Study: Sell CONCOR 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 CONCOR 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 CONCOR 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
15018.4388454351.142998.3315689.61-3021.08-15830.760.991.040.003157.03
2-43239.6788424647.734032.516879.76-4621.84-27050.150.870.8-0.016-491.36
3-52472.7388434548.864964.130524.07-5909.53-32850.010.840.8-0.015-596.28
4-61930.3988404845.455672.6325441.8-6017.41-37603.990.940.79-0.018-703.75
5-75462.188404845.456136.1628703.6-6685.59-55811.740.920.76-0.019-857.52
6-63206.2288394944.328476.1528111.47-8036.25-53910.151.050.84-0.014-718.25
7-38103.1688434548.868243.3734298.92-8723.73-52579.030.940.9-0.0078-432.99
8-80342.4788414746.598574.6624625.29-9189.44-46731.640.930.81-0.017-912.98
9-66928.588434548.868951.8628873.84-10041.3-37223.670.890.85-0.014-760.55
10-11971.9988434548.8610129.4228297.52-9945.27-34323.751.020.97-0.0024-136.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 51.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.029%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0031, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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-115018.4388454351.142998.3315689.61-3021.08-15830.760.991.040.003157.03
atrtrail24.85-12197199297029.2910808.4331729.29-6220.21-24164.251.740.72-0.03-1232.03
atrnil29.11-17756089246526.9715879.2131729.29-8594.79-27506.271.850.68-0.039-1995.06
atrnil312.3-23109586167018.623130.2739972.11-8588.27-27506.272.690.62-0.046-2687.15
atrtrail35.41-17748497277027.849245.6422106.03-6101.66-24164.251.520.58-0.049-1829.73
atrtrail-15.55-20893797277027.848080.7126032.45-6101.66-24164.251.320.51-0.062-2153.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 51.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.029%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0031, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Jan 2019 (-0.68%), 09 Jul 2019 (-1.16%)
2018629 Jan 2018 (1.46%), 05 Mar 2018 (3.45%), 06 Aug 2018 (0.16%), 29 Aug 2018 (1.25%), 12 Sep 2018 (-2.37%), 04 Oct 2018 (0.79%)
2017617 Feb 2017 (-0.26%), 27 Jun 2017 (0.15%), 25 Jul 2017 (-0.19%), 10 Aug 2017 (-1.09%), 18 Oct 2017 (0.22%), 07 Nov 2017 (-0.72%)
2016708 Jan 2016 (-0.53%), 15 Mar 2016 (-0.44%), 03 Jun 2016 (1.47%), 04 Aug 2016 (-0.34%), 12 Sep 2016 (1.55%), 17 Oct 2016 (-3.14%), 11 Nov 2016 (3.46%)
2015620 Apr 2015 (-1.7%), 23 Jul 2015 (1.6%), 20 Aug 2015 (2.17%), 28 Sep 2015 (-4.94%), 21 Oct 2015 (7.84%), 09 Dec 2015 (-0.79%)
2014317 Jan 2014 (-1.11%), 10 Oct 2014 (-2.19%), 28 Nov 2014 (2.39%)
2013824 Jan 2013 (-0.42%), 24 May 2013 (0.01%), 10 Jun 2013 (2.29%), 18 Jul 2013 (-1.52%), 27 Aug 2013 (1.37%), 03 Oct 2013 (0.13%), 11 Nov 2013 (2.29%), 17 Dec 2013 (0.18%)
2012501 Mar 2012 (1.47%), 16 Apr 2012 (-2.94%), 23 May 2012 (0.75%), 13 Jun 2012 (-0.35%), 13 Jul 2012 (-0.81%)
2011610 Jan 2011 (-0.0%), 24 Jan 2011 (-0.44%), 23 Mar 2011 (-4.01%), 20 Apr 2011 (0.34%), 20 Jun 2011 (-0.68%), 25 Jul 2011 (0.89%)
2010619 Feb 2010 (0.52%), 28 Apr 2010 (0.74%), 08 Jun 2010 (-0.77%), 18 Oct 2010 (0.55%), 19 Nov 2010 (-0.69%), 20 Dec 2010 (-0.72%)
2009322 Jan 2009 (1.24%), 14 Oct 2009 (1.31%), 25 Nov 2009 (0.4%)
2008509 Jan 2008 (0.55%), 25 Feb 2008 (-0.45%), 28 Apr 2008 (0.33%), 21 May 2008 (0.71%), 20 Nov 2008 (-2.73%)
2007506 Mar 2007 (2.1%), 07 Jun 2007 (1.04%), 26 Sep 2007 (3.68%), 13 Nov 2007 (-0.73%), 19 Dec 2007 (-2.27%)
2006323 Feb 2006 (-0.87%), 09 Mar 2006 (0.63%), 05 Jun 2006 (-2.02%)
2005128 Feb 2005 (1.7%)
2004318 Mar 2004 (0.03%), 23 Jun 2004 (-2.2%), 10 Nov 2004 (1.39%)
2003125 Feb 2003 (0.26%)
2002517 Apr 2002 (-1.62%), 24 Jun 2002 (-1.03%), 11 Sep 2002 (-0.82%), 28 Nov 2002 (-0.58%), 19 Dec 2002 (1.82%)
2001202 Jul 2001 (1.96%), 14 Sep 2001 (5.58%)
2000211 Jan 2000 (-7.92%), 10 Feb 2000 (3.23%)
1999229 Oct 1999 (-2.99%), 19 Nov 1999 (-0.71%)
1998126 Nov 1998 (-3.02%)



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