Study: Sell CIPLA 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 CIPLA 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 CIPLA 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
1164678125537242.46816.78159052-2730.71-21966.832.51.840.0181317.42
2185483125596647.27750.44158864-4118.08-20890.311.881.680.0191483.86
3156495124655952.428244.61161265-6430.59-17628.741.281.410.0151262.06
4199009124646051.6110135.26166027-7494.12-27832.341.351.440.0181604.91
511655612462625010566.91162834-8686.98-22898.21.221.220.011939.96
656655.44124556944.3511853.67161688-8627.49-42151.781.371.10.0049456.9
798725.95124636150.8111173.63161257-9921.52-39903.981.131.160.0083796.18
818327.35124566845.1612445.59161516-9979.79-55398.551.251.030.0015147.8
935282.06124527241.9413299.21159892-9114.95-45207.051.461.050.0029284.53
1083528.35124547043.5513303.56160551-9069.48-38681.871.471.130.007673.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.84. 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 42.4%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, which is low, don't trade solely on the basis of this study.

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
nilnil-11164678125537242.46816.78159052-2730.71-21966.832.51.840.0181317.42
atrtrail-15.94182926135488735.5613388.63165836-5284.23-20617.872.531.40.0161355.01
atrtrail34.99122777135498636.311701.547145.08-5239.5-20617.872.231.270.017909.46
atrnil318.4482219.79103257824.2723941.43171954-6619.43-12943.463.621.160.0081798.25
atrtrail24.4923164.64138508836.239693.1731430.06-5244.25-20617.871.851.050.0038167.86
atrnil26.89-34549.39133419230.8314725.34114636-6937.92-21664.542.120.95-0.0039-259.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 42.4%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
CIPLA Performance, X=1, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019528 Jan 2019 (-2.62%), 31 May 2019 (-1.68%), 08 Jul 2019 (-1.92%), 22 Jul 2019 (0.39%), 13 Nov 2019 (-0.78%)
2018316 Jan 2018 (-0.96%), 31 Jan 2018 (0.86%), 22 Feb 2018 (-1.02%)
2017510 Feb 2017 (-0.47%), 28 Feb 2017 (-0.45%), 23 May 2017 (2.54%), 12 Jul 2017 (-0.69%), 10 Aug 2017 (1.24%)
2016407 Jan 2016 (2.37%), 30 Mar 2016 (0.08%), 16 May 2016 (-0.37%), 16 Dec 2016 (-0.52%)
2015807 Jan 2015 (-1.02%), 06 Feb 2015 (3.88%), 26 Feb 2015 (-1.58%), 10 Apr 2015 (-1.6%), 28 May 2015 (-1.0%), 18 Aug 2015 (-1.8%), 22 Sep 2015 (0.31%), 03 Nov 2015 (0.7%)
2014307 Jan 2014 (-3.42%), 12 Nov 2014 (-0.87%), 15 Dec 2014 (1.38%)
2013607 Feb 2013 (3.41%), 27 May 2013 (1.3%), 31 Jul 2013 (-0.76%), 20 Aug 2013 (2.36%), 14 Nov 2013 (0.2%), 16 Dec 2013 (-3.17%)
2012513 Feb 2012 (6.11%), 19 Mar 2012 (-1.33%), 27 Apr 2012 (-0.08%), 17 May 2012 (-0.75%), 05 Oct 2012 (-0.86%)
2011407 Jan 2011 (2.49%), 20 Jun 2011 (0.52%), 12 Jul 2011 (-0.11%), 09 Nov 2011 (0.38%)
2010424 Feb 2010 (-0.13%), 10 May 2010 (1.6%), 27 Aug 2010 (-0.56%), 10 Dec 2010 (-2.29%)
2009415 Jan 2009 (-0.69%), 17 Feb 2009 (-1.48%), 01 Jul 2009 (-1.27%), 10 Sep 2009 (-0.02%)
2008612 Feb 2008 (3.83%), 28 Apr 2008 (-0.07%), 25 Jun 2008 (-4.27%), 16 Jul 2008 (-1.65%), 06 Oct 2008 (1.6%), 12 Dec 2008 (-2.77%)
20071010 Jan 2007 (-1.61%), 24 Jan 2007 (1.18%), 13 Feb 2007 (-0.18%), 16 Mar 2007 (-0.85%), 30 Apr 2007 (-0.12%), 14 Jun 2007 (-0.24%), 17 Jul 2007 (0.29%), 22 Aug 2007 (4.75%), 19 Sep 2007 (0.09%), 17 Oct 2007 (-1.47%)
2006504 Jul 2006 (-3.02%), 19 Jul 2006 (-2.47%), 11 Sep 2006 (-2.1%), 04 Oct 2006 (-1.79%), 17 Nov 2006 (1.19%)
2005506 Jan 2005 (0.31%), 21 Feb 2005 (-0.88%), 22 Mar 2005 (1.35%), 22 Sep 2005 (0.7%), 10 Oct 2005 (-1.31%)
2004316 Mar 2004 (-0.39%), 11 May 2004 (79.53%), 20 Aug 2004 (-0.02%)
2003416 Jan 2003 (-0.07%), 04 Mar 2003 (-0.31%), 23 Apr 2003 (0.19%), 21 Jul 2003 (-0.84%)
2002821 Jan 2002 (0.5%), 28 Feb 2002 (-1.12%), 17 Apr 2002 (0.7%), 21 May 2002 (1.08%), 19 Aug 2002 (1.97%), 16 Sep 2002 (-1.06%), 14 Oct 2002 (5.57%), 06 Dec 2002 (0.64%)
2001811 Apr 2001 (0.46%), 11 May 2001 (-0.83%), 25 May 2001 (-2.98%), 05 Jul 2001 (-0.05%), 19 Jul 2001 (0.55%), 14 Sep 2001 (3.79%), 13 Nov 2001 (-1.17%), 28 Dec 2001 (-0.09%)
2000610 Jan 2000 (7.6%), 01 Mar 2000 (8.0%), 19 Apr 2000 (5.73%), 23 May 2000 (-2.22%), 12 Jul 2000 (0.13%), 11 Sep 2000 (3.11%)
1999324 May 1999 (-4.67%), 11 Jun 1999 (1.1%), 20 Oct 1999 (3.34%)
1998412 Jan 1998 (-0.18%), 12 Feb 1998 (-0.62%), 18 Sep 1998 (1.03%), 14 Dec 1998 (0.74%)
1997229 Sep 1997 (-5.24%), 10 Dec 1997 (3.95%)
1996410 Jul 1996 (-2.84%), 30 Jul 1996 (-0.04%), 11 Sep 1996 (-0.66%), 04 Nov 1996 (-0.66%)
1995612 Apr 1995 (0.41%), 12 Jun 1995 (-0.0%), 28 Jun 1995 (1.61%), 28 Jul 1995 (1.53%), 19 Sep 1995 (-10.98%), 18 Oct 1995 (-0.21%)



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