Study: Sell CENTURYTEX 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 CENTURYTEX 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 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
1-60854.71104465844.234088.2421460.73-4291.62-16599.520.950.76-0.021-585.14
2-123872104396537.56809.522528.46-5991.43-24202.131.140.68-0.028-1191.08
3-113337104475745.197991.9425201.32-8578.22-24548.230.930.77-0.021-1089.78
4-161922104446042.319610.134372.37-9746.11-39776.950.990.72-0.025-1556.94
5-220101104505448.088713.4148313.58-12143.91-51672.860.720.66-0.03-2116.35
6-131576104564853.8511012.555240.16-15589.09-71747.210.710.82-0.014-1265.15
7-180361104455943.2714511.1463298.09-14124.79-86988.851.030.78-0.017-1734.24
8-197808104554952.8812528.5466545.12-18099.54-74907.060.690.78-0.018-1902
9-60662.2610452525015952.3660164.08-17118.94-72676.580.930.93-0.0053-583.29
10-108919104505448.0816946.4662716.5-17708.19-62639.410.960.89-0.0095-1047.3
Although, strategy looks good but profit factor on day 5 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
atrtrail23.61-98295.52130389229.2314167.9232957.67-6920.4-17020.742.050.85-0.014-756.12
atrnil24.95-13799513039913017369.4732957.67-8960.48-17020.741.940.83-0.017-1061.5
atrtrail34.11-119549129379228.6813946.2934776.65-6908.28-17020.742.020.81-0.017-926.74
atrtrail-14.5-126910128369228.1213774.7375345.6-6769.57-17020.742.030.8-0.016-991.48
atrnil37-1848631282710121.0926516.9742938.74-8919.03-17020.742.970.79-0.019-1444.25

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 29.23%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CENTURYTEX Performance, Profit Factor:0.846

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Apr 2019 (-2.77%), 07 Jun 2019 (6.58%)
2018412 Jan 2018 (0.71%), 06 Sep 2018 (-0.03%), 29 Nov 2018 (-3.1%), 04 Dec 2018 (5.89%)
2017817 Jan 2017 (-1.86%), 02 Mar 2017 (-2.86%), 28 Apr 2017 (-1.09%), 15 May 2017 (0.85%), 11 Aug 2017 (-3.71%), 14 Aug 2017 (-1.66%), 20 Sep 2017 (5.48%), 07 Nov 2017 (-1.99%)
2016502 May 2016 (6.21%), 06 Jun 2016 (-2.84%), 15 Jun 2016 (0.91%), 18 Jul 2016 (-2.66%), 02 Aug 2016 (-2.26%)
2015524 Mar 2015 (-4.68%), 21 Apr 2015 (-5.41%), 22 Apr 2015 (10.9%), 21 Jul 2015 (-3.27%), 22 Jul 2015 (6.69%)
2014717 Jan 2014 (-4.16%), 24 Jan 2014 (8.35%), 22 Mar 2014 (-3.03%), 16 Apr 2014 (-3.66%), 13 Jun 2014 (-2.0%), 08 Jul 2014 (-3.46%), 28 Jul 2014 (-1.02%)
2013514 Jan 2013 (-0.16%), 01 Oct 2013 (-4.71%), 15 Oct 2013 (-4.12%), 25 Oct 2013 (-2.13%), 12 Nov 2013 (1.78%)
2012623 Feb 2012 (1.29%), 11 Apr 2012 (-5.09%), 16 Jul 2012 (-3.21%), 28 Aug 2012 (-2.23%), 26 Oct 2012 (-1.66%), 14 Dec 2012 (-0.28%)
2011219 Apr 2011 (-3.69%), 13 Jul 2011 (-2.89%)
2010621 Jan 2010 (7.8%), 30 Mar 2010 (-3.8%), 20 Apr 2010 (-3.4%), 29 Apr 2010 (6.33%), 17 Sep 2010 (-0.96%), 12 Oct 2010 (0.5%)
2009620 Apr 2009 (-1.6%), 09 Jun 2009 (16.48%), 07 Aug 2009 (-2.11%), 25 Sep 2009 (-4.19%), 23 Oct 2009 (8.21%), 16 Dec 2009 (-0.89%)
2008111 Jan 2008 (9.83%)
20071010 Jan 2007 (-3.92%), 19 Jan 2007 (7.05%), 09 May 2007 (-2.9%), 30 May 2007 (-0.33%), 18 Jul 2007 (-3.58%), 14 Sep 2007 (7.85%), 17 Sep 2007 (-4.48%), 01 Nov 2007 (-6.12%), 20 Nov 2007 (-6.03%), 21 Nov 2007 (-6.52%)
2006621 Mar 2006 (-1.94%), 05 May 2006 (-6.54%), 31 Aug 2006 (-3.98%), 01 Sep 2006 (-3.85%), 20 Sep 2006 (-2.19%), 11 Dec 2006 (6.77%)
20051405 Jan 2005 (-0.7%), 22 Feb 2005 (-4.75%), 23 Feb 2005 (-2.75%), 09 Mar 2005 (-4.9%), 10 Mar 2005 (10.2%), 15 Apr 2005 (-4.79%), 18 Apr 2005 (-4.89%), 02 May 2005 (-0.97%), 16 Jun 2005 (-1.7%), 29 Jun 2005 (-3.73%), 29 Jul 2005 (-4.28%), 01 Aug 2005 (-4.15%), 09 Aug 2005 (1.72%), 10 Oct 2005 (8.32%)
2004906 Jan 2004 (9.71%), 29 Jul 2004 (-2.24%), 13 Aug 2004 (-4.69%), 15 Sep 2004 (4.12%), 11 Oct 2004 (2.12%), 13 Dec 2004 (-3.49%), 20 Dec 2004 (-3.65%), 23 Dec 2004 (-3.55%), 30 Dec 2004 (-3.91%)
2003821 Jan 2003 (2.82%), 06 Jun 2003 (-0.52%), 10 Jul 2003 (-5.31%), 11 Jul 2003 (-5.28%), 22 Aug 2003 (11.15%), 25 Aug 2003 (-7.03%), 04 Dec 2003 (-5.3%), 05 Dec 2003 (-5.33%)
2002428 Jun 2002 (-6.71%), 01 Jul 2002 (-5.85%), 12 Jul 2002 (-3.66%), 09 Dec 2002 (-2.32%)
2001210 Jan 2001 (0.68%), 19 Feb 2001 (13.28%)
2000512 Jan 2000 (11.59%), 23 Jun 2000 (-2.43%), 12 Jul 2000 (11.32%), 05 Dec 2000 (-4.27%), 06 Dec 2000 (-4.25%)
1999518 Jan 1999 (13.84%), 28 May 1999 (-8.51%), 11 Jun 1999 (-6.92%), 01 Jul 1999 (-6.98%), 10 Sep 1999 (14.13%)
1998317 Mar 1998 (-5.39%), 02 Apr 1998 (-6.0%), 24 Apr 1998 (14.31%)
1997329 Jan 1997 (7.0%), 14 Mar 1997 (6.42%), 21 Jul 1997 (-2.8%)
1996212 Mar 1996 (-1.94%), 16 Apr 1996 (-2.54%)
1995211 Aug 1995 (-0.77%), 21 Sep 1995 (-2.09%)



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