Study: Sell GODFRYPHLP 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 GODFRYPHLP 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 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
129103.2487414647.133445.0116493.59-2437.87-13542.441.411.260.016334.52
2-21769.6987444350.574243.0928588.88-4848.04-26708.630.880.9-0.0074-250.23
3-34312.8387414647.135189.5931820.96-5371.44-23237.410.970.86-0.01-394.4
4-10784587394844.836320.9135233-7382.51-36519.780.860.7-0.025-1239.6
5-12297587394844.838012.6742686.72-9072.28-72122.760.880.72-0.02-1413.51
6-21872987384943.688469.2141049.8-11031.82-1229060.770.6-0.028-2514.13
7-16986587414647.138877.4440397.45-11605.21-95556.270.760.68-0.022-1952.47
8-28619387434449.439183.0135030.82-15478.69-1096070.590.58-0.031-3289.57
9-24539287424548.289672.641317.27-14480.91-1093990.670.62-0.028-2820.6
10-11247087434449.4312031.1248436.72-14313.82-1070810.840.82-0.013-1292.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.26. 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 47.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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
nilnil-1129103.2487414647.133445.0116493.59-2437.87-13542.441.411.260.016334.52
atrnil38.85-14152993207321.512323946683.48-8305.6-16048.962.80.77-0.023-1521.81
atrnil27.43-15013193266727.9615669.3331122.32-8321.4-16048.961.880.73-0.03-1614.32
atrtrail24.99-12151297296829.99749.9931122.32-5945.02-13712.371.640.7-0.03-1252.7
atrtrail35.27-13389197277027.8410195.4746683.48-5845.27-13712.371.740.67-0.03-1380.32
atrtrail-15.69-17555897267126.89059.7540068.33-5790.3-13712.371.560.57-0.044-1809.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 47.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
GODFRYPHLP Performance, X=1, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jan 2019 (-0.34%), 03 Apr 2019 (-0.17%)
2018430 Apr 2018 (1.27%), 24 Aug 2018 (-1.62%), 19 Sep 2018 (8.25%), 07 Dec 2018 (2.45%)
2017623 Jan 2017 (-0.9%), 10 Feb 2017 (-0.63%), 28 Mar 2017 (3.63%), 22 May 2017 (4.47%), 07 Jun 2017 (0.48%), 07 Jul 2017 (0.25%)
2016201 Aug 2016 (1.83%), 19 Sep 2016 (-0.16%)
2015729 Apr 2015 (1.67%), 14 May 2015 (-0.08%), 29 Jul 2015 (-1.51%), 13 Aug 2015 (-1.64%), 09 Oct 2015 (-3.92%), 04 Nov 2015 (-0.52%), 09 Dec 2015 (3.74%)
2014303 Mar 2014 (-1.82%), 30 Apr 2014 (-0.98%), 26 Nov 2014 (-0.78%)
2013203 Jan 2013 (-0.09%), 27 May 2013 (-1.12%)
2012408 Feb 2012 (-0.66%), 24 Apr 2012 (0.98%), 12 Jul 2012 (-0.5%), 25 Oct 2012 (-0.36%)
2011518 Mar 2011 (0.29%), 18 Apr 2011 (0.01%), 10 May 2011 (0.11%), 14 Jul 2011 (-1.44%), 19 Sep 2011 (0.23%)
2010513 Jan 2010 (-0.57%), 20 Apr 2010 (0.0%), 28 Jul 2010 (0.27%), 23 Nov 2010 (1.47%), 08 Dec 2010 (4.9%)
2009412 May 2009 (-0.39%), 18 Jun 2009 (-1.84%), 11 Aug 2009 (-0.23%), 11 Dec 2009 (0.31%)
2008415 Jan 2008 (2.39%), 05 May 2008 (0.01%), 13 Jun 2008 (-0.0%), 22 Aug 2008 (0.66%)
2007405 Feb 2007 (0.59%), 16 May 2007 (0.98%), 05 Oct 2007 (2.4%), 13 Dec 2007 (1.42%)
2006226 Apr 2006 (-2.4%), 14 Dec 2006 (-0.65%)
2005618 Jan 2005 (-0.84%), 04 Feb 2005 (0.33%), 28 Mar 2005 (5.21%), 22 Sep 2005 (-1.29%), 24 Nov 2005 (-3.05%), 14 Dec 2005 (1.27%)
2004606 Jan 2004 (-0.02%), 30 Jul 2004 (0.7%), 18 Aug 2004 (-0.65%), 21 Sep 2004 (0.69%), 16 Dec 2004 (-0.02%), 30 Dec 2004 (-5.16%)
2003403 Jun 2003 (0.61%), 17 Jun 2003 (-0.0%), 10 Jul 2003 (-0.01%), 26 Aug 2003 (-1.21%)
2002310 Jun 2002 (-1.32%), 01 Jul 2002 (-0.0%), 25 Oct 2002 (5.47%)
2001303 Jan 2001 (0.01%), 23 Nov 2001 (-1.01%), 19 Dec 2001 (1.94%)
2000128 Nov 2000 (-6.77%)
1999309 Mar 1999 (-4.85%), 23 Jul 1999 (-0.03%), 20 Sep 1999 (1.97%)
1998324 Apr 1998 (0.02%), 11 Aug 1998 (1.23%), 05 Oct 1998 (-2.74%)
1997311 Jun 1997 (-1.67%), 21 Aug 1997 (4.45%), 12 Sep 1997 (-0.1%)
1996131 Oct 1996 (1.64%)



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