Study: Sell GODREJCP 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 GODREJCP 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 GODREJCP 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
139873.0395563958.952859.0514454.58-3082.91-10844.880.931.330.025419.72
230852.2695494651.583902.3113411.71-3486.1-15428.571.121.190.015324.76
323762.9595484750.534893.6420554.03-4492.16-15051.121.091.110.0098250.14
4-86241.5395395641.056023.3514664.83-5734.86-46543.971.050.73-0.026-907.81
5-83859.5395405542.116598.5319779.36-6323.65-35337.421.040.76-0.024-882.73
6-81296.9895494651.586414.3422998.05-8599.99-27730.550.750.79-0.021-855.76
7-140036953857408195.726865.67-7920.57-32474.441.030.69-0.035-1474.06
8-20766095395641.058070.1738654.84-9328.52-30429.450.870.6-0.047-2185.9
9-16031395365937.899356.4748189.21-8426.2-28404.791.110.68-0.034-1687.5
10-149194953857409044.3331116.04-8647-24458.081.050.7-0.034-1570.47

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.33. 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 58.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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
nilnil-1139873.0395563958.952859.0514454.58-3082.91-10844.880.931.330.025419.72
atrnil26.12-231916105277825.7114205.9925178.69-7890.74-15644.591.80.62-0.052-2208.72
atrnil38.77-24040596187818.7521111.6237768.04-7954.02-15644.592.650.61-0.05-2504.21
atrtrail24.08-213467110288225.459646.2225178.69-5897.09-12047.881.640.56-0.058-1940.61
atrtrail34.34-2238511082781259259.237768.04-5849.99-12047.881.580.53-0.059-2072.69
atrtrail-14.56-302243108258323.157335.3835383.17-5850.94-12047.881.250.38-0.092-2798.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 58.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODREJCP Performance, X=1, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Mar 2019 (0.3%), 26 Apr 2019 (0.21%), 14 Jun 2019 (0.77%), 22 Aug 2019 (1.22%)
2018216 Mar 2018 (0.82%), 05 Sep 2018 (2.45%)
2017602 Mar 2017 (0.49%), 18 May 2017 (-1.44%), 02 Aug 2017 (-5.42%), 26 Sep 2017 (0.52%), 23 Oct 2017 (0.59%), 13 Nov 2017 (0.47%)
2016507 Jan 2016 (1.32%), 17 Feb 2016 (-2.49%), 22 Sep 2016 (0.48%), 13 Oct 2016 (-0.53%), 27 Oct 2016 (-1.84%)
2015713 Mar 2015 (4.19%), 22 Apr 2015 (3.39%), 26 May 2015 (-4.09%), 09 Jul 2015 (-2.17%), 14 Aug 2015 (-0.5%), 16 Oct 2015 (-0.05%), 16 Nov 2015 (-1.08%)
2014507 Jan 2014 (-2.05%), 07 Mar 2014 (2.14%), 26 May 2014 (-1.01%), 18 Jun 2014 (-0.56%), 11 Dec 2014 (3.03%)
20131221 Jan 2013 (1.27%), 11 Feb 2013 (0.23%), 26 Feb 2013 (-0.99%), 18 Mar 2013 (0.29%), 15 Apr 2013 (1.33%), 11 Jun 2013 (3.96%), 29 Jul 2013 (3.24%), 19 Aug 2013 (0.38%), 23 Sep 2013 (-1.62%), 11 Oct 2013 (0.51%), 28 Oct 2013 (-1.79%), 05 Dec 2013 (1.98%)
2012502 Jan 2012 (-2.83%), 11 May 2012 (0.97%), 11 Oct 2012 (-1.22%), 05 Nov 2012 (0.89%), 28 Dec 2012 (-0.21%)
2011725 Jan 2011 (0.05%), 15 Mar 2011 (-1.21%), 26 Apr 2011 (-2.69%), 26 Aug 2011 (-0.75%), 22 Sep 2011 (1.51%), 11 Nov 2011 (0.15%), 08 Dec 2011 (-0.95%)
2010320 Jan 2010 (0.35%), 26 Feb 2010 (-2.98%), 26 Jul 2010 (-5.31%)
2009207 Jan 2009 (-0.27%), 13 Mar 2009 (0.42%)
2008409 Jan 2008 (3.55%), 25 Jun 2008 (1.3%), 02 Sep 2008 (0.9%), 17 Oct 2008 (-2.9%)
20071105 Feb 2007 (1.08%), 02 Mar 2007 (7.23%), 19 Mar 2007 (-1.32%), 25 Apr 2007 (3.26%), 04 Jun 2007 (-0.07%), 01 Aug 2007 (1.44%), 22 Aug 2007 (-0.22%), 18 Sep 2007 (0.25%), 04 Oct 2007 (1.07%), 28 Nov 2007 (-2.37%), 19 Dec 2007 (1.77%)
2006421 Jul 2006 (4.34%), 16 Oct 2006 (0.84%), 01 Nov 2006 (1.15%), 19 Dec 2006 (-0.76%)
2005307 Apr 2005 (0.93%), 14 Oct 2005 (-0.28%), 07 Nov 2005 (-0.65%)
2004318 Feb 2004 (0.78%), 08 Sep 2004 (0.72%), 15 Oct 2004 (-0.91%)
2003530 Jan 2003 (0.05%), 14 Feb 2003 (-0.35%), 21 Apr 2003 (-1.54%), 12 Nov 2003 (0.59%), 01 Dec 2003 (-1.54%)
2002530 Jan 2002 (2.59%), 13 Feb 2002 (2.01%), 29 Jul 2002 (1.82%), 30 Oct 2002 (-1.14%), 14 Nov 2002 (0.09%)
2001207 Nov 2001 (0.65%), 19 Dec 2001 (1.71%)



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