Study: Sell CEATLTD 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 CEATLTD 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 CEATLTD 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
155446.7551331864.713255.3910148.23-2887.84-11025.761.132.070.0841087.19
210010851341766.674672.9114729.04-3457.09-17080.891.352.70.111962.91
3118598503218646379.7523714.68-4753-19340.261.342.390.0922371.96
484773.5502921587872.1632008.21-6834.24-23392.251.151.590.0511695.47
556667.06502327469899.1127984.95-6333.79-21556.081.561.330.0341133.34
6-15624.55502426489895.726397.54-9735.44-38539.991.020.94-0.0072-312.49
7-22041.94502426489644.7429120.77-9750.6-37290.10.990.91-0.01-440.84
8-34548.335024264810938.1529613.41-11425.54-39939.830.960.88-0.014-690.97
9-9670.455027235410980.330189.91-13310.37-42873.260.820.97-0.0038-193.41
10-37213.355027235410035.633863.73-13398.89-34900.340.750.88-0.015-744.27

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.7. 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 66.67%, which is good. Average return per trade is 0.98%, which is not very high, 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. This chart is important and informative as it shows the performance of strategy over time.
CEATLTD Performance, X=2, Profit Factor:2.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (0.33%), 09 Apr 2019 (0.22%), 12 Jun 2019 (3.39%)
2018422 Mar 2018 (1.06%), 23 Apr 2018 (1.0%), 27 Jun 2018 (0.01%), 24 Dec 2018 (-1.01%)
2017624 Jan 2017 (-3.2%), 08 Feb 2017 (1.01%), 04 Aug 2017 (-1.42%), 25 Sep 2017 (0.94%), 23 Oct 2017 (1.0%), 01 Dec 2017 (1.32%)
2016608 Jan 2016 (-1.07%), 02 May 2016 (3.54%), 02 Aug 2016 (0.05%), 18 Aug 2016 (2.63%), 15 Nov 2016 (0.43%), 20 Dec 2016 (6.25%)
2015415 Jan 2015 (2.18%), 23 Mar 2015 (-0.1%), 22 Apr 2015 (2.38%), 03 Jun 2015 (6.81%)
2014104 Apr 2014 (-2.68%)
2013422 Jan 2013 (5.42%), 21 Mar 2013 (1.75%), 08 Apr 2013 (0.06%), 02 Aug 2013 (-8.54%)
2012424 Feb 2012 (1.6%), 27 Mar 2012 (-0.0%), 16 Jul 2012 (-0.57%), 05 Nov 2012 (1.73%)
2011528 Apr 2011 (7.36%), 20 Jun 2011 (-0.38%), 03 Oct 2011 (0.13%), 21 Nov 2011 (-1.76%), 15 Dec 2011 (3.6%)
2010822 Jan 2010 (6.81%), 23 Feb 2010 (-2.38%), 30 Mar 2010 (-1.55%), 01 Jul 2010 (2.21%), 26 Jul 2010 (2.36%), 11 Aug 2010 (1.77%), 12 Nov 2010 (5.99%), 10 Dec 2010 (-1.24%)
2009312 Jan 2009 (-0.82%), 20 Feb 2009 (0.29%), 15 Dec 2009 (-2.43%)
2008312 May 2008 (1.63%), 24 Jun 2008 (2.17%), 22 Aug 2008 (-0.27%)

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-1210010851341766.674672.9114729.04-3457.09-17080.891.352.70.111962.91
atrtrail24.4571571.1556193733.9314307.4631959.65-5412.72-12649.982.641.360.0361278.06
atrtrail35.2444741.655193634.5512559.747939.47-5385.91-12649.982.331.230.022813.48
atrtrail-15.7130242.1255193634.5511796.5739585.68-5385.91-12649.982.191.160.016549.86
atrnil310.94-42872.749113822.4526076.2747939.47-8676.62-15124.713.010.87-0.017-874.95
atrnil26.56-68887.654153927.7817569.0231959.65-8523.66-15124.712.060.79-0.032-1275.7

In the table above, row 1 shows the best exit criterion. Profit factor is 2.7. 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 66.67%, which is good. Average return per trade is 0.98%, which is not very high, 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.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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