Study: Sell IDFC 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 IDFC 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 IDFC 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
135813.5569343549.284604.1333034.3-3449.34-13404.421.331.30.023519.04
2-12402.3569363352.176664.4331451.19-7646.11-45302.010.870.95-0.0045-179.74
310989.169373253.626870.9226385.22-7601.09-28859.060.91.050.0045159.26
423810.5469373253.628615.1530079.16-9217.19-40897.270.931.080.008345.08
514738.9769412859.428287.2523746.7-11608.51-49544.860.711.050.0045213.61
6-15298.9769343549.2810650.432612.14-10783.22-55916.780.990.96-0.0041-221.72
79985.9269363352.1711193.231863.84-11908.16-50845.250.941.030.0026144.72
8-28322.9969353450.7210903.9433806.45-12057.68-50975.290.90.93-0.0075-410.48
934442.6469363352.1711586.7447265.62-11596.37-41352.4111.090.009499.17
1037666.269383155.0711506.9444977.68-12890.25-44863.460.891.090.0092545.89

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.3. 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 49.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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-1135813.5569343549.284604.1333034.3-3449.34-13404.421.331.30.023519.04
atrnil323.0513848.4255144125.4531530.0197448.52-10428.58-21827.183.021.030.0032251.79
atrtrail24.6610757.0974264835.1414735.6951081.3-7757.72-21141.651.91.030.003145.37
atrnil26.410197.4173254834.2519370.5564965.68-9876.38-21827.181.961.020.0024139.69
atrtrail-15.84-16748.2973254834.2513851.5351081.3-7563.26-21141.651.830.95-0.0045-229.43
atrtrail35.19-26778.1373254834.2513450.3451081.3-7563.26-21141.651.780.93-0.0076-366.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 49.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
IDFC Performance, X=1, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jan 2019 (-1.79%)
2018716 Jan 2018 (-3.01%), 07 Mar 2018 (-0.0%), 10 May 2018 (-2.15%), 22 Jun 2018 (0.21%), 16 Jul 2018 (-5.8%), 04 Sep 2018 (0.2%), 06 Dec 2018 (0.13%)
2017530 Jan 2017 (2.83%), 27 Jun 2017 (-1.18%), 03 Aug 2017 (-1.05%), 27 Sep 2017 (-1.63%), 04 Dec 2017 (-0.08%)
2016414 Jan 2016 (5.09%), 25 Feb 2016 (-0.67%), 17 Mar 2016 (-0.26%), 20 Dec 2016 (-0.19%)
2015707 Jan 2015 (-1.39%), 06 Feb 2015 (1.45%), 10 Mar 2015 (1.57%), 17 Apr 2015 (0.86%), 02 Jun 2015 (1.07%), 28 Jul 2015 (-1.05%), 05 Oct 2015 (-0.32%)
2014303 Jan 2014 (1.09%), 23 Sep 2014 (0.11%), 09 Dec 2014 (-1.46%)
2013711 Jan 2013 (-1.21%), 26 Feb 2013 (-2.85%), 20 Mar 2013 (3.43%), 24 Jul 2013 (0.81%), 26 Aug 2013 (16.52%), 12 Nov 2013 (0.93%), 13 Dec 2013 (-0.92%)
2012427 Feb 2012 (-6.7%), 13 Aug 2012 (-2.55%), 29 Aug 2012 (-2.52%), 21 Dec 2012 (-0.86%)
2011507 Jan 2011 (3.14%), 14 Jun 2011 (3.43%), 27 Jul 2011 (3.55%), 09 Nov 2011 (3.02%), 13 Dec 2011 (1.65%)
2010421 Jan 2010 (1.82%), 16 Apr 2010 (-0.78%), 27 Aug 2010 (1.49%), 10 Nov 2010 (1.18%)
2009609 Jan 2009 (5.58%), 24 Feb 2009 (0.38%), 22 Jul 2009 (1.06%), 06 Aug 2009 (0.76%), 27 Oct 2009 (1.36%), 27 Nov 2009 (-3.88%)
2008911 Feb 2008 (3.96%), 03 Mar 2008 (-2.9%), 12 May 2008 (-1.12%), 23 Jun 2008 (-0.56%), 16 Jul 2008 (-6.43%), 21 Aug 2008 (-0.33%), 15 Sep 2008 (2.18%), 20 Nov 2008 (5.03%), 24 Dec 2008 (0.08%)
2007313 Feb 2007 (-1.11%), 02 Apr 2007 (1.01%), 19 Oct 2007 (-1.66%)
2006408 Mar 2006 (-0.22%), 27 Apr 2006 (-0.7%), 12 Jul 2006 (1.29%), 11 Sep 2006 (-1.03%)



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