Study: Sell CANFINHOME 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 CANFINHOME 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 CANFINHOME 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
1-7741.52112526046.434202.2617935.33-3770.99-20920.51.110.97-0.0025-69.12
2-86731.891125656504488.8326491.2-6037.61-47293.450.740.74-0.019-774.39
3-73788.96112545848.216212.9230011.96-7056.67-58119.660.880.82-0.014-658.83
4-88336.76112585451.796874.2444607.76-9019.31-55270.660.760.82-0.014-788.72
5-55384.61112595352.686860.8237566.23-8682.51-35327.640.790.88-0.0094-494.51
6-135257112545848.217543.2721090.41-9355.06-35694.050.810.75-0.023-1207.65
7-116031112545848.217833.7627790.12-9294.03-32365.150.840.78-0.02-1035.99
8-40734.95112526046.439914.2435047.79-9271.25-45643.151.070.93-0.0062-363.7
9-62105.82112496343.7510553.2238010.6-9193.86-37344.41.150.89-0.0093-554.52
10-94782.09112486442.8610486.7245975.05-9346.01-37344.41.120.84-0.014-846.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 46.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.

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-11-7741.52112526046.434202.2617935.33-3770.99-20920.51.110.97-0.0025-69.12
atrnil27.86-97526.74114357930.717241.6831273.16-8873.23-22623.871.940.86-0.014-855.5
atrtrail35.09-176923125398631.210007.5743643.05-6595.56-15559.841.520.69-0.031-1415.39
atrtrail24.7-200850128408831.259644.8829095.37-6666.42-15559.841.450.66-0.037-1569.14
atrnil311.39-360288105178816.1925456.2843643.05-9011.88-22623.872.820.55-0.055-3431.32
atrtrail-15.3-265869125388730.48025.4933125.12-6561.36-15559.841.220.53-0.053-2126.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 46.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, X=1, Profit Factor:0.966

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018902 Jan 2018 (-0.58%), 17 Jan 2018 (1.83%), 07 Mar 2018 (-2.71%), 03 May 2018 (-0.46%), 04 Jul 2018 (0.07%), 06 Aug 2018 (0.89%), 30 Aug 2018 (-0.71%), 21 Sep 2018 (8.19%), 20 Nov 2018 (-2.68%)
2017322 Sep 2017 (2.65%), 11 Oct 2017 (-3.0%), 26 Oct 2017 (0.57%)
2016407 Jan 2016 (-2.19%), 11 Feb 2016 (7.27%), 10 Jun 2016 (-0.63%), 23 Dec 2016 (8.97%)
2015227 Apr 2015 (-2.53%), 25 May 2015 (0.04%)
2014123 Sep 2014 (-3.05%)
2013204 Jul 2013 (-0.26%), 25 Jul 2013 (0.34%)
2012323 Apr 2012 (0.48%), 24 Jul 2012 (0.75%), 05 Sep 2012 (-1.67%)
20111111 Jan 2011 (-3.85%), 31 Jan 2011 (-2.14%), 25 Feb 2011 (-2.02%), 17 Mar 2011 (1.58%), 02 May 2011 (2.72%), 06 Jun 2011 (-0.28%), 26 Jul 2011 (-0.27%), 03 Oct 2011 (1.19%), 14 Nov 2011 (1.65%), 13 Dec 2011 (-1.39%), 28 Dec 2011 (-0.11%)
2010212 Oct 2010 (-1.54%), 08 Nov 2010 (0.47%)
2009417 Feb 2009 (-2.19%), 13 Mar 2009 (0.2%), 30 Mar 2009 (-3.59%), 15 Dec 2009 (0.29%)
2008303 Jun 2008 (-0.21%), 19 Aug 2008 (0.07%), 10 Sep 2008 (0.72%)
2007403 May 2007 (-0.34%), 30 May 2007 (1.96%), 23 Jul 2007 (-0.0%), 16 Aug 2007 (2.21%)
2006302 Feb 2006 (0.6%), 22 May 2006 (-6.23%), 12 Dec 2006 (-0.5%)
2005720 May 2005 (-0.21%), 15 Jun 2005 (1.84%), 27 Jul 2005 (-0.97%), 24 Aug 2005 (-0.87%), 21 Sep 2005 (5.22%), 07 Oct 2005 (-0.2%), 05 Dec 2005 (-0.41%)
2004525 Feb 2004 (0.71%), 16 Mar 2004 (-1.89%), 11 May 2004 (0.79%), 09 Jun 2004 (0.51%), 12 Aug 2004 (1.27%)
2003520 Jan 2003 (-1.12%), 11 Jun 2003 (1.62%), 01 Sep 2003 (1.45%), 29 Oct 2003 (1.03%), 21 Nov 2003 (-1.97%)
2002310 Jan 2002 (-0.45%), 28 Feb 2002 (-10.46%), 01 Oct 2002 (0.18%)
2001316 Apr 2001 (-0.26%), 11 Jun 2001 (-3.7%), 17 Sep 2001 (-4.55%)
20001106 Jan 2000 (2.0%), 08 Feb 2000 (-1.08%), 22 Feb 2000 (-5.41%), 07 Mar 2000 (0.88%), 20 Apr 2000 (3.81%), 23 May 2000 (-2.11%), 11 Jul 2000 (-3.6%), 26 Jul 2000 (1.2%), 15 Sep 2000 (0.3%), 16 Oct 2000 (0.94%), 18 Dec 2000 (0.28%)
1999411 Mar 1999 (8.45%), 26 Apr 1999 (-1.43%), 27 Jul 1999 (1.16%), 15 Dec 1999 (-1.3%)
1998714 Jan 1998 (-3.05%), 11 Mar 1998 (-2.9%), 12 Jun 1998 (5.5%), 11 Aug 1998 (-3.78%), 30 Oct 1998 (-0.34%), 30 Nov 1998 (-1.03%), 14 Dec 1998 (-0.0%)
19971131 Jan 1997 (0.67%), 12 Mar 1997 (-3.36%), 01 Apr 1997 (4.0%), 05 May 1997 (-0.0%), 19 May 1997 (1.4%), 23 Jun 1997 (1.39%), 17 Jul 1997 (6.74%), 08 Sep 1997 (-0.0%), 29 Sep 1997 (2.53%), 28 Oct 1997 (-4.78%), 18 Dec 1997 (-0.0%)
1996518 Jan 1996 (3.8%), 01 Mar 1996 (3.87%), 30 Apr 1996 (-4.88%), 26 Jun 1996 (-0.0%), 19 Sep 1996 (-1.87%)



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