Study: Sell CENTURYTEX 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 CENTURYTEX 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 CENTURYTEX 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
1-25297.0797484949.484176.7713986.47-4607.79-15063.690.910.89-0.0093-260.79
22336.7197494850.526421.1324422.44-6506.22-28810.810.991.010.0005524.09
330967.6797524553.618742.5938283.83-9414.37-39304.920.931.070.0053319.25
436657.3197494850.5210516.3436952.38-9971.74-33825.941.051.080.0056377.91
581896.9597544355.6711381.5238118.81-12388.5-39147.330.921.150.011844.3
626525097494850.5217173.05112385-12004.77-69838.641.431.460.0272734.54
728818697534454.6417905.28115144-15018.04-69838.641.191.440.0262970.99
834646197554256.718647.41114521-16170.15-92097.641.151.510.0293571.76
927210197564157.7317548.33115756-17331.84-93090.611.011.380.0232805.17
1028234397574058.7618300.65113787-19019.85-98634.670.961.370.0232910.75
Although, strategy looks good but profit factor on day 1 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
atrtrail-15.28144593109416837.6116923.6690132.05-8077.6-34303.182.11.260.0161326.54
atrtrail34.3629371.39109416837.6114113.3836627.25-8077.6-34303.181.751.050.0041269.46
atrnil251755.62109397035.7818486.8835738.44-10274.75-34303.181.810.0002216.11
atrnil37.24-20346.18105297627.6226152.8853607.67-10247.1-34303.182.550.97-0.0023-193.77
atrtrail23.75-26537.07111417036.9413196.2535738.44-8108.33-34303.181.630.95-0.004-239.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 37.61%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CENTURYTEX Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Jul 2019 (0.67%), 23 Jul 2019 (-0.79%), 21 Aug 2019 (-1.0%), 01 Oct 2019 (0.63%)
2018302 May 2018 (1.51%), 23 Oct 2018 (-5.33%), 24 Dec 2018 (-3.18%)
2017208 Nov 2017 (-2.72%), 30 Nov 2017 (0.96%)
2016507 Jan 2016 (6.97%), 29 Feb 2016 (-5.18%), 03 Aug 2016 (-3.11%), 09 Nov 2016 (-4.9%), 10 Nov 2016 (18.57%)
2015404 Feb 2015 (4.65%), 02 Jun 2015 (1.67%), 05 Nov 2015 (-1.1%), 08 Dec 2015 (0.7%)
2014327 Jan 2014 (-3.12%), 16 Sep 2014 (-3.32%), 20 Nov 2014 (0.32%)
2013511 Jan 2013 (-2.85%), 22 Feb 2013 (3.19%), 23 May 2013 (-4.08%), 17 Jul 2013 (-4.65%), 29 Jul 2013 (6.35%)
2012217 Jul 2012 (-3.62%), 27 Aug 2012 (-2.73%)
2011411 Jan 2011 (-3.73%), 12 Jan 2011 (16.67%), 11 Nov 2011 (12.16%), 12 Dec 2011 (9.08%)
2010722 Feb 2010 (-2.6%), 25 Mar 2010 (-3.22%), 19 Apr 2010 (-3.51%), 15 Jul 2010 (-1.61%), 26 Jul 2010 (-0.95%), 27 Aug 2010 (-3.01%), 12 Nov 2010 (12.41%)
2009712 Jan 2009 (-10.17%), 05 Feb 2009 (-8.12%), 18 Feb 2009 (-4.34%), 10 Aug 2009 (-6.36%), 26 Oct 2009 (5.37%), 30 Nov 2009 (-4.68%), 17 Dec 2009 (-1.3%)
20081110 Jan 2008 (-4.74%), 04 Mar 2008 (-8.17%), 05 Mar 2008 (-2.92%), 13 Mar 2008 (-4.73%), 09 May 2008 (-3.77%), 20 Jun 2008 (-3.17%), 30 Jun 2008 (-0.57%), 16 Jul 2008 (-9.29%), 20 Aug 2008 (0.8%), 12 Sep 2008 (45.07%), 01 Dec 2008 (-17.15%)
2007108 May 2007 (-5.18%)
2006425 Jan 2006 (-4.09%), 20 Feb 2006 (-3.77%), 19 Jul 2006 (-6.77%), 12 Dec 2006 (-4.85%)
2005606 Jan 2005 (-4.67%), 03 May 2005 (-3.35%), 17 Jun 2005 (-3.08%), 28 Jun 2005 (-3.9%), 22 Sep 2005 (-4.34%), 21 Dec 2005 (-0.94%)
2004407 Jan 2004 (10.47%), 24 Feb 2004 (-3.19%), 16 Mar 2004 (11.84%), 12 Aug 2004 (-4.81%)
2003205 Mar 2003 (3.32%), 21 Oct 2003 (13.43%)
2002628 Jan 2002 (2.55%), 28 Feb 2002 (-6.41%), 24 Apr 2002 (-4.08%), 20 May 2002 (-5.56%), 24 Sep 2002 (-0.95%), 17 Oct 2002 (-5.49%)
2001511 May 2001 (-3.97%), 04 Jun 2001 (0.46%), 29 Aug 2001 (-2.89%), 30 Aug 2001 (2.4%), 01 Nov 2001 (-4.79%)
2000311 Jan 2000 (12.03%), 02 Mar 2000 (-1.51%), 20 Sep 2000 (15.2%)
1999419 Jan 1999 (-1.12%), 12 Apr 1999 (-5.34%), 19 Apr 1999 (7.27%), 27 Oct 1999 (10.18%)
1998512 Jan 1998 (-2.31%), 21 Aug 1998 (-4.28%), 24 Aug 1998 (4.79%), 05 Oct 1998 (-6.86%), 28 Nov 1998 (-2.15%)
1997417 Mar 1997 (8.44%), 09 May 1997 (1.54%), 19 Aug 1997 (4.48%), 06 Nov 1997 (29.12%)
1996524 Jun 1996 (1.5%), 06 Aug 1996 (-3.47%), 07 Aug 1996 (5.51%), 16 Sep 1996 (0.44%), 18 Nov 1996 (34.0%)
1995321 Apr 1995 (1.77%), 12 Oct 1995 (-0.69%), 27 Oct 1995 (18.42%)



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