Study: Sell DRREDDY 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 DRREDDY 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 DRREDDY 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
114588.1111535847.753845.4315998.01-3262.41-10815.251.181.080.0058131.42
21267.73111545748.654913.7916523.21-4632.93-19596.751.0610.0003611.42
3-30930.69111545748.656024.523191.79-6250.06-29786.020.960.91-0.0068-278.65
4-71465.65111575451.356960.6324778.35-8670.76-43368.810.80.85-0.012-643.83
5-135665111575451.357517.1927884.48-10447.13-49982.740.720.76-0.02-1222.2
6-161099111555649.557600.4935137.66-10341.53-54368.380.730.72-0.023-1451.34
7-202339111525946.859069.6641763.88-11423.07-67086.790.790.7-0.024-1822.87
8-213180111506145.059998.249650.02-11690-68291.570.860.7-0.025-1920.54
9-235550111476442.3411303.0754969.67-11981.15-70156.770.940.69-0.026-2122.07
10-212605111545748.6510323.3950816.61-13509.96-63634.280.760.72-0.023-1915.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.08. 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 47.75%, which is not acceptable. Avoid this strategy. Average return per trade is 0.066%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0058, 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
atrtrail24.1745197.16122467637.710605.3135346.48-5824.3-19450.531.821.10.0078370.47
nilnil-1114588.1111535847.753845.4315998.01-3262.41-10815.251.181.080.0058131.42
atrtrail34.927378.32121467538.0210107.1753019.72-5834.02-19450.531.731.060.0044226.27
atrnil25.4-37188.06121398232.2314119.7535346.48-7169-20252.521.970.94-0.0058-307.34
atrtrail-15.42-38514.52120467438.338444.5448585.56-5769.77-19450.531.460.91-0.0069-320.95
atrnil38.29-88656.09112258722.3221464.8253019.72-7187.09-20252.522.990.86-0.012-791.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 37.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0078, 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.
DRREDDY Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019213 May 2019 (4.18%), 30 Jul 2019 (-0.88%)
2018629 Jan 2018 (6.06%), 23 Mar 2018 (-2.9%), 07 May 2018 (4.32%), 23 Oct 2018 (-0.09%), 02 Nov 2018 (-2.57%), 12 Dec 2018 (-2.69%)
2017512 Jan 2017 (1.07%), 13 Feb 2017 (4.18%), 24 May 2017 (4.57%), 25 May 2017 (-2.55%), 04 Jul 2017 (-2.14%)
2016818 Jan 2016 (1.39%), 22 Jan 2016 (-2.89%), 11 Feb 2016 (-2.07%), 02 May 2016 (4.29%), 10 Jun 2016 (0.34%), 30 Sep 2016 (-1.69%), 07 Nov 2016 (-2.33%), 05 Dec 2016 (4.98%)
2015602 Feb 2015 (0.49%), 16 Mar 2015 (-2.73%), 21 Apr 2015 (-2.9%), 02 Jun 2015 (5.07%), 29 Jul 2015 (-2.24%), 06 Nov 2015 (7.71%)
2014306 Jan 2014 (-1.73%), 10 Mar 2014 (-2.33%), 14 May 2014 (4.65%)
2013422 Mar 2013 (-2.04%), 25 Mar 2013 (-1.93%), 05 Nov 2013 (-2.13%), 05 Dec 2013 (-2.2%)
2012702 Feb 2012 (-2.76%), 12 Apr 2012 (-2.36%), 04 Jun 2012 (4.74%), 23 Jul 2012 (-1.39%), 18 Sep 2012 (-1.59%), 26 Oct 2012 (-2.32%), 15 Nov 2012 (-2.17%)
2011724 Jan 2011 (5.32%), 17 Mar 2011 (-1.1%), 04 May 2011 (-1.45%), 10 Jun 2011 (-0.82%), 04 Aug 2011 (4.98%), 03 Oct 2011 (-1.88%), 21 Dec 2011 (-2.59%)
2010107 May 2010 (-2.74%)
2009309 Jan 2009 (-3.85%), 13 Feb 2009 (8.89%), 31 Aug 2009 (0.27%)
2008617 Mar 2008 (-6.87%), 23 Jul 2008 (10.21%), 26 Aug 2008 (-3.37%), 11 Sep 2008 (8.13%), 06 Oct 2008 (15.01%), 28 Oct 2008 (-8.75%)
2007508 Jun 2007 (0.12%), 14 Sep 2007 (-1.59%), 08 Oct 2007 (-2.89%), 09 Oct 2007 (5.78%), 26 Oct 2007 (0.79%)
2006218 Jul 2006 (-4.72%), 17 Nov 2006 (-1.4%)
2005521 Mar 2005 (-2.73%), 13 Apr 2005 (5.43%), 14 Jul 2005 (-2.75%), 23 Sep 2005 (-2.8%), 18 Oct 2005 (1.28%)
2004703 Feb 2004 (3.18%), 01 Mar 2004 (-5.66%), 14 May 2004 (7.54%), 17 May 2004 (-5.29%), 01 Jun 2004 (12.03%), 13 Aug 2004 (6.66%), 29 Sep 2004 (-2.49%)
2003419 Mar 2003 (-3.06%), 11 Apr 2003 (-3.21%), 18 Sep 2003 (8.53%), 22 Oct 2003 (-1.95%)
2002928 Jan 2002 (-3.72%), 21 May 2002 (-3.39%), 25 Jun 2002 (-1.02%), 22 Jul 2002 (1.35%), 16 Aug 2002 (-3.63%), 16 Sep 2002 (-2.95%), 17 Sep 2002 (1.78%), 01 Oct 2002 (-1.35%), 16 Oct 2002 (7.94%)
2001430 Jan 2001 (-1.37%), 19 Feb 2001 (-1.5%), 13 Mar 2001 (-3.82%), 16 Aug 2001 (-3.86%)
20001002 Mar 2000 (-0.27%), 04 Apr 2000 (-9.73%), 17 Apr 2000 (17.67%), 13 Jun 2000 (-5.28%), 27 Jun 2000 (-6.11%), 12 Jul 2000 (10.23%), 15 Sep 2000 (0.09%), 17 Nov 2000 (-0.45%), 19 Dec 2000 (-3.66%), 20 Dec 2000 (7.84%)
1999302 Aug 1999 (-3.95%), 01 Dec 1999 (-6.67%), 27 Dec 1999 (-5.04%)
1998213 Feb 1998 (-1.66%), 23 Nov 1998 (7.07%)
1997430 Jan 1997 (2.04%), 26 Feb 1997 (-3.64%), 06 May 1997 (-3.52%), 20 May 1997 (-3.31%)
1996510 Jan 1996 (-3.01%), 13 Aug 1996 (-4.32%), 14 Aug 1996 (2.01%), 23 Sep 1996 (5.95%), 22 Nov 1996 (4.98%)
1995419 Apr 1995 (5.36%), 16 Jun 1995 (-2.29%), 14 Aug 1995 (7.41%), 24 Oct 1995 (-2.23%)



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