Study: Sell COLPAL 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 COLPAL 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 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
1-2239.5752252748.082007.147973.04-1941.41-6808.261.030.96-0.0046-43.07
2-49996.76522626502655.468768.32-4578.41-14868.120.580.58-0.058-961.48
3-21025.652292355.773550.559651.22-5390.94-19171.060.660.83-0.02-404.34
4-41179.5522626504208.8210799.25-5792.64-20861.090.730.73-0.034-791.91
5-75743.6552203238.465238.9414903.4-5641.32-20708.360.930.58-0.058-1456.61
6-84104.6852203238.465632.7111752.53-6148.71-21944.240.920.57-0.063-1617.4
7-92390.8251213041.185683.7716352.35-7058.34-21148.010.810.56-0.065-1811.58
8-64418.1251242747.065982.1920101.2-7703.36-20823.810.780.69-0.042-1263.1
9-52705.2151262550.985819.8120446.18-8160.81-23744.580.710.74-0.033-1033.44
10-55849.6151242747.067183.3324471.02-8453.68-21811.780.850.76-0.033-1095.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.96. 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 48.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.022%, we advise you not to use this strategy.

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-11-2239.5752252748.082007.147973.04-1941.41-6808.261.030.96-0.0046-43.07
atrnil25.51-73739.5763184528.579412.2312895.2-5403.55-8873.381.740.7-0.05-1170.47
atrnil37.58-81598.7262134920.9713820.1619342.79-5331.85-8873.382.590.69-0.048-1316.11
atrtrail23.86-62166.8663164725.48376.6712752.85-4174.33-8873.382.010.68-0.05-986.78
atrtrail34.55-76761.762154724.197892.6118274.95-4152.15-8873.381.90.61-0.061-1238.09
atrtrail-15.11-92570.662154724.196838.6818068.44-4152.15-8873.381.650.53-0.079-1493.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 48.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.022%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COLPAL Performance, X=1, Profit Factor:0.957

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Aug 2019 (0.77%), 07 Oct 2019 (-2.28%)
2018629 Jan 2018 (0.89%), 27 Apr 2018 (-1.89%), 05 Jun 2018 (0.36%), 13 Nov 2018 (-0.41%), 10 Dec 2018 (-3.4%), 27 Dec 2018 (-1.52%)
2017413 Apr 2017 (1.25%), 02 May 2017 (-0.37%), 29 Jun 2017 (-2.18%), 20 Sep 2017 (1.74%)
2016215 Jul 2016 (-0.23%), 16 Sep 2016 (0.05%)
2015427 Jan 2015 (0.21%), 18 Mar 2015 (-0.8%), 13 Jul 2015 (0.08%), 23 Dec 2015 (0.15%)
2014709 Jan 2014 (-0.19%), 18 Mar 2014 (-0.45%), 05 May 2014 (0.84%), 30 Jun 2014 (-1.45%), 25 Jul 2014 (2.86%), 14 Oct 2014 (-0.12%), 25 Nov 2014 (1.68%)
2013307 Jan 2013 (-0.67%), 17 May 2013 (3.99%), 16 Dec 2013 (-0.1%)
2012705 Mar 2012 (-0.57%), 23 Mar 2012 (-1.0%), 10 Apr 2012 (0.77%), 22 Aug 2012 (-0.12%), 25 Oct 2012 (-0.09%), 23 Nov 2012 (-2.62%), 11 Dec 2012 (0.76%)
2011504 May 2011 (0.23%), 18 May 2011 (0.57%), 18 Jul 2011 (1.06%), 20 Sep 2011 (-1.17%), 24 Oct 2011 (-0.73%)
2010509 Feb 2010 (-0.75%), 22 Mar 2010 (0.23%), 07 May 2010 (0.03%), 29 Jun 2010 (0.78%), 15 Nov 2010 (-0.64%)
2009404 Mar 2009 (1.53%), 12 May 2009 (1.91%), 16 Jul 2009 (-2.39%), 30 Oct 2009 (0.01%)
2008323 Apr 2008 (2.34%), 26 May 2008 (-0.02%), 21 Aug 2008 (-0.02%)



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