Study: Sell INDUSINDBK 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 INDUSINDBK 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 INDUSINDBK 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
1-22760.6893464749.464333.9325571.73-4725.99-21423.280.920.9-0.0083-244.74
2-66465.693474650.545457.8719398.64-7021.43-35765.260.780.79-0.018-714.68
3-54195.8493435046.248021.9430864.2-7982.79-36506.1410.86-0.012-582.75
427227.6393474650.548787.4840123.46-8386.61-34572.041.051.070.0056292.77
52987.5893474650.5410229.2134567.9-10386.64-41450.580.981.010.0005332.12
6-21294.2493425145.1611378.3944905.32-9787.97-36363.641.160.96-0.0037-228.97
758724.7793464749.4612276.2237058.82-10765.56-36990.61.141.120.0097631.45
878400.9593494452.6912692.2940379.4-12352.76-39244.191.031.140.012843.02
961255.0693454848.3915592.0938773.67-13341.44-43873.521.171.10.0082658.66
103580.6493504353.7613473.5440573.07-15583.64-53913.040.861.010.0004638.5
Although, strategy looks good but profit factor on day 2 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
atrnil25.7119367998386038.7820131.5840335.87-9522.02-25447.842.111.340.0281976.32
atrtrail23.98-50586.1102346833.3314089.5839879.93-7788.71-24281.551.810.9-0.0087-495.94
atrnil39.65-18650991197220.8826943.5243995.33-9700.5-25447.842.780.73-0.028-2049.55
atrtrail34.54-143981101336832.6711021.0243995.33-7465.81-24259.921.480.72-0.028-1425.56
atrtrail-14.88-178868101336832.679963.8351113.68-7465.81-24259.921.330.65-0.037-1770.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. 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 38.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
INDUSINDBK Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019621 Feb 2019 (-2.46%), 13 Jun 2019 (8.89%), 19 Jul 2019 (7.76%), 23 Aug 2019 (-4.16%), 04 Sep 2019 (-4.26%), 19 Sep 2019 (-3.73%)
2018717 Jan 2018 (-1.9%), 06 Feb 2018 (5.04%), 23 May 2018 (-2.02%), 29 Jun 2018 (-2.1%), 22 Oct 2018 (-4.48%), 11 Dec 2018 (-3.19%), 21 Dec 2018 (5.68%)
2017419 Oct 2017 (3.96%), 15 Nov 2017 (-2.18%), 14 Dec 2017 (-1.74%), 22 Dec 2017 (-1.73%)
2016405 Jan 2016 (3.56%), 08 Feb 2016 (5.57%), 19 Jul 2016 (-2.08%), 09 Nov 2016 (-2.18%)
2015317 Apr 2015 (6.41%), 08 Jun 2015 (-2.7%), 11 Dec 2015 (-1.92%)
2014227 Jan 2014 (6.3%), 07 Jul 2014 (-2.92%)
2013721 Feb 2013 (4.62%), 19 Mar 2013 (6.2%), 08 Apr 2013 (-3.52%), 17 Jul 2013 (8.98%), 25 Sep 2013 (-7.36%), 11 Nov 2013 (-4.32%), 13 Dec 2013 (-3.81%)
2012231 May 2012 (-3.98%), 28 Aug 2012 (-2.63%)
2011807 Jan 2011 (-5.14%), 28 Jan 2011 (-5.67%), 09 Feb 2011 (-5.52%), 10 Feb 2011 (-5.5%), 16 Jun 2011 (-3.16%), 03 Oct 2011 (-4.27%), 09 Nov 2011 (7.01%), 14 Dec 2011 (9.22%)
2010527 Jan 2010 (-4.78%), 23 Feb 2010 (-3.91%), 08 Jun 2010 (-4.68%), 18 Nov 2010 (-4.95%), 08 Dec 2010 (10.54%)
2009313 Jan 2009 (-9.39%), 19 Feb 2009 (12.44%), 22 Dec 2009 (-5.27%)
2008812 Feb 2008 (-12.72%), 04 Mar 2008 (20.17%), 12 May 2008 (14.45%), 24 Jun 2008 (15.84%), 19 Aug 2008 (-6.15%), 10 Sep 2008 (10.63%), 30 Sep 2008 (-6.55%), 19 Nov 2008 (19.94%)
2007212 Feb 2007 (13.11%), 23 Aug 2007 (-6.56%)
2006817 Jan 2006 (8.33%), 22 Feb 2006 (-3.56%), 02 Mar 2006 (7.38%), 25 Apr 2006 (-5.68%), 20 Nov 2006 (-5.16%), 30 Nov 2006 (-4.6%), 01 Dec 2006 (-4.61%), 12 Dec 2006 (-7.47%)
2005317 Mar 2005 (8.33%), 20 Apr 2005 (-4.74%), 24 Aug 2005 (-5.24%)
2004721 Jan 2004 (13.7%), 23 Mar 2004 (-5.78%), 14 May 2004 (19.74%), 17 May 2004 (-12.14%), 01 Jul 2004 (12.93%), 03 Aug 2004 (11.95%), 15 Oct 2004 (6.64%)
2003527 Jan 2003 (-4.84%), 07 Mar 2003 (-4.22%), 25 Mar 2003 (-3.8%), 13 May 2003 (-3.6%), 23 Oct 2003 (-4.33%)
2002215 May 2002 (9.66%), 20 Sep 2002 (8.15%)
2001118 Sep 2001 (-7.37%)
1999601 Feb 1999 (-6.48%), 10 Mar 1999 (15.65%), 26 Apr 1999 (-6.68%), 28 May 1999 (-6.78%), 22 Oct 1999 (14.67%), 27 Dec 1999 (-8.11%)
1998502 Jun 1998 (9.21%), 27 Jul 1998 (-4.88%), 17 Aug 1998 (6.96%), 06 Oct 1998 (14.66%), 15 Dec 1998 (8.25%)



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