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

home > technical-strategy > cipla > 28

In this study, we evaluate the performance of strategy "Sell CIPLA 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 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
112951.735161945.713650.799504.84-2392.68-7539.731.531.280.019370.05
2-11577.9235161945.715358.7617967.29-5122-13647.571.050.88-0.01-330.8
3-10512.235171848.576629.8516743.55-6845.53-21496.30.970.91-0.007-300.35
443741.7935171848.5710339.2427566.02-7334.74-23261.171.411.330.0221249.77
5-11965.9635161945.719739.2832433.39-8831.28-43266.651.10.93-0.0053-341.88
6-45192.8135152042.869397.9339157.82-9308.09-41008.51.010.76-0.019-1291.22
7-83895.8135161945.719726.0545030.61-12605.93-56574.40.770.65-0.03-2397.02
8-99025.2135152042.869708.9647112.4-12232.98-46335.980.790.6-0.035-2829.29
9-1271653592625.7112873.7652370.11-9347.26-39780.761.380.48-0.048-3633.29
10-14169535122334.299251.7141677.26-10987.64-44329.950.840.44-0.056-4048.43
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
atrnil342.1972416.913152616.1349371.94171954-6709.34-12943.467.361.420.0152336.03
atrnil28.6213398.063792824.3224950.53114636-7541.31-21664.543.311.060.0034362.11
atrtrail35.24176.3938112728.9513392.3436689.77-5449.61-20617.872.4618.3e-054.64
atrtrail25.11-6688.5838122631.5811174.2528498.2-5414.6-20617.872.060.95-0.0037-176.02
atrtrail-15.47-28397.5838112728.9510794.7128498.2-5449.61-20617.871.980.81-0.016-747.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 16.13%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
CIPLA Performance, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Jan 2019 (-1.98%), 29 Jan 2019 (-2.13%)
2017210 Feb 2017 (-2.66%), 23 May 2017 (6.04%)
2016130 Mar 2016 (-2.98%)
2015118 Aug 2015 (-2.91%)
2014112 Nov 2014 (-3.02%)
2013208 Feb 2013 (-2.67%), 16 Dec 2013 (-2.0%)
2012219 Mar 2012 (-2.53%), 05 Oct 2012 (-3.6%)
2011120 Jun 2011 (-2.69%)
2010224 Feb 2010 (-3.17%), 27 Aug 2010 (-2.36%)
2009101 Jul 2009 (-4.83%)
2008112 Feb 2008 (-6.47%)
2007430 Apr 2007 (-5.76%), 22 Aug 2007 (-4.2%), 23 Aug 2007 (-4.88%), 19 Sep 2007 (-3.54%)
2006211 Sep 2006 (-3.26%), 17 Nov 2006 (-2.59%)
2005206 Jan 2005 (9.24%), 22 Sep 2005 (-3.29%)
2004120 Aug 2004 (-3.44%)
1999120 Oct 1999 (85.98%)
1998112 Jan 1998 (-3.01%)
1997110 Dec 1997 (-3.14%)
1996131 Jul 1996 (-4.09%)
1995212 Jun 1995 (10.46%), 28 Jun 1995 (11.71%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play