Study: Sell INDIACEM 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 INDIACEM 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 INDIACEM 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
1-22512.66127626548.824985.3322862.45-5101.59-17383.180.980.93-0.0054-177.27
2-56951.63127616648.035460.3927860.11-5909.63-36510.90.920.85-0.011-448.44
3-34893.56127636449.617850.6330231.18-8273.17-34579.440.950.93-0.0054-274.75
4-103019127656251.188744.4650063.86-10829.17-50903.430.810.85-0.013-811.17
5-243157127586945.679655.0539907.5-11639.85-52336.450.830.7-0.028-1914.62
6-342387127537441.739950.4233894.95-11753.5-55264.80.850.61-0.038-2695.96
7-267056126567044.4412720.63104332-13991.59-64049.840.910.73-0.023-2119.49
8-213914126626449.2112517.98107508-15469.2-69719.630.810.78-0.017-1697.73
9-106964126675953.1712795.58105117-16343.52-62305.30.780.89-0.0085-848.92
1010100.41126646250.7914933.6102764-15252.42-66438.360.981.010.0007680.16
Although, strategy looks good but profit factor on day 6 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
atrnil38.41-6294.78125319424.829445.7852455.31-9777.81-18908.473.010.99-0.00059-50.36
atrnil26.49-130435129399030.2319362.3434970.21-9839.63-18908.471.970.85-0.015-1011.13
atrtrail24.16-210150135459033.3310401.6434970.21-7535.82-13787.31.380.69-0.031-1556.67
atrtrail34.56-210913135449132.5910666.3852455.31-7475.09-13787.31.430.69-0.029-1562.32
atrtrail-14.81-244652135449132.599899.5741736.07-7475.09-13787.31.320.64-0.035-1812.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 24.8%, which is not acceptable. Avoid this strategy. Average return per trade is -0.025%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:0.993

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Jan 2019 (-4.1%), 11 Feb 2019 (-4.81%)
2018818 Jan 2018 (13.95%), 07 Mar 2018 (-4.56%), 25 Apr 2018 (-3.65%), 04 Jun 2018 (14.94%), 18 Jul 2018 (-5.29%), 13 Aug 2018 (-5.38%), 05 Sep 2018 (-4.54%), 06 Dec 2018 (-4.73%)
2017718 Apr 2017 (-3.12%), 23 Jun 2017 (-4.05%), 28 Jul 2017 (11.42%), 22 Sep 2017 (-3.77%), 06 Nov 2017 (10.27%), 04 Dec 2017 (-3.54%), 14 Dec 2017 (-3.73%)
2016115 Jan 2016 (-6.85%)
2015805 Feb 2015 (-6.49%), 09 Mar 2015 (-5.94%), 24 Apr 2015 (15.07%), 03 Jun 2015 (-4.87%), 15 Jul 2015 (-4.48%), 11 Aug 2015 (12.44%), 26 Oct 2015 (-4.45%), 08 Dec 2015 (-4.25%)
2014314 Feb 2014 (-4.83%), 16 Sep 2014 (-4.44%), 24 Sep 2014 (17.79%)
2013810 Jan 2013 (10.1%), 20 Mar 2013 (-3.6%), 04 Apr 2013 (-3.89%), 25 Apr 2013 (-3.49%), 21 May 2013 (11.12%), 25 Jun 2013 (-5.07%), 30 Jul 2013 (-6.36%), 15 Oct 2013 (-4.19%)
2012427 Feb 2012 (-6.2%), 11 Jul 2012 (-4.53%), 29 Aug 2012 (-4.0%), 24 Dec 2012 (-3.22%)
2011810 Jan 2011 (-3.57%), 28 Feb 2011 (-4.74%), 20 Jun 2011 (10.52%), 02 Aug 2011 (-3.45%), 26 Aug 2011 (-5.94%), 28 Sep 2011 (-5.89%), 04 Oct 2011 (-5.89%), 14 Dec 2011 (-4.92%)
2010824 Feb 2010 (-3.92%), 12 Mar 2010 (-3.66%), 28 Jun 2010 (-2.99%), 26 Jul 2010 (-2.63%), 18 Aug 2010 (-2.54%), 02 Sep 2010 (-2.88%), 15 Nov 2010 (-4.28%), 16 Nov 2010 (13.77%)
2009317 Feb 2009 (-7.39%), 29 Jul 2009 (-6.68%), 10 Aug 2009 (20.74%)
2008413 Mar 2008 (-7.98%), 28 Apr 2008 (17.71%), 16 Jul 2008 (-6.81%), 18 Aug 2008 (16.82%)
2007410 Jan 2007 (-4.02%), 23 Jan 2007 (13.62%), 19 Oct 2007 (-6.74%), 18 Dec 2007 (-6.72%)
2006211 Sep 2006 (-3.53%), 11 Dec 2006 (12.7%)
2005315 Apr 2005 (-4.91%), 17 Jun 2005 (-4.97%), 06 Dec 2005 (-4.04%)
2004223 Feb 2004 (18.94%), 11 May 2004 (26.23%)
2003407 Jan 2003 (-3.46%), 07 Mar 2003 (10.99%), 30 Apr 2003 (-3.54%), 15 Oct 2003 (-5.58%)
2002630 Jan 2002 (18.41%), 26 Mar 2002 (-4.48%), 20 May 2002 (-3.96%), 15 Jul 2002 (11.93%), 26 Aug 2002 (-6.46%), 25 Sep 2002 (-5.26%)
2001210 May 2001 (-7.35%), 05 Jun 2001 (17.67%)
2000811 Jan 2000 (-6.83%), 14 Jan 2000 (-7.78%), 18 Feb 2000 (18.99%), 17 Apr 2000 (22.65%), 21 Jul 2000 (-8.61%), 08 Sep 2000 (-4.48%), 11 Sep 2000 (-4.62%), 26 Sep 2000 (-5.72%)
1999615 Jan 1999 (-3.95%), 02 Feb 1999 (-4.78%), 18 Mar 1999 (-5.63%), 09 Apr 1999 (-6.83%), 29 Oct 1999 (-9.45%), 27 Dec 1999 (-7.22%)
1998616 Jan 1998 (-6.22%), 24 Mar 1998 (-6.4%), 24 Apr 1998 (-7.31%), 06 Aug 1998 (10.59%), 23 Sep 1998 (15.94%), 06 Nov 1998 (-6.31%)
1997620 Jan 1997 (16.59%), 14 Mar 1997 (16.34%), 06 May 1997 (-4.21%), 27 May 1997 (-3.35%), 26 Sep 1997 (8.95%), 23 Oct 1997 (-5.02%)
1996715 Jan 1996 (-2.77%), 11 Apr 1996 (-6.79%), 12 Apr 1996 (-6.41%), 09 May 1996 (-4.32%), 27 May 1996 (-3.59%), 12 Sep 1996 (8.13%), 22 Nov 1996 (11.08%)
1995528 Jul 1995 (-2.23%), 22 Sep 1995 (-2.4%), 16 Oct 1995 (-2.51%), 17 Oct 1995 (-2.47%), 15 Nov 1995 (-3.75%)



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