Study: Sell ICIL when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > icil > 26

In this study, we evaluate the performance of strategy "Sell ICIL 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 ICIL 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
149642.453252847.176598.922323.46-4118.93-17977.531.61.430.041936.65
2-19882653242945.286293.1218343.2-12064.16-1627270.520.43-0.05-3751.43
3-19588553242945.288434.7821893.49-13735.16-1800000.610.51-0.043-3695.94
4-24991853203337.748423.6424637.68-12678.5-1636360.660.4-0.059-4715.43
5-23703253213239.629394.9424892.7-13572.68-1627270.690.45-0.054-4472.3
6-22105253252847.178470.7227857.14-15457.87-1445450.550.49-0.053-4170.8
7-28767853233043.48468.1821796.47-16081.53-1481820.530.4-0.066-5427.88
8-27574953302356.69328.0730296.09-24156.14-1545450.390.5-0.057-5202.82
9-21561653242945.2812839.9936231.88-18061.23-1372730.710.59-0.046-4068.22
10-23255353262749.0612042.8947101.45-20209.91-1390910.60.57-0.049-4387.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. 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 47.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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-1149642.453252847.176598.922323.46-4118.93-17977.531.61.430.041936.65
atrnil210.83-96778.448133527.0832435.3863154.36-14812.52-36891.812.190.81-0.028-2016.22
atrnil316.37-1561244373616.2851463.0394731.54-14343.47-36891.813.590.7-0.042-3630.78
atrtrail24.68-32767059124720.3413934.6736733.85-10529.48-23487.151.320.34-0.14-5553.72
atrtrail34.88-36589359124720.3410749.4141218.49-10529.48-23487.151.020.26-0.17-6201.57
atrtrail-15.03-38645859124720.349035.6421539.05-10529.48-23487.150.860.22-0.2-6550.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 47.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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.
ICIL Performance, X=1, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017527 Jun 2017 (-1.78%), 19 Jul 2017 (1.52%), 25 Sep 2017 (0.78%), 06 Nov 2017 (0.89%), 30 Nov 2017 (4.41%)
2016811 Feb 2016 (4.22%), 04 May 2016 (-3.5%), 06 Jun 2016 (-4.0%), 15 Jul 2016 (4.72%), 10 Aug 2016 (-0.91%), 29 Sep 2016 (-1.13%), 11 Nov 2016 (5.06%), 22 Dec 2016 (-1.9%)
2015228 Sep 2015 (1.32%), 02 Nov 2015 (-1.64%)
2013114 May 2013 (-4.64%)
2012217 Feb 2012 (-0.0%), 02 May 2012 (-0.0%)
20111007 Mar 2011 (-4.9%), 28 Apr 2011 (-3.57%), 26 May 2011 (0.4%), 17 Jun 2011 (9.2%), 05 Jul 2011 (-0.0%), 27 Jul 2011 (1.29%), 17 Aug 2011 (5.42%), 19 Sep 2011 (-8.99%), 17 Oct 2011 (4.97%), 21 Nov 2011 (-5.29%)
2010316 Apr 2010 (3.28%), 05 May 2010 (-5.17%), 26 May 2010 (-0.0%)
2009102 Mar 2009 (1.67%)
2008403 Mar 2008 (4.71%), 13 May 2008 (-0.39%), 24 Jun 2008 (-0.0%), 15 Jul 2008 (-0.0%)
2007803 Apr 2007 (0.3%), 18 Apr 2007 (-1.85%), 23 May 2007 (1.37%), 03 Jul 2007 (-0.33%), 17 Jul 2007 (1.0%), 24 Aug 2007 (-1.21%), 24 Sep 2007 (-2.16%), 29 Oct 2007 (1.49%)
2006717 Mar 2006 (4.48%), 21 Apr 2006 (-0.0%), 19 May 2006 (11.16%), 19 Jul 2006 (-0.3%), 12 Sep 2006 (-1.18%), 17 Nov 2006 (3.61%), 20 Dec 2006 (-2.83%)
2005229 Nov 2005 (3.17%), 19 Dec 2005 (2.06%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play