Study: Sell IDEA 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 IDEA 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 IDEA 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
14941.1642192345.244049.7110596.58-3130.58-11531.071.291.070.0075117.65
2-7556.7342202247.624801.7110909.09-4708.68-13820.551.020.93-0.0089-179.92
3-40613.93422121504667.4511721.61-6601.45-22934.020.710.71-0.037-967
4-25845.18422121505411.9511848.14-6642.68-13452.910.810.81-0.024-615.36
5-12855.3642251759.525917.4315102.21-9458.31-21789.520.630.92-0.0096-306.08
6-29945.2642241857.147290.1914207.65-11383.88-56587.840.640.85-0.016-712.98
736560.2742261661.98695.2821554.34-11844.81-55236.490.731.190.018870.48
888268.6942251759.5210085.7222950.82-9639.67-45439.191.051.540.0472101.64
912453942241857.1411483.8527322.4-8392.96-32601.351.371.820.072965.22
1088267.8542241857.1410384.5430056.04-8942.28-41047.31.161.550.0482101.62
Although, strategy looks good but profit factor on day 3 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
atrnil26.7376799.6648202841.6715643.3927769.95-8431-14203.081.861.330.0371599.99
atrnil39.7772265.7448153331.2523238.3841654.92-8373.03-14203.082.781.260.0281505.54
atrtrail24.8824184.9948202841.6710192.5827769.95-6416.67-14203.081.591.130.015503.85
atrtrail35.67-12522.3848192939.588801.8441654.92-6198.53-14203.081.420.93-0.0073-260.88
atrtrail-16.1-17610.948192939.588534.0337966.04-6198.53-14203.081.380.9-0.011-366.89

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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
IDEA Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018115 Jan 2018 (9.99%)
2017316 Feb 2017 (-4.47%), 02 Aug 2017 (9.08%), 09 Nov 2017 (-5.28%)
2016104 May 2016 (7.54%)
2015220 Apr 2015 (8.32%), 24 Jul 2015 (5.21%)
2014517 Apr 2014 (-3.56%), 17 Jun 2014 (7.39%), 13 Aug 2014 (-3.18%), 16 Sep 2014 (-3.26%), 27 Nov 2014 (6.42%)
2013924 Jan 2013 (7.7%), 07 Mar 2013 (-3.07%), 14 Mar 2013 (6.02%), 13 May 2013 (-3.55%), 26 Jun 2013 (-4.24%), 03 Jul 2013 (-4.0%), 05 Aug 2013 (-5.89%), 21 Aug 2013 (10.87%), 21 Oct 2013 (6.22%)
2012510 Feb 2012 (-4.68%), 07 Mar 2012 (-3.46%), 09 Apr 2012 (6.16%), 20 Jul 2012 (7.15%), 06 Dec 2012 (-3.26%)
2011603 May 2011 (7.3%), 05 Jul 2011 (-3.44%), 12 Jul 2011 (-3.42%), 13 Jul 2011 (-3.35%), 10 Aug 2011 (-4.05%), 08 Sep 2011 (7.66%)
2010413 Jan 2010 (-3.46%), 28 Jan 2010 (-3.85%), 01 Apr 2010 (-3.47%), 28 Sep 2010 (6.74%)
2009408 May 2009 (-5.87%), 08 Jun 2009 (-6.81%), 15 Jun 2009 (13.88%), 02 Sep 2009 (-3.87%)
2008212 May 2008 (-4.85%), 29 May 2008 (8.82%)
2007604 Jun 2007 (6.98%), 10 Jul 2007 (-3.36%), 30 Jul 2007 (-3.52%), 31 Jul 2007 (6.97%), 22 Oct 2007 (-7.1%), 24 Dec 2007 (-5.71%)



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