug 2008 (2.3%), 11 Sep 2008 (2.41%)
2007331 May 2007 (-4.6%), 24 Jul 2007 (4.69%), 19 Dec 2007 (-0.97%)
2006919 Jan 2006 (0.69%), 03 Feb 2006 (0.13%), 22 Feb 2006 (1.73%), 08 Mar 2006 (-0.22%), 17 May 2006 (9.97%), 09 Oct 2006 (0.07%), 03 Nov 2006 (0.73%), 21 Nov 2006 (-0.17%), 08 Dec 2006 (8.33%)
2005506 Jan 2005 (-1.38%), 15 Feb 2005 (2.69%), 16 Mar 2005 (3.6%), 30 Jun 2005 (-2.7%), 27 Jul 2005 (-4.24%)
2004329 Apr 2004 (-0.21%), 15 Sep 2004 (-2.85%), 09 Oct 2004 (-0.19%)
2003523 Apr 2003 (-2.8%), 23 May 2003 (-2.88%), 23 Jul 2003 (-1.27%), 08 Sep 2003 (1.83%), 23 Oct 2003 (-3.79%)



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