Study: Sell DRREDDY 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 DRREDDY 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 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
1-65241.47121497240.53330.9915990.57-3173.06-18559.61.050.71-0.024-539.19
2-62868.54121457637.195964.3819661.94-4358.76-19489.721.370.81-0.015-519.57
3-238927121526942.987685.2334426.43-9254.48-1942450.830.63-0.02-1974.61
4-320123121566546.288101.8337821.41-11905.01-1938310.680.59-0.025-2645.65
5-381389121546744.638902.4850490.01-12867.51-1970880.690.56-0.029-3151.98
6-411910121517042.1510101.5147498.72-13244.1-1987720.760.56-0.03-3404.22
7-503375121517042.159890.844828.41-14397.22-2108620.690.5-0.035-4160.12
8-391569121536843.810960.5547847.02-14301.16-2084050.770.6-0.027-3236.11
9-377030121576447.1111024.455393.55-15709.7-2028290.70.63-0.026-3115.95
10-357705121507141.3213653.9566955.78-14653.55-2056720.930.66-0.023-2956.24
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
atrtrail34.4-45625.49141459631.9110670.1431994.4-5476.89-12808.461.950.91-0.0071-323.59
atrnil37.66-73184.061403310723.5719825.7637632.04-6798.45-13951.192.920.9-0.0089-522.74
atrtrail23.9-93679.79141459631.919602.2721329.6-5476.89-12808.461.750.82-0.017-664.4
atrnil25.75-120738141429929.7913173.0325088.03-6808.13-13951.191.930.82-0.018-856.3
atrtrail-14.89-106236141459631.919323.2538432.55-5476.89-12808.461.70.8-0.017-753.45

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 31.91%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DRREDDY Performance, Profit Factor:0.913

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Apr 2019 (-1.64%), 22 Apr 2019 (-1.9%), 10 May 2019 (5.79%), 27 Sep 2019 (1.65%)
2018229 Jun 2018 (-2.89%), 13 Dec 2018 (-2.27%)
2017305 Jul 2017 (-2.08%), 25 Jul 2017 (5.81%), 12 Oct 2017 (-0.87%)
2016517 Mar 2016 (3.02%), 13 Jun 2016 (1.07%), 22 Jul 2016 (5.98%), 03 Oct 2016 (2.53%), 17 Nov 2016 (0.22%)
2015717 Mar 2015 (-2.24%), 27 Mar 2015 (-2.61%), 20 Apr 2015 (0.13%), 01 Jun 2015 (7.56%), 28 Jul 2015 (-1.24%), 17 Aug 2015 (-2.27%), 23 Oct 2015 (-0.62%)
2014707 Jan 2014 (-1.71%), 27 Jan 2014 (-1.6%), 16 Jul 2014 (-2.29%), 06 Aug 2014 (-1.09%), 11 Sep 2014 (-1.06%), 01 Oct 2014 (6.57%), 03 Dec 2014 (3.07%)
2013622 Jan 2013 (-1.69%), 21 May 2013 (-2.72%), 31 May 2013 (-2.39%), 14 Jun 2013 (2.33%), 25 Jul 2013 (3.17%), 07 Oct 2013 (-2.67%)
2012827 Jan 2012 (-2.53%), 03 Feb 2012 (1.16%), 19 Mar 2012 (-1.22%), 30 Apr 2012 (6.71%), 05 Sep 2012 (-1.59%), 29 Oct 2012 (-2.27%), 16 Nov 2012 (-0.65%), 17 Dec 2012 (-0.48%)
2011115 Nov 2011 (2.58%)
2010619 Jan 2010 (-3.3%), 20 Jan 2010 (10.45%), 06 Apr 2010 (3.87%), 16 Jun 2010 (-3.3%), 29 Sep 2010 (-1.41%), 16 Nov 2010 (-1.95%)
20091001 Jan 2009 (-4.96%), 29 Apr 2009 (-4.99%), 04 May 2009 (-3.58%), 01 Jun 2009 (-2.15%), 22 Jun 2009 (-5.1%), 06 Jul 2009 (-4.29%), 04 Aug 2009 (0.87%), 16 Oct 2009 (0.42%), 19 Nov 2009 (-3.46%), 30 Dec 2009 (-3.77%)
2008703 Jan 2008 (10.96%), 11 Apr 2008 (-5.16%), 20 May 2008 (-4.13%), 21 May 2008 (-4.16%), 04 Jun 2008 (-4.69%), 05 Jun 2008 (-3.46%), 18 Dec 2008 (-6.4%)
2007308 Jan 2007 (1.39%), 19 Apr 2007 (-2.79%), 19 Jul 2007 (-2.32%)
2006815 Feb 2006 (-3.68%), 28 Feb 2006 (-3.95%), 01 Mar 2006 (-1.86%), 29 Mar 2006 (-3.04%), 16 May 2006 (14.21%), 23 Aug 2006 (-3.47%), 15 Sep 2006 (3.0%), 16 Nov 2006 (7.9%)
2005509 Jun 2005 (-2.97%), 17 Jun 2005 (-2.65%), 13 Jul 2005 (-1.21%), 09 Aug 2005 (-2.65%), 30 Nov 2005 (-2.77%)
2004607 Jan 2004 (-0.15%), 30 Sep 2004 (-2.56%), 14 Oct 2004 (-0.39%), 01 Dec 2004 (-2.35%), 15 Dec 2004 (-2.08%), 29 Dec 2004 (-1.81%)
2003806 Jan 2003 (-2.32%), 20 Jan 2003 (6.76%), 15 Apr 2003 (2.51%), 11 Jul 2003 (-4.08%), 14 Jul 2003 (2.22%), 17 Sep 2003 (12.48%), 14 Nov 2003 (-0.98%), 18 Dec 2003 (-3.36%)
2002312 Mar 2002 (-3.88%), 18 Mar 2002 (-3.63%), 08 Apr 2002 (-3.01%)
2001815 Jun 2001 (-1.58%), 03 Jul 2001 (-4.59%), 04 Jul 2001 (-1.72%), 14 Aug 2001 (1.87%), 31 Aug 2001 (-4.46%), 12 Sep 2001 (1.72%), 06 Nov 2001 (-5.28%), 14 Nov 2001 (14.25%)
2000312 Jan 2000 (-3.99%), 02 Nov 2000 (-3.72%), 16 Nov 2000 (4.66%)
1999718 Jan 1999 (-0.42%), 23 Feb 1999 (-4.32%), 01 Apr 1999 (16.0%), 18 May 1999 (1.66%), 30 Jul 1999 (-0.5%), 02 Sep 1999 (-0.2%), 18 Oct 1999 (15.65%)
19981012 Jan 1998 (-2.91%), 13 Jan 1998 (-2.96%), 12 Feb 1998 (-2.43%), 12 Mar 1998 (-2.78%), 16 Apr 1998 (-3.62%), 28 Apr 1998 (-6.26%), 29 Apr 1998 (3.82%), 27 Jul 1998 (-4.71%), 13 Aug 1998 (5.36%), 15 Oct 1998 (1.56%)
1997829 Jan 1997 (3.62%), 27 Feb 1997 (-3.5%), 20 Mar 1997 (11.47%), 07 May 1997 (-2.51%), 01 Jul 1997 (-3.05%), 02 Jul 1997 (-3.04%), 30 Jul 1997 (-3.16%), 30 Oct 1997 (-3.41%)
1996501 Mar 1996 (-1.51%), 01 May 1996 (-2.58%), 19 Jun 1996 (2.2%), 16 Jul 1996 (-2.88%), 17 Jul 1996 (8.86%)
1995111 Aug 1995 (10.98%)



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