Study: Sell CESC 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 CESC 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 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
145338.91005545554142.3529839.12-4055.34-20043.571.021.250.015453.39
21079301005545555868.7220155.75-4774.43-20843.121.231.50.031079.3
31022791005446547245.6925446.59-6282.34-39910.181.151.350.0221022.79
410905499564356.577993.4833831.57-7873.98-43317.971.021.320.0191101.55
540313.8499534653.548792.4340793.16-9254.03-48540.710.951.090.0063407.21
621764.2899564356.579077.4845489.89-11315.68-68202.760.81.040.0029219.84
746393.499485148.4812383.9838973.56-10745.83-77726.571.151.080.0055468.62
861324.1399524752.5312962.6750311.04-13036.91-79262.670.991.10.0067619.44
96628.1999465346.4614622.4151927.34-12566.09-83099.381.161.010.0007166.95
1010439.7399504950.5114490.4451750.11-14573.1-1115100.991.010.001105.45
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
atrnil26.0277020.6112407235.7118309.4231222.91-9102.17-17406.712.011.120.01687.68
atrtrail23.9856781.27112417136.6113210.131222.91-6828.63-16132.131.931.120.009506.98
atrnil38.7984561.34111298226.1328481.4746834.37-9041.48-17406.713.151.110.0088761.81
atrtrail34.5924390.49112407235.7112796.0346834.37-6770.15-16132.131.891.050.0035217.77
atrtrail-14.94-64093.7112407235.7110583.9337938.38-6770.15-16132.131.560.87-0.011-572.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019613 Feb 2019 (-3.11%), 26 Mar 2019 (-2.71%), 10 Apr 2019 (-2.67%), 17 Jun 2019 (-2.78%), 04 Jul 2019 (4.85%), 05 Sep 2019 (-3.1%)
2018319 Jan 2018 (5.98%), 03 May 2018 (-2.78%), 11 Sep 2018 (6.52%)
2017523 Feb 2017 (5.13%), 06 Apr 2017 (-2.41%), 17 May 2017 (4.65%), 14 Aug 2017 (-2.68%), 19 Oct 2017 (4.79%)
2016630 Mar 2016 (-3.23%), 05 May 2016 (-2.98%), 06 May 2016 (-3.0%), 13 Jul 2016 (-2.44%), 01 Aug 2016 (-2.89%), 29 Aug 2016 (-2.14%)
2015428 Jan 2015 (-3.18%), 03 Feb 2015 (6.52%), 24 Jul 2015 (-3.27%), 30 Oct 2015 (6.27%)
2014513 Mar 2014 (-3.71%), 17 Apr 2014 (6.3%), 10 Jun 2014 (7.13%), 28 Aug 2014 (-3.97%), 23 Sep 2014 (8.88%)
2013607 Jan 2013 (-3.17%), 04 Jun 2013 (-3.12%), 11 Jun 2013 (6.59%), 16 Jul 2013 (7.38%), 11 Oct 2013 (-3.15%), 20 Nov 2013 (-3.3%)
2012722 Feb 2012 (-4.52%), 23 Mar 2012 (8.8%), 16 Jul 2012 (-2.77%), 08 Aug 2012 (-2.79%), 30 Aug 2012 (-2.74%), 11 Oct 2012 (-3.42%), 18 Dec 2012 (-3.29%)
2011129 Jul 2011 (7.17%)
2010322 Jan 2010 (7.09%), 23 Apr 2010 (-3.02%), 23 Jul 2010 (5.94%)
2009909 Jan 2009 (13.71%), 28 Apr 2009 (-5.95%), 11 May 2009 (-5.52%), 05 Jun 2009 (12.47%), 18 Aug 2009 (-4.82%), 09 Sep 2009 (-4.65%), 01 Oct 2009 (-3.99%), 21 Oct 2009 (7.46%), 17 Dec 2009 (-2.92%)
2008114 Jan 2008 (11.09%)
2007719 Apr 2007 (-5.12%), 31 Jul 2007 (10.45%), 28 Sep 2007 (-4.09%), 18 Oct 2007 (-6.83%), 08 Nov 2007 (-5.92%), 09 Nov 2007 (-6.1%), 23 Nov 2007 (-7.08%)
2006816 Feb 2006 (-4.51%), 23 Mar 2006 (-4.18%), 24 Mar 2006 (-4.1%), 10 Apr 2006 (7.96%), 23 Aug 2006 (-4.25%), 16 Oct 2006 (-3.68%), 17 Nov 2006 (-3.42%), 06 Dec 2006 (7.53%)
2005806 Jan 2005 (-5.37%), 07 Jan 2005 (10.88%), 11 Feb 2005 (-5.35%), 16 Mar 2005 (12.09%), 29 Jun 2005 (-4.37%), 26 Jul 2005 (-3.58%), 12 Aug 2005 (7.43%), 02 Dec 2005 (-3.71%)
2004516 Jan 2004 (12.79%), 04 May 2004 (13.38%), 12 Aug 2004 (-6.44%), 14 Sep 2004 (-3.76%), 19 Nov 2004 (-4.73%)
2003807 Jan 2003 (10.51%), 23 Jun 2003 (-8.7%), 09 Jul 2003 (-8.07%), 19 Aug 2003 (-6.76%), 20 Aug 2003 (-6.62%), 26 Aug 2003 (15.61%), 28 Oct 2003 (-7.09%), 19 Nov 2003 (-8.0%)
2002317 Jun 2002 (-8.53%), 11 Jul 2002 (-7.79%), 12 Jul 2002 (-7.8%)
2001321 Feb 2001 (14.06%), 08 Jun 2001 (12.89%), 04 Dec 2001 (-6.02%)
2000308 Jun 2000 (-5.6%), 09 Jun 2000 (-5.53%), 20 Dec 2000 (-6.4%)
1999128 Jul 1999 (12.98%)
1998302 Apr 1998 (-6.45%), 20 Apr 1998 (12.56%), 30 Sep 1998 (11.4%)
1997521 Jan 1997 (-5.73%), 22 Jan 1997 (11.39%), 22 Jul 1997 (-4.94%), 25 Jul 1997 (-4.89%), 18 Aug 1997 (9.7%)
1996212 Jan 1996 (7.53%), 01 Mar 1996 (10.35%)



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