Study: Sell CHOLAFIN 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 CHOLAFIN 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 CHOLAFIN 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
1-69788.621004060404780.8617823.91-4350.38-26860.891.10.73-0.022-697.89
2-95552.541004060405608.9320973.51-5331.83-20073.641.050.7-0.028-955.53
3-94098.671004060406945.3223264.14-6198.53-29998.41.120.75-0.022-940.99
4-53385.41004258428169.0625363.17-6835.97-40851.611.20.87-0.011-533.85
515836.661004951498754.2224656.46-8100.39-46262.211.081.040.0029158.37
664706.710046544610683.0429807.69-7902.09-52313.111.351.150.011647.07
765298.3510049514911540.5147419.44-9807.59-53401.631.181.130.0092652.98
815290.2910048524812242.6552239.98-11006.87-49687.851.111.030.002152.9
9-59083.110047534712419.4959418.39-12128.29-60575.31.020.91-0.0071-590.83
10-45466.6510047534713578.3567015.98-12899.04-73604.061.050.93-0.005-454.67
Although, strategy looks good but profit factor on day 2 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
atrtrail24.2328167.03115387733.0414959.7344058.57-7016.92-18825.332.131.050.0042244.93
atrtrail34.94-2776.38110357531.8214805.5966087.85-6946.29-18825.332.130.99-0.0004-25.24
atrnil26.6-36124.71111357631.5318809.2844058.57-9137.49-18825.332.060.95-0.0049-325.45
atrnil39.67-56935.4510022782229931.6266087.85-9172.19-18825.333.260.92-0.0068-569.35
atrtrail-15.36-53778.64109347531.1913451.7456467.76-6815.17-18825.331.970.89-0.0084-493.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 33.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0042, 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.
CHOLAFIN Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019303 Jan 2019 (7.72%), 18 Feb 2019 (-3.4%), 17 Sep 2019 (-2.93%)
2018827 Jun 2018 (5.78%), 28 Jun 2018 (-3.5%), 19 Jul 2018 (-3.76%), 06 Sep 2018 (-3.24%), 07 Sep 2018 (6.62%), 19 Nov 2018 (-5.01%), 05 Dec 2018 (8.22%), 24 Dec 2018 (-3.99%)
2017122 Sep 2017 (5.12%)
2016418 Feb 2016 (-2.89%), 16 Mar 2016 (-4.14%), 02 Sep 2016 (-0.51%), 05 Dec 2016 (12.42%)
2015723 Apr 2015 (7.18%), 24 Apr 2015 (-4.17%), 26 May 2015 (-3.24%), 09 Jun 2015 (-3.66%), 12 Oct 2015 (0.03%), 10 Nov 2015 (-2.89%), 09 Dec 2015 (-3.23%)
2014330 Jan 2014 (3.09%), 30 May 2014 (-6.91%), 09 Dec 2014 (-4.76%)
2013224 Jul 2013 (-3.53%), 10 Oct 2013 (-3.58%)
2012216 Oct 2012 (-6.13%), 30 Oct 2012 (-3.08%)
2011906 Jan 2011 (-2.43%), 17 Jan 2011 (-2.94%), 28 Jan 2011 (-4.9%), 31 Jan 2011 (10.6%), 28 Jul 2011 (-4.51%), 29 Jul 2011 (9.32%), 26 Sep 2011 (2.12%), 09 Nov 2011 (8.71%), 13 Dec 2011 (-2.55%)
2010421 Jan 2010 (4.16%), 27 Aug 2010 (-4.48%), 18 Nov 2010 (-1.77%), 08 Dec 2010 (-0.64%)
2009209 Jan 2009 (22.03%), 27 Aug 2009 (-2.12%)
2008305 Mar 2008 (13.87%), 01 Jul 2008 (-9.41%), 16 Jul 2008 (-9.36%)
2007410 Jan 2007 (1.04%), 09 Feb 2007 (8.49%), 13 Sep 2007 (11.61%), 22 Nov 2007 (-6.67%)
2006512 Apr 2006 (-0.55%), 19 May 2006 (-6.44%), 20 Jul 2006 (11.8%), 25 Sep 2006 (-2.91%), 02 Nov 2006 (-1.71%)
2005523 Mar 2005 (-3.05%), 21 Sep 2005 (0.04%), 20 Oct 2005 (-2.38%), 31 Oct 2005 (-2.45%), 01 Nov 2005 (5.29%)
2004603 Mar 2004 (-4.19%), 19 Mar 2004 (-0.09%), 29 Apr 2004 (-4.71%), 14 May 2004 (11.06%), 17 May 2004 (-6.88%), 30 Jul 2004 (-1.47%)
2003228 Jan 2003 (-2.82%), 06 Mar 2003 (-2.2%)
2002217 May 2002 (-3.01%), 11 Nov 2002 (-2.67%)
2001910 Jan 2001 (-1.14%), 27 Feb 2001 (-4.49%), 28 Feb 2001 (9.05%), 20 Mar 2001 (-5.51%), 09 May 2001 (-4.24%), 14 Sep 2001 (7.81%), 17 Sep 2001 (-3.79%), 02 Nov 2001 (-3.49%), 13 Dec 2001 (-3.17%)
2000818 Feb 2000 (-5.66%), 02 Mar 2000 (17.96%), 17 Apr 2000 (13.17%), 27 Jun 2000 (-4.25%), 19 Sep 2000 (-3.89%), 12 Oct 2000 (-4.06%), 14 Nov 2000 (-3.19%), 15 Dec 2000 (-2.15%)
1999610 Feb 1999 (-2.94%), 05 Mar 1999 (-0.39%), 01 Jun 1999 (-3.17%), 09 Jun 1999 (6.37%), 15 Jun 1999 (-4.04%), 01 Nov 1999 (-7.79%)
1998723 Jan 1998 (0.48%), 17 Mar 1998 (-2.27%), 27 May 1998 (1.16%), 29 Jul 1998 (-2.19%), 23 Sep 1998 (7.01%), 02 Dec 1998 (5.84%), 10 Dec 1998 (5.95%)
1997724 Jan 1997 (-1.41%), 14 Feb 1997 (8.79%), 19 Mar 1997 (-1.08%), 15 Apr 1997 (1.56%), 18 Jun 1997 (-0.26%), 14 Jul 1997 (-1.71%), 22 Dec 1997 (-1.23%)
1996609 Jan 1996 (11.87%), 12 Mar 1996 (0.13%), 20 Aug 1996 (-5.23%), 03 Sep 1996 (-5.59%), 17 Sep 1996 (-3.94%), 27 Sep 1996 (10.79%)



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