Study: Sell ICIL 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 ICIL 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 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
1-33310.9235161945.713978.278805.03-5103.33-18561.860.780.66-0.05-951.74
2-32876.17351421407746.8827983.54-6730.12-27238.531.150.77-0.03-939.32
3-10547.3135152042.8610776.1736213.99-8609.49-30173.061.250.94-0.0076-301.35
4-38993.6235171848.5712312.244444.44-13794.5-29119.640.890.84-0.021-1114.1
5-52094.4135152042.8612427.545267.49-11925.35-42145.591.040.78-0.029-1488.41
6-43401.4335171848.5711958.5543621.4-13705.38-34482.760.870.82-0.024-1240.04
7-80261.4935171848.5713776.7548559.67-17470.35-37547.890.790.74-0.039-2293.19
8-17260235152042.8615260.3352674.9-20075.35-72881.360.760.57-0.067-4931.49
9-21605235152042.8615175.7955967.08-22184.43-1000000.680.51-0.072-6172.9
10-30427235161945.7114947.5351851.85-28601.72-1175140.520.44-0.089-8693.49
Although, strategy looks good but profit factor on day 1 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
atrnil26.25-2426724493520.4528687.5765327.03-14310.3-28342.4220.52-0.09-5515.28
atrnil38.19-2818624363713.9542226.1297990.55-14465.37-28342.422.920.47-0.092-6554.93
atrtrail34.64-24422945113424.4413176.0640731.94-11446.06-28342.421.150.37-0.13-5427.32
atrtrail-15.07-24465045113424.4413137.8345550.43-11446.06-28342.421.150.37-0.13-5436.67
atrtrail24.33-24481745113424.4413122.6527302.58-11446.06-28342.421.150.37-0.13-5440.37

In the table above, row 1 shows the best exit criterion. Profit factor is 0.52. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ICIL Performance, Profit Factor:0.515

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017410 Jan 2017 (-3.96%), 08 Feb 2017 (7.5%), 07 Apr 2017 (-3.28%), 11 May 2017 (6.06%)
2016205 Jan 2016 (-4.12%), 09 Nov 2016 (-4.55%)
20151106 Jan 2015 (-6.95%), 16 Jan 2015 (-5.61%), 13 Feb 2015 (11.7%), 17 Mar 2015 (10.28%), 23 Apr 2015 (-6.52%), 09 Jun 2015 (-5.2%), 17 Jun 2015 (-4.57%), 19 Jun 2015 (-4.62%), 08 Jul 2015 (-4.65%), 22 Jul 2015 (-3.83%), 30 Dec 2015 (-3.77%)
2014613 Feb 2014 (-6.39%), 22 Jul 2014 (-5.7%), 13 Aug 2014 (-6.66%), 25 Aug 2014 (12.11%), 13 Oct 2014 (-7.08%), 28 Nov 2014 (-6.98%)
2013317 Jun 2013 (-6.6%), 01 Aug 2013 (-8.71%), 12 Dec 2013 (-7.23%)
2012710 Jul 2012 (-10.93%), 04 Sep 2012 (-9.99%), 06 Sep 2012 (-10.75%), 10 Sep 2012 (-11.35%), 14 Sep 2012 (-14.17%), 06 Nov 2012 (-11.89%), 20 Nov 2012 (22.24%)
2010220 Jan 2010 (13.58%), 20 Dec 2010 (12.95%)
2009508 May 2009 (-7.11%), 03 Aug 2009 (-9.47%), 07 Sep 2009 (-9.48%), 20 Nov 2009 (-11.2%), 24 Dec 2009 (-6.18%)
2008125 Aug 2008 (32.66%)
2007124 Jan 2007 (-6.87%)
2006201 Sep 2006 (-6.67%), 20 Oct 2006 (-7.39%)



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