Study: Sell CIPLA 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 CIPLA 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 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
1-28384.93120516942.53340.9418131.12-2880.77-16002.781.160.86-0.012-236.54
2181241120596149.176861.38160189-3665.26-13429.211.871.810.021510.34
385225.45120526843.338771.02160006-5453.93-24265.591.611.230.0088710.21
4-4930.23120516942.59083.3162340-6785.2-39223.761.340.99-0.00049-41.09
5-11842.41120516942.510693.79166971-8075.73-40020.311.320.98-0.0011-98.69
6-411802120516942.511304.42163866-14323.59-2978910.790.58-0.021-3431.69
7-396516120467438.3312948.04162752-13407.1-2755560.970.6-0.021-3304.3
8-462017120457537.513484.23162333-14250.77-3029720.950.57-0.023-3850.14
9-506244120467438.3313048.26162584-14952.21-2930980.870.54-0.026-4218.7
10-549133120477339.1712387.93161005-15498.16-2881130.80.51-0.028-4576.11
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
atrtrail-14.89-29740.331474110627.8912681.05166785-5185.5-11352.432.450.95-0.0026-202.32
atrtrail23.68-99751.341474410329.9310103.2925593.01-5284.43-11352.431.910.82-0.017-678.58
atrnil24.91-1481751454210328.9712304.5525593.01-6455.98-11834.911.910.78-0.023-1021.9
atrtrail34.32-1334781474210528.579845.5725546.43-5209.45-11352.431.890.76-0.023-908.02
atrnil37.12-217392145291162018257.8430621.81-6438.53-12796.52.840.71-0.03-1499.25

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 27.89%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:0.946

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Mar 2019 (3.33%), 08 May 2019 (-0.31%), 03 Jun 2019 (0.45%)
2018608 May 2018 (0.34%), 11 Jul 2018 (-1.98%), 29 Aug 2018 (-2.69%), 04 Sep 2018 (-2.68%), 12 Sep 2018 (-2.63%), 19 Sep 2018 (-0.66%)
2017723 Jan 2017 (-2.33%), 23 Mar 2017 (-0.87%), 13 Jul 2017 (-2.08%), 01 Aug 2017 (-2.08%), 25 Oct 2017 (-2.7%), 26 Oct 2017 (-2.71%), 08 Nov 2017 (1.76%)
2016713 May 2016 (10.27%), 02 Aug 2016 (-2.18%), 03 Aug 2016 (-1.76%), 10 Aug 2016 (-1.17%), 12 Sep 2016 (-2.36%), 14 Sep 2016 (-2.33%), 19 Dec 2016 (-0.8%)
2015605 Feb 2015 (-2.73%), 23 Feb 2015 (-1.5%), 16 Mar 2015 (-3.2%), 17 Mar 2015 (-0.56%), 13 Apr 2015 (8.78%), 17 Aug 2015 (-0.08%)
2014828 Jan 2014 (-2.29%), 25 Apr 2014 (-2.11%), 30 Apr 2014 (1.31%), 09 Jul 2014 (-1.66%), 04 Aug 2014 (-1.08%), 23 Sep 2014 (-3.38%), 11 Nov 2014 (3.1%), 12 Dec 2014 (2.74%)
2013411 Jan 2013 (5.11%), 06 May 2013 (-0.25%), 30 Jul 2013 (2.18%), 23 Sep 2013 (-3.3%)
2012816 Jan 2012 (-2.31%), 17 Jan 2012 (-0.5%), 03 Feb 2012 (-2.37%), 24 Jul 2012 (-1.97%), 20 Nov 2012 (-2.35%), 21 Nov 2012 (-0.33%), 14 Dec 2012 (-2.43%), 24 Dec 2012 (-1.08%)
2011506 Jan 2011 (3.42%), 26 Apr 2011 (1.97%), 17 Jun 2011 (1.23%), 11 Jul 2011 (-0.74%), 12 Dec 2011 (-2.23%)
2010808 Apr 2010 (-0.93%), 05 May 2010 (-2.76%), 01 Jul 2010 (-2.25%), 18 Oct 2010 (-2.27%), 19 Oct 2010 (-2.32%), 04 Nov 2010 (2.68%), 13 Dec 2010 (-3.5%), 23 Dec 2010 (-3.35%)
2009916 Feb 2009 (-0.73%), 19 Mar 2009 (-3.1%), 22 Apr 2009 (-5.11%), 04 May 2009 (3.62%), 30 Jun 2009 (-1.38%), 29 Jul 2009 (-4.37%), 22 Oct 2009 (-3.62%), 30 Oct 2009 (-3.82%), 14 Dec 2009 (-3.4%)
2008603 Jan 2008 (2.77%), 17 Mar 2008 (-5.21%), 08 Apr 2008 (-4.36%), 26 Jun 2008 (0.85%), 31 Jul 2008 (-3.72%), 01 Sep 2008 (5.84%)
2007218 Oct 2007 (-2.31%), 29 Oct 2007 (1.45%)
2006827 Feb 2006 (-3.65%), 28 Feb 2006 (-2.98%), 13 Apr 2006 (-5.34%), 12 May 2006 (3.29%), 20 Jul 2006 (-3.69%), 28 Aug 2006 (-3.7%), 12 Sep 2006 (-3.33%), 03 Oct 2006 (-2.86%)
2005705 Jan 2005 (12.13%), 07 Jun 2005 (-2.5%), 11 Jul 2005 (-2.73%), 29 Aug 2005 (-3.24%), 21 Sep 2005 (-1.34%), 11 Oct 2005 (-3.89%), 19 Dec 2005 (-2.56%)
2004210 May 2004 (83.39%), 07 Oct 2004 (5.43%)
2003725 Jun 2003 (-2.96%), 18 Jul 2003 (1.73%), 19 Aug 2003 (-3.69%), 16 Sep 2003 (1.82%), 25 Oct 2003 (-3.48%), 05 Nov 2003 (3.58%), 12 Dec 2003 (-3.63%)
2002218 Jan 2002 (2.14%), 17 Sep 2002 (-1.04%)
2001619 Jan 2001 (-2.43%), 19 Feb 2001 (8.46%), 14 May 2001 (-5.53%), 24 May 2001 (-1.63%), 13 Sep 2001 (7.72%), 27 Dec 2001 (-1.79%)
2000420 Nov 2000 (-3.97%), 30 Nov 2000 (-3.95%), 01 Dec 2000 (-2.93%), 15 Dec 2000 (8.23%)
1999623 Feb 1999 (-2.62%), 15 Apr 1999 (-5.2%), 19 Apr 1999 (10.55%), 30 Jul 1999 (-4.03%), 31 Aug 1999 (-3.35%), 04 Oct 1999 (-4.13%)
1998817 Mar 1998 (-2.31%), 24 Apr 1998 (-5.68%), 03 Jun 1998 (10.67%), 04 Aug 1998 (-3.37%), 17 Sep 1998 (1.29%), 06 Oct 1998 (-2.65%), 23 Oct 1998 (-2.25%), 02 Nov 1998 (-1.79%)
1997921 Jan 1997 (-3.46%), 24 Feb 1997 (-2.79%), 25 Mar 1997 (2.98%), 17 Apr 1997 (-0.05%), 23 May 1997 (2.16%), 17 Jul 1997 (-2.81%), 25 Jul 1997 (-3.07%), 12 Aug 1997 (10.98%), 10 Oct 1997 (1.58%)
1996915 Jan 1996 (-4.57%), 18 Jan 1996 (4.69%), 19 Mar 1996 (-3.16%), 02 Apr 1996 (-2.44%), 25 Apr 1996 (11.82%), 27 Jun 1996 (-1.46%), 09 Jul 1996 (-0.3%), 23 Dec 1996 (-3.27%), 24 Dec 1996 (2.12%)



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