Study: Sell INDIACEM when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
16373.92261313506194.5414277.56-5704.24-15789.471.091.090.0068245.15
219147.4526161061.545593.5213020.83-7034.89-25237.30.81.270.018736.44
36097.91261313508752.4919225.81-8283.42-24343.941.061.060.0047234.53
4-5891.3826121446.159243.2723096.77-8343.61-35258.661.110.95-0.0038-226.59
5-99665.0926101638.468626.6521589.04-11620.73-28441.750.740.46-0.061-3833.27
6-11604626101638.4610283.2520540.54-13679.92-49924.360.750.47-0.059-4463.32
7-1404582691734.6213864.1828273.97-15602.08-63540.090.890.47-0.057-5402.22
8-11394926111542.3111997.6633315.07-16394.91-52950.080.730.54-0.05-4382.67
9-74435.342613135011019.6644931.51-16745.45-35158.210.660.66-0.034-2862.9
10-44516.9226111542.3113668.8653041.1-12991.62-32948.271.050.77-0.02-1712.19
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
atrnil25.73-38299.522681830.7718674.9125425.64-10427.71-14629.871.790.8-0.022-1473.06
atrnil38.24-46973.23256192425729.6333170.18-10597.42-14629.872.430.77-0.024-1878.93
atrtrail24.27-49666.192691734.628902.6725425.64-7634.72-12987.041.170.62-0.04-1910.24
atrtrail34.42-66175.662691734.627068.2821032.95-7634.72-12987.040.930.49-0.062-2545.22
atrtrail-14.46-72012.452691734.626419.7515196.16-7634.72-12987.040.840.45-0.072-2769.71

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is -0.74%, 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:0.796

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018407 Mar 2018 (-4.56%), 04 Jun 2018 (9.96%), 28 Jun 2018 (-4.79%), 18 Jul 2018 (-5.29%)
2016115 Jan 2016 (-6.85%)
2015105 Feb 2015 (-6.49%)
2013420 Mar 2013 (-3.6%), 04 Apr 2013 (-3.89%), 25 Jun 2013 (-5.07%), 30 Jul 2013 (12.71%)
2012127 Feb 2012 (-6.2%)
2011328 Feb 2011 (-4.74%), 20 Jun 2011 (7.01%), 02 Aug 2011 (-3.45%)
2009118 Mar 2009 (-6.43%)
2002226 Aug 2002 (-6.46%), 25 Sep 2002 (10.53%)
1999115 Jan 1999 (-3.95%)
1998416 Jan 1998 (-6.22%), 24 Apr 1998 (-7.31%), 23 Sep 1998 (10.62%), 06 Nov 1998 (-6.31%)
1997120 Jan 1997 (11.06%)
1996212 Sep 1996 (5.42%), 22 Nov 1996 (7.39%)
1995128 Jul 1995 (-2.23%)



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