Study: Sell CANFINHOME 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 CANFINHOME 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 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
11984594494552.133589.0513861.39-3467.07-15172.411.041.130.0089211.12
2-55755.4694425244.684878.8126402.64-5012.8-28339.350.970.79-0.017-593.14
3-56921.9794464848.945587.2631683.17-6540.33-31690.140.850.82-0.015-605.55
4-90284.293435046.245372.0720462.05-6425.66-28169.010.840.72-0.026-970.8
5-89183.0993444947.316895.8223102.31-8012.23-35116.280.860.77-0.019-958.96
6-77472.1293444947.317637.0823102.31-8438.85-44039.270.90.81-0.015-833.03
7-75435.5593514254.848003.4323762.38-11514.54-52734.920.70.84-0.013-811.13
8-31676.7493504353.769017.8531335.8-11222.55-39270.690.80.93-0.0056-340.61
9-22145.4893514254.849939.2435562.01-12596.35-36185.130.790.96-0.0035-238.12
10-96072.2393504353.7610621.3835590.12-14584.68-36465.640.730.85-0.014-1033.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. 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 52.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0089, 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.

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-111984594494552.133589.0513861.39-3467.07-15172.411.041.130.0089211.12
atrnil27.15-130997107307728.0416782.5128970.28-8239.9-17278.922.040.79-0.022-1224.27
atrnil310.53-251057104188617.3125731.8243455.43-8305-17278.923.10.65-0.038-2414.01
atrtrail24.61-178334109288125.6910544.7228970.28-5846.74-15254.091.80.62-0.039-1636.09
atrtrail35.09-224043109288125.698912.2434330.65-5846.74-15254.091.520.53-0.051-2055.44
atrtrail-15.18-272857109288125.697168.8722113.01-5846.74-15254.091.230.42-0.074-2503.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 52.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0089, 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, X=1, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Jan 2019 (-0.96%), 11 Jun 2019 (0.23%)
2018108 Mar 2018 (1.15%)
2017414 Feb 2017 (-4.04%), 27 Mar 2017 (0.27%), 11 May 2017 (2.91%), 28 Jun 2017 (-2.72%)
2016506 Jan 2016 (3.94%), 25 Apr 2016 (0.09%), 19 Aug 2016 (-0.64%), 20 Sep 2016 (-0.41%), 26 Oct 2016 (1.43%)
2015627 Jan 2015 (-2.95%), 05 Mar 2015 (1.56%), 24 Apr 2015 (3.87%), 28 Jul 2015 (1.4%), 23 Oct 2015 (0.76%), 30 Nov 2015 (0.05%)
2014808 Jan 2014 (0.64%), 20 Feb 2014 (-0.2%), 22 Mar 2014 (0.24%), 02 May 2014 (-0.63%), 11 Jun 2014 (0.11%), 14 Jul 2014 (-1.65%), 22 Sep 2014 (2.0%), 31 Oct 2014 (0.05%)
2013419 Mar 2013 (3.94%), 13 May 2013 (-0.17%), 11 Nov 2013 (0.92%), 09 Dec 2013 (-0.4%)
2012501 Feb 2012 (0.34%), 23 Feb 2012 (-0.65%), 22 Mar 2012 (-0.95%), 01 Nov 2012 (0.08%), 21 Nov 2012 (0.42%)
2011129 Apr 2011 (1.17%)
2010310 May 2010 (1.19%), 26 Jul 2010 (-3.81%), 20 Aug 2010 (-0.81%)
2009715 Jan 2009 (-1.08%), 31 Mar 2009 (2.69%), 29 Apr 2009 (-3.97%), 11 Jun 2009 (5.91%), 01 Oct 2009 (1.33%), 26 Oct 2009 (2.51%), 14 Dec 2009 (0.98%)
2007212 Jan 2007 (0.8%), 22 Nov 2007 (1.1%)
2006522 Feb 2006 (0.29%), 28 Apr 2006 (-1.77%), 23 May 2006 (-1.33%), 18 Oct 2006 (-0.09%), 11 Dec 2006 (2.83%)
2005507 Jan 2005 (0.6%), 17 Feb 2005 (0.2%), 14 Sep 2005 (-0.31%), 06 Oct 2005 (2.04%), 06 Dec 2005 (0.41%)
2004407 Jan 2004 (-3.22%), 03 May 2004 (-7.59%), 27 Sep 2004 (-0.0%), 01 Dec 2004 (-1.99%)
2003708 Jan 2003 (-0.56%), 17 Mar 2003 (-0.0%), 11 Apr 2003 (-1.9%), 27 Jun 2003 (-0.56%), 24 Jul 2003 (2.12%), 28 Oct 2003 (5.96%), 19 Dec 2003 (-2.56%)
2002628 Jan 2002 (-0.44%), 01 Mar 2002 (-7.2%), 12 Apr 2002 (-1.13%), 10 May 2002 (0.37%), 09 Jul 2002 (2.05%), 18 Sep 2002 (-0.0%)
2001508 Jan 2001 (-0.0%), 19 Feb 2001 (1.73%), 08 Jun 2001 (4.85%), 22 Nov 2001 (-0.0%), 10 Dec 2001 (-3.85%)
1999521 Jan 1999 (-0.66%), 09 Feb 1999 (2.31%), 11 Jun 1999 (-2.61%), 26 Jul 1999 (1.99%), 02 Nov 1999 (-5.81%)
1998519 Jan 1998 (3.33%), 09 Apr 1998 (-5.63%), 27 Apr 1998 (3.23%), 28 May 1998 (-0.33%), 17 Sep 1998 (-0.65%)
1997313 Mar 1997 (2.6%), 16 Jul 1997 (6.93%), 29 Oct 1997 (-0.0%)
1996101 May 1996 (-1.77%)



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