Study: Sell CANFINHOME 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 CANFINHOME 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 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
113472.3731181358.063926.4816901.41-4400.32-20920.50.891.240.015434.59
2-18654.3231171454.845380.0814634.15-7865.4-36820.080.680.83-0.013-601.75
33010.2931171454.847035.415492.96-8327.96-32217.570.841.030.002197.11
424380.6631201164.527411.5324716.55-11259.08-24267.780.661.20.015786.47
520095.9831181358.068123.1619000-9701.61-24686.190.841.160.013648.26
610370.3531181358.067778.2918200-9972.22-31161.470.781.080.0064334.53
719260.2431191261.298363.4124417.13-11637.04-20963.170.721.140.011621.3
834069.2531171454.8410784.0428816.7-10661.39-20974.891.011.230.0181099.01
985848.1531191261.2911651.9528845.97-11294.91-18091.451.031.630.0442769.3
1070614.5431171454.8412008.1924251.29-9537.48-19886.361.261.530.0382277.89
Although, strategy looks good but profit factor on day 2 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
atrnil27.75953.6632122037.516089.7721291.65-9606.18-22623.871.6710.0004929.8
atrtrail35.61629.833112233.3312722.3923996.82-6332.57-14760.052.0110.0003719.08
atrtrail25-13524.5233112233.3311435.6321194.78-6332.57-14760.051.810.9-0.009-409.83
atrtrail-16.03-35600.1433112233.339428.7619770.42-6332.57-14760.051.490.74-0.026-1078.79
atrnil312.19-77254.813162519.3525635.3431937.48-9242.67-22623.872.770.67-0.037-2492.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.015%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00049, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 Mar 2018 (-4.5%), 03 May 2018 (7.62%)
2017222 Sep 2017 (-3.21%), 26 Oct 2017 (7.74%)
2016107 Jan 2016 (-3.28%)
2015127 Apr 2015 (-6.37%)
2012223 Apr 2012 (8.0%), 24 Jul 2012 (6.75%)
2011302 May 2011 (9.76%), 26 Jul 2011 (6.32%), 14 Nov 2011 (7.5%)
2008119 Aug 2008 (-3.03%)
2006202 Feb 2006 (-3.86%), 12 Dec 2006 (-3.43%)
2005420 May 2005 (-3.68%), 15 Jun 2005 (6.46%), 07 Oct 2005 (10.6%), 05 Dec 2005 (4.96%)
2004111 May 2004 (10.65%)
2003420 Jan 2003 (-2.47%), 28 Jan 2003 (-3.3%), 29 Jan 2003 (-3.31%), 11 Jun 2003 (-5.32%)
2002128 Feb 2002 (-7.38%)
2001117 Sep 2001 (-6.01%)
2000216 Oct 2000 (-5.39%), 18 Dec 2000 (-3.89%)
1999211 Mar 1999 (-11.31%), 27 Jul 1999 (-4.56%)
1998112 Jun 1998 (-5.78%)
1997123 Jun 1997 (10.17%)
1996101 Mar 1996 (-5.97%)



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