Study: Sell COLPAL 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 COLPAL 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 COLPAL 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
116404.3951272452.942697.59312.07-2351.17-8253.331.151.290.028321.65
2-1465.0951222943.143218.048943.63-2491.79-7161.871.290.98-0.0024-28.73
3-47363.2451232845.13085.5212316.65-4226.08-159230.730.6-0.055-928.69
4-76307.6251203139.224239.2315747.42-5196.52-12445.90.820.53-0.077-1496.23
5-13814451173433.333722.116273.04-5924.11-17304.580.630.31-0.13-2708.71
6-14015651163531.374812.9920570.37-6204.68-21341.940.780.35-0.11-2748.15
7-14830751183335.294210.6721515.08-6790.87-25529.040.620.34-0.11-2907.97
8-15261251193237.253453.5315910.79-6819.65-23887.30.510.3-0.12-2992.39
9-19448851143727.454069.0511357.74-6796.07-22765.240.60.23-0.15-3813.49
10-22138851153629.413311.539044.88-7529.46-26848.590.440.18-0.17-4340.94

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.29. 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 52.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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-1116404.3951272452.942697.59312.07-2351.17-8253.331.151.290.028321.65
atrnil26.76-65232.3951133825.4910867.6118546.96-5434.51-10035.0920.68-0.051-1279.07
atrtrail23.84-61394.855144125.456658.2518546.96-3770.98-7772.791.770.6-0.059-1116.27
atrnil38.84-90953.074984116.3316565.0427820.45-5450.57-10035.093.040.59-0.064-1856.19
atrtrail34.09-11022454134124.073888.6927820.45-3921.38-7772.790.990.31-0.12-2041.18
atrtrail-14.24-14731754124222.221894.375723.42-4048.81-9273.480.470.13-0.25-2728.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 52.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
COLPAL Performance, X=1, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-1.86%), 19 Jun 2019 (0.53%), 15 Jul 2019 (-0.67%)
2018205 Sep 2018 (0.14%), 12 Nov 2018 (-1.39%)
2017627 Jan 2017 (-0.77%), 02 Mar 2017 (-2.03%), 21 Sep 2017 (1.49%), 16 Oct 2017 (2.03%), 02 Nov 2017 (0.49%), 04 Dec 2017 (0.05%)
2016407 Apr 2016 (0.25%), 11 May 2016 (-0.12%), 15 Nov 2016 (-1.28%), 12 Dec 2016 (-0.8%)
2015520 Apr 2015 (1.55%), 21 May 2015 (0.66%), 31 Jul 2015 (0.36%), 08 Oct 2015 (-0.38%), 18 Nov 2015 (-1.05%)
2014220 Feb 2014 (0.05%), 14 Mar 2014 (-0.83%)
2013425 Mar 2013 (2.95%), 20 May 2013 (0.41%), 29 Jul 2013 (4.66%), 15 Oct 2013 (-1.75%)
2012527 Apr 2012 (-0.65%), 11 Jul 2012 (1.36%), 27 Jul 2012 (-0.31%), 21 Aug 2012 (-1.02%), 18 Sep 2012 (0.28%)
2011610 Jan 2011 (-0.27%), 31 Jan 2011 (2.39%), 25 Feb 2011 (-1.77%), 21 Mar 2011 (1.06%), 15 Nov 2011 (1.14%), 28 Dec 2011 (2.97%)
2010627 Jan 2010 (1.98%), 15 Sep 2010 (-0.36%), 07 Oct 2010 (-1.06%), 12 Nov 2010 (-1.57%), 07 Dec 2010 (1.59%), 27 Dec 2010 (0.25%)
2009306 Jan 2009 (3.14%), 06 Apr 2009 (0.02%), 11 May 2009 (-0.19%)
2008528 Mar 2008 (1.26%), 24 Apr 2008 (-4.13%), 07 Oct 2008 (3.35%), 31 Oct 2008 (-2.66%), 12 Dec 2008 (-1.29%)



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