Study: Sell CESC when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
143554.6332171553.126238.1724540.37-4166.28-14092.141.51.70.0371361.08
259358.932181456.258370.4548121.5-6522.08-14480.591.281.650.0321854.97
341884.56321616508141.5230660.38-5523.73-16618.521.471.470.0271308.89
45054.52321616509631.7739622.64-9315.87-21750.211.031.030.0026157.95
543863.4432171553.1210515.1139622.64-8992.9-20178.421.171.330.0211370.73
684162.2532171553.1213621.5550707.55-9826.94-26550.551.391.570.0332630.07
71113053216165016299.3148201.44-9342.74-26134.241.741.740.0423478.29
816898532181456.2515553.5656834.53-7927.05-17332.21.962.520.0665280.79
91564763216165018483.1748201.44-8703.4-25352.592.122.120.0574889.88
1017924632181456.2517345.1847362.11-9497.69-35412.061.832.350.0615601.43
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=8, Profit Factor:2.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Sep 2019 (1.91%), 06 Nov 2019 (3.39%)
2018312 Mar 2018 (8.78%), 12 Sep 2018 (6.94%), 31 Oct 2018 (-0.48%)
2017218 May 2017 (-7.62%), 11 Aug 2017 (-4.16%)
2016308 Jan 2016 (10.1%), 12 Feb 2016 (-5.29%), 09 Sep 2016 (-0.26%)
2014111 Jul 2014 (-2.66%)
2013120 Mar 2013 (0.15%)
2012123 Feb 2012 (-1.96%)
2010125 Jan 2010 (4.6%)
2009110 Aug 2009 (-8.67%)
2008305 Mar 2008 (10.29%), 07 Oct 2008 (28.42%), 26 Dec 2008 (0.87%)
2007212 Feb 2007 (1.92%), 01 Aug 2007 (-4.25%)
2005217 Mar 2005 (1.1%), 21 Sep 2005 (-0.39%)
2002126 Apr 2002 (-6.0%)
2001122 Feb 2001 (16.2%)
2000117 Oct 2000 (-5.51%)
1998105 Oct 1998 (2.78%)
1997211 Jun 1997 (-3.21%), 03 Nov 1997 (8.92%)
1996322 Oct 1996 (6.23%), 06 Nov 1996 (-5.04%), 26 Nov 1996 (17.81%)
1995120 Apr 1995 (9.57%)

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
atrnil314.3182337.4132112134.3827891.4343492.53-10688.97-16669.92.611.370.0272573.04
atrnil28.4863522.933132039.392090136377.88-10409.51-16669.92.011.310.0241924.94
atrtrail34.5319646.0932122037.513180.8743492.53-6926.22-12217.661.91.140.0095613.94
atrtrail23.9712625.8633132039.3911626.9428995.02-6926.22-12217.661.681.090.0071382.6
atrtrail-14.81-91.8132122037.511536.0539462.62-6926.22-12217.661.671-4.9e-05-2.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 34.38%, which is not acceptable. Avoid this strategy. Average return per trade is 1.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CESC Performance, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Sep 2019 (-3.69%), 06 Nov 2019 (9.59%)
2018312 Mar 2018 (9.53%), 12 Sep 2018 (-3.25%), 31 Oct 2018 (-8.3%)
2017218 May 2017 (-4.11%), 11 Aug 2017 (-2.73%)
2016308 Jan 2016 (8.57%), 12 Feb 2016 (-4.64%), 09 Sep 2016 (-2.53%)
2014111 Jul 2014 (-6.3%)
2013120 Mar 2013 (-4.31%)
2012123 Feb 2012 (-4.71%)
2010125 Jan 2010 (11.12%)
2009110 Aug 2009 (-5.29%)
2008305 Mar 2008 (-8.14%), 07 Oct 2008 (21.75%), 26 Dec 2008 (-6.54%)
2007212 Feb 2007 (-3.89%), 01 Aug 2007 (-5.96%)
2005217 Mar 2005 (-6.13%), 21 Sep 2005 (13.43%)
2002126 Apr 2002 (-8.33%)
2001122 Feb 2001 (21.13%)
2000117 Oct 2000 (-6.11%)
1998105 Oct 1998 (-6.37%)
1997211 Jun 1997 (-5.19%), 03 Nov 1997 (12.45%)
1996322 Oct 1996 (-5.7%), 05 Nov 1996 (17.78%), 27 Nov 1996 (19.52%)
1995120 Apr 1995 (8.53%)



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