Study: Sell GODFRYPHLP 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 GODFRYPHLP 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 GODFRYPHLP 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
17673.71246262503392.1915258.05-3268.42-16468.881.041.040.002561.88
2-32595.47124596547.585448.9618240-5447.45-25881.6710.91-0.0072-262.87
3-36379.69124616349.196387.438728.95-6762.08-28731.120.940.91-0.0063-293.38
421693.7124606448.398221.3738831.65-7368.57-37794.561.121.050.0033174.95
522658.35124616349.198942.0842512.66-8298.55-30253.571.081.040.0031182.73
691107.59124646051.619589.0643248.63-8709.87-28510.611.11.170.012734.74
7-99272.36124606448.399953.4544772.5-10882.49-38699.260.910.86-0.012-800.58
8-18394.74124606448.3911462.5147387.33-11033.52-46695.651.040.97-0.002-148.34
9-37527.0812462625012423.2847586.48-13028.55-43604.50.950.95-0.0037-302.64
10-53343.41124665853.2312509.0353915.75-15154.13-64326.480.830.94-0.0047-430.19
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
atrnil310.29-21516119289123.5325698.9354644.11-8143.8-18432.233.160.97-0.0025-180.81
atrnil28.23-46675.02124388630.6517162.9336429.41-8126.35-18432.232.110.93-0.0063-376.41
atrtrail34.65-50417.18142499334.5111062.2546532.95-6370.62-16592.021.740.91-0.0069-355.05
atrtrail-15.07-91200.32141499234.7510077.3150729.8-6358.57-16592.021.580.84-0.013-646.81
atrtrail24.31-108255142499334.519881.8836429.41-6370.62-16592.021.550.82-0.017-762.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 23.53%, which is not acceptable. Avoid this strategy. Average return per trade is -0.09%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:0.971

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Jan 2019 (-3.55%), 27 Feb 2019 (-3.75%)
2018507 Mar 2018 (-3.74%), 23 Mar 2018 (-3.82%), 27 Apr 2018 (9.24%), 18 Jul 2018 (-3.81%), 21 Sep 2018 (17.37%)
2017623 May 2017 (-4.74%), 27 Jun 2017 (-3.71%), 17 Jul 2017 (9.56%), 18 Jul 2017 (11.76%), 25 Sep 2017 (-3.77%), 26 Sep 2017 (11.89%)
2016404 Feb 2016 (-7.76%), 04 Apr 2016 (-4.83%), 21 Apr 2016 (12.95%), 24 Jun 2016 (-3.6%)
2015507 Jan 2015 (-3.0%), 06 Feb 2015 (11.72%), 25 Mar 2015 (-3.58%), 25 May 2015 (-3.86%), 03 Jun 2015 (-4.07%)
2014528 May 2014 (16.49%), 10 Jul 2014 (-3.8%), 11 Jul 2014 (-3.87%), 25 Aug 2014 (-2.65%), 15 Sep 2014 (-3.69%)
2013621 Mar 2013 (9.77%), 10 Jul 2013 (-4.92%), 12 Aug 2013 (-5.41%), 11 Nov 2013 (-3.83%), 12 Nov 2013 (-3.82%), 16 Dec 2013 (-4.24%)
2012203 Sep 2012 (-3.45%), 18 Sep 2012 (-3.03%)
2011613 Jan 2011 (14.22%), 17 Mar 2011 (-4.37%), 15 Apr 2011 (-3.1%), 11 May 2011 (-3.38%), 31 Oct 2011 (12.81%), 15 Dec 2011 (13.07%)
2010408 Jun 2010 (-2.37%), 31 Aug 2010 (-2.72%), 14 Sep 2010 (-2.66%), 12 Oct 2010 (-2.47%)
2009410 Feb 2009 (-5.88%), 11 Feb 2009 (-6.39%), 24 Feb 2009 (-5.73%), 10 Dec 2009 (-3.54%)
2008316 Jan 2008 (23.27%), 07 Mar 2008 (-5.6%), 17 Nov 2008 (-9.22%)
2007208 Oct 2007 (12.64%), 12 Nov 2007 (-6.23%)
2006317 Jul 2006 (-4.5%), 01 Sep 2006 (-4.15%), 16 Nov 2006 (-4.05%)
2005329 Mar 2005 (-8.3%), 08 Jun 2005 (-3.42%), 29 Jun 2005 (-3.54%)
2004521 Jan 2004 (12.79%), 16 Mar 2004 (-2.92%), 11 May 2004 (-4.14%), 12 May 2004 (-4.09%), 08 Nov 2004 (-2.03%)
2003424 Jan 2003 (-2.21%), 11 Mar 2003 (-2.25%), 09 Apr 2003 (-2.93%), 21 Nov 2003 (-2.02%)
20021013 Feb 2002 (-3.68%), 11 Mar 2002 (-3.86%), 03 Apr 2002 (-4.29%), 21 May 2002 (-3.79%), 15 Jul 2002 (7.95%), 08 Aug 2002 (-3.96%), 19 Sep 2002 (-4.45%), 07 Oct 2002 (-4.43%), 24 Oct 2002 (-4.33%), 02 Dec 2002 (-4.54%)
2001508 Jun 2001 (10.92%), 25 Jul 2001 (-5.42%), 04 Sep 2001 (-3.76%), 13 Sep 2001 (12.49%), 03 Oct 2001 (-5.37%)
2000703 Mar 2000 (27.32%), 04 May 2000 (-6.99%), 23 May 2000 (-6.13%), 24 Jul 2000 (-4.53%), 20 Sep 2000 (-4.74%), 21 Sep 2000 (-5.32%), 27 Nov 2000 (-4.75%)
1999501 Jan 1999 (-3.1%), 25 May 1999 (13.63%), 01 Nov 1999 (-5.02%), 08 Dec 1999 (-6.17%), 15 Dec 1999 (17.72%)
1998512 Jan 1998 (-2.77%), 01 Jun 1998 (14.68%), 27 Nov 1998 (-3.11%), 14 Dec 1998 (-2.66%), 29 Dec 1998 (-3.16%)
1997311 Mar 1997 (-3.87%), 21 Apr 1997 (-2.6%), 23 Jun 1997 (-2.06%)
19961110 Jan 1996 (9.13%), 01 Mar 1996 (-3.74%), 11 Mar 1996 (-4.31%), 30 Apr 1996 (-3.83%), 01 May 1996 (-3.74%), 22 May 1996 (-3.81%), 27 Jun 1996 (-3.12%), 28 Jun 1996 (9.41%), 06 Aug 1996 (10.83%), 07 Oct 1996 (-3.38%), 01 Nov 1996 (10.07%)
1995415 May 1995 (-4.46%), 22 Jun 1995 (9.0%), 16 Aug 1995 (-2.79%), 31 Oct 1995 (7.09%)



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