Study: Sell INDUSINDBK 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 INDUSINDBK 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 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
132914.981005248523946.3620726.5-3589.49-16482.161.11.190.013329.15
2-32231.711005050505243.7627991.45-5888.4-30504.310.890.89-0.0085-322.32
3-45154.341004951496643.5431369.15-7268.39-26578.070.910.88-0.01-451.54
4-43332.171004951498387.7354419.41-8908.45-39847.160.940.9-0.0075-433.32
5-96649.741005050507759.3943030.3-9692.38-46397.380.80.8-0.017-966.5
6-1303131004555459804.7937575.76-10391.42-67135.820.940.77-0.02-1303.13
7-2159081004654469138.7237781.63-11783.13-72484.170.780.66-0.032-2159.08
8-24316910042584210875.5442389.76-12067.97-67980.30.90.65-0.034-2431.69
9-25825110043574311589.1741536.27-13273.43-73891.630.870.66-0.034-2582.51
10-22341410044564412036.340682.79-13446.64-65306.120.90.7-0.028-2234.14

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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-1132914.981005248523946.3620726.5-3589.49-16482.161.11.190.013329.15
atrnil26.26-66700.17112347830.3617426.7834540.99-8451.42-20797.722.060.9-0.01-595.54
atrnil38.15-174714110218919.0927589.3451811.49-8472.93-20797.723.260.77-0.023-1588.31
atrtrail23.95-121232114357930.710756.334540.99-6300.03-19014.291.710.76-0.023-1063.44
atrtrail34.23-127665114357930.710572.543662.93-6300.03-19014.291.680.74-0.023-1119.87
atrtrail-14.56-176101114357930.79188.6255984.79-6300.03-19014.291.460.65-0.034-1544.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Apr 2019 (-1.83%)
2018618 Jan 2018 (-0.23%), 19 Apr 2018 (1.1%), 22 May 2018 (2.64%), 02 Jul 2018 (-0.11%), 14 Aug 2018 (0.67%), 12 Dec 2018 (-1.76%)
2017915 Feb 2017 (-0.23%), 05 Apr 2017 (-1.48%), 02 May 2017 (0.51%), 15 Jun 2017 (-0.53%), 24 Jul 2017 (0.77%), 10 Aug 2017 (0.25%), 20 Sep 2017 (-0.22%), 18 Oct 2017 (1.02%), 26 Dec 2017 (0.79%)
2016806 Jan 2016 (1.95%), 08 Apr 2016 (-2.54%), 19 May 2016 (0.15%), 07 Jun 2016 (-0.33%), 13 Jul 2016 (-0.88%), 10 Aug 2016 (-0.55%), 29 Sep 2016 (0.16%), 10 Nov 2016 (1.8%)
2015407 Jan 2015 (-0.85%), 04 Feb 2015 (-0.24%), 11 Mar 2015 (-0.18%), 04 Aug 2015 (-0.04%)
2014503 Apr 2014 (-1.05%), 29 May 2014 (1.62%), 24 Sep 2014 (1.79%), 17 Nov 2014 (0.46%), 15 Dec 2014 (2.4%)
2013306 Feb 2013 (-0.34%), 21 May 2013 (0.4%), 08 Nov 2013 (3.27%)
2012621 Feb 2012 (4.71%), 24 Apr 2012 (1.22%), 13 Jul 2012 (0.16%), 16 Oct 2012 (-1.1%), 20 Nov 2012 (0.18%), 12 Dec 2012 (-1.14%)
2011219 Apr 2011 (-1.14%), 14 Jul 2011 (0.68%)
20101008 Jan 2010 (-0.14%), 28 Jan 2010 (-1.58%), 24 Feb 2010 (1.97%), 12 Apr 2010 (-2.29%), 03 May 2010 (-0.69%), 02 Jun 2010 (-0.89%), 15 Jul 2010 (-2.09%), 25 Aug 2010 (-3.88%), 12 Oct 2010 (0.31%), 07 Dec 2010 (3.39%)
20091014 Jan 2009 (2.47%), 29 Apr 2009 (-8.24%), 12 Jun 2009 (4.23%), 30 Jun 2009 (-0.41%), 28 Jul 2009 (3.38%), 04 Sep 2009 (-3.16%), 05 Oct 2009 (0.04%), 27 Oct 2009 (1.93%), 16 Nov 2009 (0.86%), 21 Dec 2009 (0.6%)
2008120 Aug 2008 (3.63%)
2007723 Jan 2007 (-1.86%), 11 Jul 2007 (-1.55%), 03 Oct 2007 (-0.35%), 18 Oct 2007 (5.28%), 09 Nov 2007 (-1.58%), 23 Nov 2007 (-6.81%), 14 Dec 2007 (4.75%)
2006426 Apr 2006 (0.76%), 16 May 2006 (-6.15%), 01 Sep 2006 (-0.46%), 11 Oct 2006 (-1.69%)
2005505 Jan 2005 (-1.32%), 17 Jun 2005 (2.08%), 15 Jul 2005 (-2.57%), 02 Aug 2005 (1.26%), 23 Aug 2005 (3.12%)
2004120 Jan 2004 (10.36%)
2003624 Apr 2003 (-0.56%), 14 May 2003 (-2.72%), 06 Jun 2003 (0.25%), 11 Aug 2003 (0.4%), 01 Sep 2003 (1.1%), 17 Dec 2003 (0.84%)
2002404 Mar 2002 (1.33%), 14 May 2002 (1.82%), 05 Jul 2002 (-2.49%), 26 Dec 2002 (-0.0%)
2001103 Dec 2001 (2.44%)
2000111 Feb 2000 (-7.35%)
1999429 Jan 1999 (5.94%), 22 Jul 1999 (2.82%), 07 Sep 1999 (-8.06%), 21 Oct 1999 (3.27%)
1998230 Apr 1998 (-0.51%), 01 Jun 1998 (3.28%)



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