Study: Sell FORTIS 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 FORTIS 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 FORTIS 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
121103.3339241561.543307.4213171.42-3884.98-12756.260.851.360.034541.11
210864.3339221756.414638.2413825.32-5363.35-20032.410.861.120.012278.57
3-7552.9839211853.854481.1611761.62-5647.63-17893.030.790.93-0.0089-193.67
4-40719.2839201951.285330.9312496.68-7754.62-23533.230.690.72-0.036-1044.08
515053.2939201951.286927.8716112.74-6500.22-21199.351.071.120.014385.98
6-15425.1439211853.857211.4627757.79-9270.33-28823.80.780.91-0.011-395.52
7-47628.3139201951.287893.5920084.07-10815.79-34295.710.730.77-0.03-1221.24
816840.939221756.419861.4240822.05-11771.2-33508.310.841.080.0094431.82
921870.2639221756.4110185.3460158.8-11894.54-39545.060.861.110.011560.78
105935.1739221756.419886.1247641.29-12444.68-51968.50.791.030.0029152.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.36. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, which is low, don't trade solely on the basis of this study. 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
atrnil312.5611078741132831.7125347.955891.48-7811.98-12977.853.241.510.052702.13
atrnil28.0778403.6841162539.0216957.537260.99-7716.65-12510.522.21.410.0451912.28
nilnil-1121103.3339241561.543307.4213171.42-3884.98-12756.260.851.360.034541.11
atrtrail35.9820577.9242162638.19618.455891.48-5127.56-12510.521.881.150.013489.95
atrtrail25.3618979.3242162638.19518.4937260.99-5127.56-12510.521.861.140.015451.89
atrtrail-16.12-13379.4442162638.17496.0741822.12-5127.56-12510.521.460.9-0.011-318.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 31.71%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017317 Jan 2017 (-3.94%), 28 Feb 2017 (-3.91%), 08 May 2017 (12.21%)
2016506 Jan 2016 (11.02%), 31 Mar 2016 (-3.28%), 05 Apr 2016 (-3.25%), 18 Apr 2016 (10.03%), 19 Aug 2016 (11.5%)
2015505 Mar 2015 (-5.06%), 17 Apr 2015 (14.79%), 09 Jul 2015 (-4.33%), 24 Jul 2015 (-3.74%), 10 Aug 2015 (10.62%)
2014402 Jun 2014 (-3.93%), 20 Jun 2014 (-4.34%), 30 Jul 2014 (-3.82%), 09 Sep 2014 (-2.87%)
2013329 Jul 2013 (-3.17%), 26 Sep 2013 (-2.73%), 05 Dec 2013 (-3.44%)
2012323 Feb 2012 (-4.06%), 17 Oct 2012 (-3.22%), 31 Dec 2012 (8.67%)
2011516 Mar 2011 (-2.9%), 21 Apr 2011 (-2.51%), 14 Jun 2011 (7.49%), 26 Jul 2011 (-2.43%), 29 Jul 2011 (7.59%)
2010519 Jan 2010 (-4.43%), 25 Feb 2010 (-4.36%), 19 Mar 2010 (-3.58%), 19 Jul 2010 (-2.88%), 19 Oct 2010 (8.5%)
2009412 Jun 2009 (27.95%), 13 Aug 2009 (-5.0%), 03 Sep 2009 (-6.49%), 16 Dec 2009 (-5.29%)
2008309 Jan 2008 (19.1%), 08 May 2008 (15.3%), 31 Dec 2008 (-6.26%)
2007124 Jul 2007 (-4.13%)



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