Study: Sell CESC 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 CESC 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 CESC 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
18547.78138637545.654408.0524540.37-3588.79-15384.621.231.030.002361.94
270400.94138687049.286735.0948121.5-5536.93-15750.271.221.180.012510.15
334248.31138637545.657202.0836125.69-5593.1-25919.441.291.080.0057248.18
41059.67138667247.839109.7439622.64-8335.88-44133.11.0910.000137.68
587709.37138667247.8310367.342663.71-8285.17-51138.351.251.150.0099635.58
677941.1138756354.3510516.6350707.55-11282.64-71489.360.931.110.0073564.79
7144859138706850.7212750.3551677.85-10995.09-49787.231.161.190.0131049.7
820911713869695013280.5956834.53-10249.92-45957.451.31.30.0191515.34
9266415138736552.913613.3548201.44-11190.16-55691.771.221.370.0231930.54
10326288138795957.2513744.0247362.11-12872.71-48913.041.071.430.0272364.41
Although, strategy looks good but profit factor on day 4 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
atrnil27.22124266141528936.8818837.7636377.88-9610.09-17550.71.961.150.012881.32
atrnil311.1323837.95126349226.9827313.3843492.53-9834.97-17550.72.781.030.0022189.19
atrtrail24.28-4850.26149569337.5811490.528995.02-6971.16-17550.71.650.99-0.00061-32.55
atrtrail34.82-30590.11148549436.4911561.5643492.53-6967.17-17550.71.660.95-0.0036-206.69
atrtrail-15.3-30995.41148549436.4911554.0581498.51-6967.17-17550.71.660.95-0.0034-209.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 36.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
CESC Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020408 Jan 2020 (-2.27%), 09 Jan 2020 (-2.31%), 28 Jan 2020 (5.13%), 17 Feb 2020 (5.83%)
2019422 Apr 2019 (5.75%), 04 Sep 2019 (-3.24%), 25 Sep 2019 (-3.69%), 06 Nov 2019 (6.4%)
2018512 Mar 2018 (6.35%), 14 Aug 2018 (-2.56%), 12 Sep 2018 (-3.25%), 26 Oct 2018 (-5.19%), 31 Oct 2018 (-8.3%)
2017418 May 2017 (-4.11%), 11 Aug 2017 (-2.73%), 20 Nov 2017 (-2.55%), 01 Dec 2017 (-2.43%)
2016412 Feb 2016 (-4.64%), 29 Mar 2016 (-3.35%), 09 Sep 2016 (-2.53%), 04 Nov 2016 (6.6%)
2015604 Feb 2015 (6.68%), 17 Apr 2015 (6.1%), 29 May 2015 (6.8%), 27 Jul 2015 (-3.19%), 18 Aug 2015 (6.42%), 09 Dec 2015 (7.29%)
2014513 Feb 2014 (-3.72%), 14 Mar 2014 (-3.72%), 11 Jul 2014 (-6.3%), 25 Nov 2014 (-4.09%), 08 Dec 2014 (7.76%)
2013330 Jan 2013 (-3.2%), 20 Mar 2013 (-4.31%), 17 Jul 2013 (7.41%)
2012623 Feb 2012 (-4.71%), 04 Jun 2012 (-3.35%), 15 Jun 2012 (-3.4%), 29 Aug 2012 (-2.68%), 10 Oct 2012 (-3.43%), 26 Oct 2012 (-5.36%)
2011811 Jan 2011 (5.92%), 21 Mar 2011 (-3.85%), 18 Apr 2011 (6.17%), 21 Jun 2011 (-3.36%), 12 Sep 2011 (9.35%), 25 Oct 2011 (-3.51%), 15 Nov 2011 (7.2%), 08 Dec 2011 (12.29%)
20101025 Jan 2010 (7.41%), 23 Mar 2010 (-3.03%), 20 Apr 2010 (-2.97%), 05 May 2010 (-3.1%), 25 Jun 2010 (-3.41%), 26 Jul 2010 (-3.12%), 25 Aug 2010 (5.42%), 24 Sep 2010 (7.67%), 18 Nov 2010 (5.71%), 30 Dec 2010 (-2.91%)
2009607 Jan 2009 (-6.89%), 16 Feb 2009 (11.2%), 12 Mar 2009 (-6.09%), 10 Aug 2009 (-5.29%), 19 Nov 2009 (-3.86%), 16 Dec 2009 (-3.08%)
2008915 Jan 2008 (11.41%), 05 Mar 2008 (16.28%), 26 May 2008 (-4.84%), 14 Jul 2008 (-7.22%), 27 Aug 2008 (-4.61%), 10 Sep 2008 (9.14%), 07 Oct 2008 (14.5%), 08 Oct 2008 (18.19%), 26 Dec 2008 (-6.54%)
2007512 Feb 2007 (-3.89%), 20 Apr 2007 (-5.3%), 01 Aug 2007 (-5.96%), 19 Oct 2007 (-7.48%), 22 Nov 2007 (-7.36%)
2006224 Jul 2006 (-6.74%), 11 Sep 2006 (-4.41%)
2005617 Mar 2005 (-6.13%), 28 Apr 2005 (-4.67%), 12 May 2005 (8.06%), 17 Jun 2005 (-4.22%), 21 Sep 2005 (8.96%), 05 Dec 2005 (-3.77%)
2004425 Feb 2004 (-5.68%), 12 Mar 2004 (-4.85%), 03 May 2004 (-6.89%), 15 Jun 2004 (-6.74%)
2003104 Mar 2003 (12.47%)
2002624 Jan 2002 (-5.39%), 28 Feb 2002 (-8.78%), 26 Apr 2002 (-8.33%), 23 Aug 2002 (-7.02%), 24 Sep 2002 (-6.01%), 09 Oct 2002 (-7.96%)
2001601 Feb 2001 (-4.96%), 22 Feb 2001 (14.09%), 07 Jun 2001 (13.76%), 25 Jul 2001 (12.89%), 12 Nov 2001 (-5.86%), 07 Dec 2001 (-6.49%)
2000506 Mar 2000 (16.72%), 20 Apr 2000 (12.16%), 02 Aug 2000 (9.41%), 18 Sep 2000 (10.0%), 17 Oct 2000 (-6.11%)
1999830 Mar 1999 (-6.2%), 31 Mar 1999 (-5.88%), 28 May 1999 (-6.1%), 15 Jun 1999 (-5.31%), 22 Jun 1999 (-4.49%), 22 Oct 1999 (-7.03%), 01 Nov 1999 (15.55%), 20 Dec 1999 (-5.94%)
1998613 Jan 1998 (-4.74%), 14 Jan 1998 (9.79%), 10 Aug 1998 (-4.98%), 03 Sep 1998 (-4.16%), 05 Oct 1998 (-6.37%), 26 Nov 1998 (-5.05%)
1997511 Mar 1997 (12.01%), 30 Apr 1997 (-5.15%), 22 May 1997 (-4.5%), 11 Jun 1997 (-5.19%), 03 Nov 1997 (8.3%)
1996811 Jan 1996 (7.85%), 09 May 1996 (11.21%), 02 Jul 1996 (9.86%), 24 Jul 1996 (12.09%), 10 Sep 1996 (8.41%), 22 Oct 1996 (-5.7%), 05 Nov 1996 (11.86%), 26 Nov 1996 (12.13%)
1995520 Apr 1995 (5.69%), 15 Jun 1995 (-3.3%), 01 Aug 1995 (-4.2%), 03 Aug 1995 (8.21%), 13 Oct 1995 (5.94%)



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