Study: Sell GODREJCP 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 GODREJCP 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 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
111616.4795474849.472887.318270.68-2585.14-10213.851.121.090.0081122.28
215129.7395494651.584046.7316102.88-3981.74-23360.661.021.080.0064159.26
3-40385.3595484750.534831.7620799.55-5793.83-28911.250.830.85-0.014-425.11
4-17459795455047.374339.7911070.6-7397.75-29327.120.590.53-0.055-1837.86
5-17868295395641.056158.9116046.97-7480-37472.120.820.57-0.05-1880.87
6-278067953857405599.8522056.38-8611.6-38810.410.650.43-0.072-2927.02
7-31555895395641.055723.6516970.7-9621.08-34944.240.590.41-0.079-3321.67
8-40131395326333.686036.620784.96-9436.26-42081.780.640.32-0.097-4224.35
9-41323095336234.746453.8119596.71-10100.1-48327.140.640.34-0.089-4349.79
10-43850195356036.846413.4925160.75-11049.56-52342.010.580.34-0.092-4615.8

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 49.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.061%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0081, 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.

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-1111616.4795474849.472887.318270.68-2585.14-10213.851.121.090.0081122.28
atrtrail25.25-217804108258323.159788.2428380.18-5572.41-12963.751.760.53-0.06-2016.7
atrnil27.45-366490108208818.5216418.228380.18-7896.06-12963.752.080.47-0.081-3393.42
atrtrail35.54-295473108258323.156681.4832816.2-5572.41-12963.751.20.36-0.093-2735.86
atrnil39.04-6218211078997.4821565.2732816.2-8023.67-14190.092.690.22-0.17-5811.41
atrtrail-15.6-372214108238521.34424.2915813.23-5576.14-12963.750.790.21-0.15-3446.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 49.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.061%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0081, 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.
GODREJCP Performance, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018702 Feb 2018 (1.2%), 15 Mar 2018 (1.58%), 05 Apr 2018 (-0.37%), 04 May 2018 (0.32%), 20 Jun 2018 (-0.38%), 27 Jul 2018 (-0.18%), 28 Dec 2018 (0.02%)
2017623 Jan 2017 (0.61%), 07 Feb 2017 (0.84%), 27 Mar 2017 (-1.1%), 19 May 2017 (1.22%), 28 Jun 2017 (-0.95%), 18 Dec 2017 (-0.25%)
2016511 Apr 2016 (0.6%), 19 May 2016 (-0.44%), 13 Jun 2016 (-0.09%), 27 Jun 2016 (-0.46%), 13 Jul 2016 (1.15%)
2015730 Jan 2015 (-0.96%), 23 Feb 2015 (-2.39%), 12 Mar 2015 (3.27%), 27 May 2015 (3.3%), 10 Jul 2015 (-0.96%), 28 Jul 2015 (-3.86%), 13 Aug 2015 (0.24%)
2014217 Apr 2014 (1.37%), 15 Sep 2014 (-0.05%)
2013302 Apr 2013 (-2.17%), 08 May 2013 (-0.76%), 21 May 2013 (1.5%)
20121014 Feb 2012 (-0.0%), 13 Apr 2012 (0.9%), 10 May 2012 (2.06%), 25 May 2012 (-2.79%), 10 Jul 2012 (0.76%), 07 Aug 2012 (-1.94%), 06 Sep 2012 (2.49%), 12 Oct 2012 (-0.6%), 14 Dec 2012 (0.7%), 31 Dec 2012 (-0.27%)
2011425 Apr 2011 (1.19%), 16 May 2011 (1.14%), 16 Jun 2011 (-0.71%), 15 Jul 2011 (-0.13%)
2010902 Mar 2010 (-0.91%), 23 Mar 2010 (-0.93%), 27 Apr 2010 (1.75%), 24 May 2010 (-5.11%), 16 Jun 2010 (0.01%), 27 Jul 2010 (2.56%), 31 Aug 2010 (-2.44%), 23 Sep 2010 (-1.7%), 16 Nov 2010 (-0.02%)
2009510 Jun 2009 (1.85%), 10 Aug 2009 (0.59%), 14 Sep 2009 (-1.62%), 17 Oct 2009 (0.31%), 16 Nov 2009 (2.43%)
2008418 Mar 2008 (-0.27%), 22 May 2008 (0.81%), 01 Sep 2008 (1.16%), 12 Dec 2008 (0.84%)
2007118 Dec 2007 (1.74%)
2006630 Jan 2006 (-2.95%), 23 Feb 2006 (-4.44%), 13 Mar 2006 (-1.02%), 17 Apr 2006 (1.52%), 01 Sep 2006 (-1.56%), 13 Oct 2006 (0.37%)
2005606 Jan 2005 (2.22%), 06 Jun 2005 (-0.83%), 22 Aug 2005 (-0.71%), 13 Oct 2005 (1.08%), 08 Nov 2005 (-1.08%), 20 Dec 2005 (0.51%)
2004608 Jan 2004 (2.1%), 17 May 2004 (-3.15%), 31 May 2004 (2.5%), 07 Sep 2004 (1.56%), 18 Oct 2004 (-0.02%), 18 Nov 2004 (-0.88%)
2003707 Mar 2003 (0.8%), 22 Apr 2003 (-0.41%), 21 May 2003 (-1.9%), 20 Jun 2003 (-1.13%), 04 Jul 2003 (-0.38%), 28 Jul 2003 (0.98%), 15 Oct 2003 (0.5%)
2002629 Jan 2002 (3.13%), 24 Apr 2002 (-0.97%), 17 May 2002 (4.14%), 03 Jul 2002 (2.9%), 19 Jul 2002 (-5.07%), 12 Sep 2002 (-0.75%)
2001106 Nov 2001 (3.05%)



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