Study: Sell CHOLAFIN 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 CHOLAFIN 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 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
1-4675196455146.883086.716011.64-3640.24-22339.180.850.75-0.02-486.99
2-69700.6196435344.794899.7726491.99-5290.39-24814.420.930.75-0.02-726.05
3-75716.7596465047.925748.2325327.51-6802.7-42841.990.840.78-0.018-788.72
4-10063596455146.887208.8928511.53-8334.02-30116.650.860.76-0.021-1048.28
5-27569.3795445146.328801.5630276.56-8134.08-31555.881.080.93-0.0053-290.2
611004.695494651.588638.8141424.33-8962.98-32228.670.961.030.0019115.84
7-98896.4895534255.798176.1134061.14-12672.15-42301.710.650.81-0.015-1041.02
8-71974.3595514453.689401.7734370.37-12533.28-59477.670.750.87-0.01-757.62
9-14582195464948.4210867.7749037.04-13178.34-72451.560.820.77-0.018-1534.96
10-16926095425344.2112932.949668.87-13442.3-71184.330.960.76-0.019-1781.68
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
atrnil37.82-320406112209217.8624681.5241189.93-8848.22-15628.72.790.61-0.044-2860.77
atrtrail34.85-241368113308326.5511365.1139040.67-7015.92-15628.71.620.59-0.041-2136
atrnil26.4-31532811228842515791.7127459.96-9017.81-15628.71.750.58-0.052-2815.43
atrtrail24.56-276868113308326.5510181.7926027.11-7015.92-15628.71.450.52-0.055-2450.16
atrtrail-15.16-286217113308326.559870.1746700.89-7015.92-15628.71.410.51-0.052-2532.89

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:0.606

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019725 Mar 2019 (-2.76%), 26 Mar 2019 (-2.82%), 10 Apr 2019 (8.79%), 04 Jul 2019 (13.33%), 18 Sep 2019 (-3.56%), 04 Oct 2019 (-4.62%), 08 Nov 2019 (-4.14%)
2018510 Jan 2018 (-2.34%), 19 Jan 2018 (7.97%), 09 Mar 2018 (-3.39%), 12 Mar 2018 (-3.36%), 04 May 2018 (10.09%)
2017509 Feb 2017 (-3.59%), 05 May 2017 (-3.38%), 03 Aug 2017 (-2.94%), 09 Aug 2017 (9.12%), 23 Nov 2017 (-2.85%)
2016619 Feb 2016 (-5.23%), 17 May 2016 (-3.05%), 13 Jun 2016 (-3.4%), 11 Aug 2016 (-3.81%), 06 Sep 2016 (-4.0%), 20 Oct 2016 (10.22%)
2015609 Feb 2015 (-4.33%), 10 Feb 2015 (-4.3%), 18 Feb 2015 (-4.24%), 26 Feb 2015 (-4.02%), 20 Jul 2015 (-4.06%), 31 Dec 2015 (-2.86%)
2014521 Apr 2014 (-3.62%), 16 Jun 2014 (-6.09%), 11 Jul 2014 (-5.69%), 24 Sep 2014 (-5.25%), 10 Nov 2014 (-3.95%)
2013508 Jan 2013 (-4.92%), 11 Mar 2013 (11.07%), 29 May 2013 (-2.89%), 21 Nov 2013 (-3.44%), 05 Dec 2013 (-3.46%)
2012816 Feb 2012 (-4.22%), 23 Mar 2012 (-3.5%), 04 Apr 2012 (-3.59%), 06 Aug 2012 (-4.54%), 25 Sep 2012 (-4.77%), 15 Oct 2012 (-5.78%), 20 Nov 2012 (-4.45%), 28 Dec 2012 (-4.91%)
2011104 Apr 2011 (-4.4%)
20101120 Jan 2010 (14.88%), 23 Mar 2010 (-6.82%), 29 Mar 2010 (-7.48%), 15 Apr 2010 (-6.44%), 20 May 2010 (-6.82%), 29 Jun 2010 (-5.14%), 26 Jul 2010 (-4.55%), 30 Aug 2010 (-4.33%), 16 Sep 2010 (-3.96%), 21 Sep 2010 (-4.18%), 19 Nov 2010 (-5.95%)
2009330 Jun 2009 (-7.33%), 28 Aug 2009 (-5.23%), 29 Sep 2009 (19.49%)
2008108 Jan 2008 (-7.04%)
2007426 Jun 2007 (-4.17%), 03 Jul 2007 (-4.03%), 23 Jul 2007 (17.31%), 21 Nov 2007 (-6.4%)
2006624 Jan 2006 (-4.6%), 21 Feb 2006 (-5.31%), 04 Sep 2006 (-3.61%), 26 Sep 2006 (-3.42%), 20 Oct 2006 (-3.26%), 20 Nov 2006 (11.72%)
2005628 Apr 2005 (-6.2%), 30 May 2005 (-5.14%), 31 May 2005 (-5.04%), 14 Jun 2005 (-5.45%), 19 Jul 2005 (-3.63%), 20 Sep 2005 (8.52%)
2004314 Jan 2004 (19.52%), 17 Sep 2004 (-4.11%), 22 Dec 2004 (-4.65%)
2003617 Jun 2003 (-2.7%), 09 Jul 2003 (11.28%), 19 Aug 2003 (-4.66%), 21 Nov 2003 (-5.36%), 24 Nov 2003 (-5.33%), 11 Dec 2003 (-5.49%)
2002728 Feb 2002 (-4.48%), 26 Mar 2002 (-7.31%), 03 Jul 2002 (-4.5%), 04 Jul 2002 (-4.6%), 27 Sep 2002 (-2.56%), 03 Oct 2002 (-2.54%), 13 Dec 2002 (7.26%)
2001404 Jun 2001 (-3.9%), 22 Nov 2001 (-3.28%), 07 Dec 2001 (-3.08%), 12 Dec 2001 (9.16%)
2000320 Sep 2000 (-3.96%), 15 Nov 2000 (-3.1%), 18 Dec 2000 (-3.38%)
1999531 May 1999 (-3.31%), 22 Jul 1999 (-4.69%), 02 Sep 1999 (20.59%), 28 Dec 1999 (-7.81%), 29 Dec 1999 (-7.25%)
1998208 Sep 1998 (-3.22%), 22 Sep 1998 (8.56%)
1997117 Sep 1997 (11.36%)
1996210 May 1996 (-3.66%), 11 Nov 1996 (16.57%)



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