Study: Sell CANFINHOME when RSI is below 50 and there is Bearish Centerline 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 Centerline 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
1-24006.3691811.111613.631613.63-3202.5-7581.90.50.063-0.22-2667.37
2-38737.3491811.111553.861553.86-5036.4-12393.610.310.039-0.22-4304.15
3-24522.6192722.221418.942148.23-3908.64-13304.440.360.1-0.12-2724.73
4-33581.3892722.221229.991503.76-5148.77-10075.690.240.068-0.21-3731.26
5-31828.3191811.112719.262719.26-4318.45-6551.710.630.079-0.23-3536.48
6-19423.6293633.333460.944900.64-4967.74-8484.850.70.35-0.1-2158.18
7-27257.0493633.332921.235020.17-6003.45-10909.090.490.24-0.12-3028.56
89391.595455.566863.2118204.09-6231.14-8947.371.11.380.0271043.5
95686.3795455.567714.6716564.59-8221.74-10526.320.941.170.014631.82
10-4395.5294544.446826.7212739.09-6340.48-13013.71.080.86-0.013-488.39
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
atrnil25.7-33269.7810282012869.6718137.32-7376.14-9242.411.740.44-0.082-3326.98
atrnil38-35604.1510191027205.9827205.98-6978.9-9242.413.90.43-0.073-3560.41
atrtrail23.9-39942.551028206912.47602.02-6720.92-9242.411.030.26-0.15-3994.25
atrtrail34.1-49459.331019106222.786222.78-6186.9-9242.411.010.11-0.24-4945.93
atrtrail-14.1-49459.331019106222.786222.78-6186.9-9242.411.010.11-0.24-4945.93

In the table above, row 1 shows the best exit criterion. Profit factor is 0.44. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:0.436

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018131 Jul 2018 (9.07%)
2016114 Dec 2016 (-4.62%)
2005121 Jul 2005 (-3.51%)
2001112 Apr 2001 (-3.98%)
2000231 Aug 2000 (-3.75%), 07 Nov 2000 (-3.71%)
1998220 Nov 1998 (3.8%), 28 Dec 1998 (-1.69%)
1997224 Apr 1997 (-4.12%), 25 Apr 1997 (-4.13%)



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