Study: Sell CONCOR 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 CONCOR 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 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
1191.2381423951.852546.4115159.48-2737.38-8750.180.9310.000152.36
28643.3681394248.154851.6233884.84-4299.28-15882.631.131.050.0035106.71
316705.3481423951.855657.8628903.36-5664.74-25708.3211.080.0057206.24
4-22596.8181364544.446869.1426939.95-5997.46-28701.651.150.92-0.0071-278.97
5-13525681334840.746859.7227844.95-7533.9-26722.640.910.63-0.04-1669.83
6-14462081334840.747473.0926962.13-8150.67-32707.650.920.63-0.039-1785.44
7-16292681354643.218159.6527171.19-9750.3-32791.60.840.64-0.039-2011.43
8-19223281354643.217645.1923995.7-9995.95-27511.690.760.58-0.048-2373.23
9-22327581394248.156985.4927295.44-11802.59-32220.610.590.55-0.053-2756.48
10-20438081384346.917652.9522275.96-11516.09-34155.780.660.59-0.048-2523.2
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
atrtrail24.46-58848.8589276230.349974.3630917.15-5292.85-14074.91.880.82-0.018-661.22
atrtrail34.88-82200.4989266329.219599.3646375.73-5266.41-14074.91.820.75-0.023-923.6
atrnil26.79-18330887216624.1415155.2830917.15-7599.53-14504.261.990.63-0.047-2106.99
atrnil39.97-22791486147216.2822356.7843986.3-7512.63-14504.262.980.58-0.052-2650.17
atrtrail-15.04-14312389266329.217256.1920829.27-5266.41-14074.91.380.57-0.053-1608.12

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 30.34%, which is not acceptable. Avoid this strategy. Average return per trade is -0.33%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, Profit Factor:0.821

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Apr 2019 (5.13%), 18 Jun 2019 (-2.54%), 08 Jul 2019 (4.85%), 09 Oct 2019 (-3.29%)
2018227 Apr 2018 (-2.26%), 27 Nov 2018 (-0.09%)
2017601 Feb 2017 (-2.72%), 16 Feb 2017 (1.12%), 22 Mar 2017 (-1.71%), 02 May 2017 (-0.45%), 26 Jul 2017 (0.65%), 15 Sep 2017 (6.05%)
2016305 May 2016 (-1.34%), 27 May 2016 (-2.79%), 18 Jul 2016 (-2.84%)
2015503 Feb 2015 (5.37%), 04 Mar 2015 (-3.78%), 20 Mar 2015 (-0.16%), 21 Apr 2015 (1.09%), 22 May 2015 (-3.1%)
2014821 Mar 2014 (-3.2%), 02 May 2014 (-4.68%), 29 May 2014 (-3.71%), 14 Jul 2014 (-5.4%), 25 Jul 2014 (-0.57%), 28 Aug 2014 (1.22%), 13 Oct 2014 (-0.87%), 10 Nov 2014 (-1.22%)
2013516 Apr 2013 (-3.22%), 09 May 2013 (-3.21%), 23 May 2013 (-0.03%), 19 Jul 2013 (6.54%), 08 Nov 2013 (1.06%)
2012513 Feb 2012 (-2.8%), 29 Feb 2012 (7.36%), 12 Jul 2012 (-2.26%), 10 Aug 2012 (-2.41%), 26 Oct 2012 (7.25%)
2011102 Nov 2011 (3.89%)
2010612 Jan 2010 (-2.81%), 19 Jan 2010 (7.5%), 19 Apr 2010 (-3.15%), 20 Apr 2010 (-3.24%), 27 Apr 2010 (7.01%), 20 Jul 2010 (-0.42%)
2009821 Jan 2009 (-1.2%), 28 Apr 2009 (-3.23%), 02 Jun 2009 (-4.76%), 16 Jun 2009 (-5.03%), 17 Jun 2009 (-1.7%), 28 Aug 2009 (2.81%), 12 Oct 2009 (0.1%), 18 Dec 2009 (-2.42%)
2008325 Apr 2008 (-0.36%), 22 Aug 2008 (-3.66%), 09 Sep 2008 (-1.04%)
2007104 May 2007 (-2.02%)
2006724 Feb 2006 (-2.09%), 16 May 2006 (14.66%), 06 Jun 2006 (15.46%), 30 Aug 2006 (-2.68%), 18 Sep 2006 (-3.1%), 19 Sep 2006 (-0.36%), 04 Oct 2006 (-2.83%)
2005607 Jan 2005 (7.12%), 25 May 2005 (-2.72%), 24 Aug 2005 (-4.43%), 20 Sep 2005 (0.21%), 13 Oct 2005 (6.6%), 21 Dec 2005 (5.57%)
2004611 Feb 2004 (2.14%), 27 Apr 2004 (-2.77%), 20 Aug 2004 (-3.42%), 20 Sep 2004 (-2.81%), 21 Sep 2004 (-2.8%), 05 Oct 2004 (2.73%)
2003609 Jun 2003 (-3.81%), 30 Jun 2003 (-4.18%), 01 Jul 2003 (-3.02%), 11 Aug 2003 (-3.54%), 12 Aug 2003 (-2.39%), 16 Dec 2003 (-3.83%)
2002419 Feb 2002 (-7.04%), 16 Apr 2002 (-1.41%), 06 May 2002 (-5.28%), 21 Jun 2002 (-2.99%)
2001112 Dec 2001 (7.66%)
1999202 Jun 1999 (3.49%), 01 Sep 1999 (-0.86%)



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