Study: Sell FEDERALBNK 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 FEDERALBNK 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 FEDERALBNK 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
126235.871045252504416.9614111.46-3912.42-15989.521.131.130.0095252.27
2-72977.99104515349.044959.0223715.88-6148.83-33289.650.810.78-0.018-701.71
3-42754.771045252506709.8327472.85-7532.04-38269.990.890.89-0.0085-411.1
4-71628.34104475745.198738.4338482.14-8462.01-31040.181.030.85-0.012-688.73
5-38817.73104535150.969649.2838392.86-10788.81-47968.550.890.93-0.0057-373.25
637342.68104554952.8811272.1244915.87-11890.28-67889.910.951.060.0048359.06
738209.12104545051.9212671.5454425.75-12921.08-89384.010.981.060.0043367.4
8128975103544952.4314182.2149486.35-12997.23-67103.541.091.20.0151252.18
9194330103525150.4915410.1556002.35-11901.93-46133.681.291.320.0221886.7
10225493103574655.3415087.2163281.48-13793-55045.871.091.360.0242189.26
Although, strategy looks good but profit factor on day 2 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
atrtrail24.0870242.04120477339.1712303.730453.07-6959.34-38273.491.771.140.011585.35
atrnil25.0972339.7116447237.9316307.0830936.33-8960.72-45843.251.821.110.0098623.62
atrtrail34.94-1986.9113417236.2811808.6642176.24-6751.97-38273.491.751-0.00032-17.58
atrnil38.43-15510.66103277626.2124552.2746404.5-8926.6-45843.252.750.98-0.002-150.59
atrtrail-15.25-78492.33113417236.289942.6831390.03-6751.97-38273.491.470.84-0.015-694.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 39.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FEDERALBNK Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jul 2019 (-2.49%), 22 Aug 2019 (-3.8%)
2018917 Jan 2018 (-3.25%), 18 Jan 2018 (7.38%), 22 Feb 2018 (-3.57%), 23 Mar 2018 (-1.22%), 25 Apr 2018 (-2.64%), 10 May 2018 (8.08%), 28 Jun 2018 (-3.22%), 29 Jun 2018 (-2.47%), 13 Jul 2018 (1.1%)
2017327 Jul 2017 (5.81%), 26 Sep 2017 (-0.92%), 30 Nov 2017 (1.33%)
2016207 Jan 2016 (5.56%), 28 Mar 2016 (7.93%)
2015611 Mar 2015 (-1.49%), 22 Apr 2015 (1.24%), 04 Jun 2015 (-0.82%), 24 Aug 2015 (-3.64%), 21 Oct 2015 (8.24%), 10 Dec 2015 (0.73%)
2014424 Jan 2014 (7.33%), 27 Jan 2014 (8.09%), 17 Sep 2014 (-3.49%), 25 Sep 2014 (-3.72%)
2013914 Feb 2013 (4.83%), 15 Feb 2013 (-0.59%), 13 Mar 2013 (-2.35%), 14 Mar 2013 (1.61%), 05 Apr 2013 (5.53%), 24 May 2013 (-2.68%), 17 Jul 2013 (-3.91%), 07 Aug 2013 (-0.33%), 16 Aug 2013 (-1.36%)
2012217 May 2012 (-2.83%), 28 Aug 2012 (-2.05%)
20111006 Jan 2011 (-1.45%), 28 Jan 2011 (-4.06%), 31 Jan 2011 (8.34%), 24 Feb 2011 (-3.39%), 23 May 2011 (-2.47%), 17 Jun 2011 (4.5%), 20 Jun 2011 (-2.51%), 04 Oct 2011 (-2.32%), 14 Nov 2011 (6.73%), 19 Dec 2011 (9.04%)
2010528 Jan 2010 (-3.89%), 19 Mar 2010 (-0.78%), 07 May 2010 (-3.37%), 26 Jul 2010 (-2.91%), 31 Aug 2010 (-3.28%)
2009612 Jan 2009 (0.2%), 17 Feb 2009 (-5.01%), 05 Aug 2009 (7.17%), 05 Oct 2009 (1.92%), 28 Oct 2009 (8.97%), 15 Dec 2009 (-3.74%)
2008821 Jan 2008 (10.78%), 22 Jan 2008 (-6.49%), 07 Mar 2008 (-1.99%), 13 May 2008 (-4.62%), 24 Jun 2008 (-5.73%), 08 Jul 2008 (-6.38%), 15 Jul 2008 (-5.36%), 15 Sep 2008 (8.1%)
2007210 Aug 2007 (10.13%), 19 Nov 2007 (15.23%)
2006616 Jan 2006 (-4.04%), 25 Jan 2006 (-4.02%), 22 Mar 2006 (-3.36%), 11 Sep 2006 (-4.67%), 11 Dec 2006 (8.82%), 12 Dec 2006 (-5.16%)
2005501 Mar 2005 (-3.52%), 24 Mar 2005 (-4.69%), 28 Apr 2005 (-1.43%), 22 Sep 2005 (-4.38%), 11 Oct 2005 (8.71%)
2004519 Feb 2004 (3.3%), 17 Jun 2004 (-1.32%), 05 Jul 2004 (2.8%), 04 Aug 2004 (8.07%), 29 Nov 2004 (-19.14%)
2003527 Jan 2003 (-5.05%), 25 Feb 2003 (-1.11%), 10 Mar 2003 (-3.12%), 01 Apr 2003 (-4.11%), 23 Oct 2003 (-4.06%)
2002224 Sep 2002 (-2.62%), 13 Nov 2002 (-2.1%)
2001112 Sep 2001 (7.93%)
1999419 Jan 1999 (-5.21%), 16 Mar 1999 (-6.75%), 04 Nov 1999 (0.29%), 14 Dec 1999 (-6.35%)
1998612 Jan 1998 (-5.11%), 02 Jun 1998 (14.06%), 11 Aug 1998 (-1.82%), 29 Sep 1998 (-3.39%), 30 Sep 1998 (6.71%), 02 Nov 1998 (-2.66%)
1997922 Jan 1997 (-5.82%), 14 Mar 1997 (10.9%), 02 May 1997 (-2.07%), 20 May 1997 (1.75%), 24 Jun 1997 (-1.85%), 17 Jul 1997 (-4.27%), 19 Aug 1997 (8.64%), 28 Oct 1997 (-4.59%), 29 Oct 1997 (9.32%)
1996424 Jun 1996 (7.25%), 20 Sep 1996 (5.49%), 23 Sep 1996 (6.26%), 26 Nov 1996 (1.66%)
1995527 Jun 1995 (0.0%), 31 Jul 1995 (-1.04%), 25 Oct 1995 (-2.58%), 16 Nov 1995 (5.24%), 17 Nov 1995 (6.04%)



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