Study: Sell ITC 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 ITC 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 ITC 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
1-34495.8123546943.93263.4416722.45-3053.94-18002.631.070.84-0.013-280.45
2-115072122477538.523988.1920884.35-4033.56-20367.940.990.62-0.035-943.22
3-178615122457736.894659.5522837.28-5042.79-26544.020.920.54-0.043-1464.06
4-143849122477538.525145.9727909.37-5142.8-20076.7110.63-0.033-1179.09
5-178515122497340.166137.3235453.14-6564.98-24704.340.930.63-0.034-1463.24
6-89562.42122556745.086461.3339717.57-6640.83-21123.820.970.8-0.016-734.12
7-146971122507240.988217.3230625.64-7747.73-273741.060.74-0.024-1204.68
8-115284122566645.97853.4234757.98-8410.24-26133.330.930.79-0.017-944.95
9-155290122566645.98303.9339546.86-9398.63-29147.910.880.75-0.022-1272.87
10-107771122546844.269811.0935220.04-9376.03-37085.211.050.83-0.014-883.37

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.84. 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 43.9%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.

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-11-34495.8123546943.93263.4416722.45-3053.94-18002.631.070.84-0.013-280.45
atrtrail34.78-1883861483611224.329636.2546071.87-4779.38-12252.072.020.65-0.032-1272.88
atrnil321.66-263327105238221.920177.8350462.97-8870.94-2349932.270.64-0.02-2507.88
atrtrail-15.01-2165171473511223.81899734990.08-4744.75-12252.071.90.59-0.039-1472.9
atrtrail24.59-2352291483611224.328335.0433641.98-4779.38-12252.071.740.56-0.045-1589.39
atrnil216.33-334761117318626.513759.2733641.98-8852.31-2349931.550.56-0.025-2861.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 43.9%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, X=1, Profit Factor:0.836

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019723 Jan 2019 (-0.58%), 19 Feb 2019 (0.02%), 23 May 2019 (-0.78%), 19 Jul 2019 (1.45%), 02 Aug 2019 (1.78%), 11 Oct 2019 (-0.06%), 14 Nov 2019 (1.28%)
2018402 Jan 2018 (-0.15%), 19 Mar 2018 (-0.02%), 12 Nov 2018 (-1.1%), 06 Dec 2018 (-0.37%)
2017606 Apr 2017 (0.53%), 03 May 2017 (-1.42%), 18 Jul 2017 (-2.42%), 08 Sep 2017 (-0.46%), 07 Nov 2017 (-0.04%), 05 Dec 2017 (0.89%)
2016607 Jan 2016 (-1.31%), 10 Feb 2016 (3.38%), 07 Apr 2016 (-0.55%), 12 Sep 2016 (0.16%), 16 Nov 2016 (-0.26%), 21 Dec 2016 (-0.55%)
20151022 Jan 2015 (0.34%), 28 Feb 2015 (5.01%), 29 Apr 2015 (1.77%), 26 May 2015 (-1.18%), 27 Jul 2015 (0.14%), 12 Aug 2015 (0.13%), 26 Aug 2015 (-2.53%), 22 Sep 2015 (-1.27%), 30 Oct 2015 (-0.76%), 23 Nov 2015 (0.4%)
2014607 Jan 2014 (-0.05%), 20 May 2014 (-0.23%), 23 Jun 2014 (-1.76%), 06 Aug 2014 (-0.06%), 25 Nov 2014 (-2.25%), 17 Dec 2014 (-0.82%)
2013404 Apr 2013 (2.75%), 30 Jul 2013 (2.54%), 04 Sep 2013 (-4.1%), 22 Nov 2013 (-2.43%)
2012404 Jan 2012 (-0.13%), 27 Jan 2012 (0.47%), 03 Mar 2012 (-0.98%), 17 Dec 2012 (-0.02%)
2011411 Jan 2011 (-2.15%), 26 Aug 2011 (-2.59%), 04 Oct 2011 (-1.28%), 09 Dec 2011 (0.58%)
2010513 Jan 2010 (0.32%), 01 Feb 2010 (0.85%), 26 Feb 2010 (-4.18%), 19 May 2010 (-1.23%), 16 Nov 2010 (-1.18%)
2009602 Mar 2009 (3.86%), 20 May 2009 (2.31%), 25 Jun 2009 (-1.84%), 01 Sep 2009 (0.91%), 03 Nov 2009 (-2.43%), 27 Nov 2009 (-0.31%)
2008616 Jan 2008 (-4.21%), 03 Mar 2008 (3.97%), 23 May 2008 (3.79%), 19 Aug 2008 (0.27%), 17 Sep 2008 (-0.49%), 26 Dec 2008 (-0.32%)
2007305 Jan 2007 (1.57%), 30 May 2007 (-0.92%), 24 Jul 2007 (-9.0%)
2006417 Jul 2006 (1.42%), 12 Sep 2006 (-0.66%), 23 Oct 2006 (0.46%), 12 Dec 2006 (-0.03%)
2005221 Jul 2005 (-0.54%), 21 Sep 2005 (2.53%)
2004323 Jan 2004 (-2.41%), 15 Mar 2004 (2.27%), 27 Apr 2004 (-0.07%)
2003217 Mar 2003 (-0.49%), 08 May 2003 (-0.32%)
2002528 Jan 2002 (0.83%), 05 Mar 2002 (0.46%), 25 Apr 2002 (-0.95%), 23 May 2002 (-5.47%), 28 Oct 2002 (1.67%)
2001701 Mar 2001 (0.62%), 05 Jun 2001 (-1.09%), 06 Jul 2001 (1.4%), 27 Jul 2001 (-2.47%), 07 Sep 2001 (1.61%), 06 Nov 2001 (2.49%), 28 Nov 2001 (-0.05%)
2000624 Feb 2000 (3.86%), 21 Mar 2000 (-2.11%), 05 Apr 2000 (2.28%), 24 Aug 2000 (1.2%), 19 Sep 2000 (-2.04%), 10 Nov 2000 (0.82%)
1999408 Jul 1999 (1.9%), 07 Sep 1999 (-1.02%), 21 Oct 1999 (-0.55%), 01 Dec 1999 (-0.09%)
1998508 Jan 1998 (0.37%), 26 May 1998 (8.36%), 24 Jul 1998 (1.48%), 05 Oct 1998 (-3.32%), 18 Dec 1998 (-3.18%)
1997509 May 1997 (1.72%), 19 Aug 1997 (-1.67%), 24 Sep 1997 (-4.23%), 24 Oct 1997 (0.75%), 11 Dec 1997 (2.96%)
1996509 Jan 1996 (0.33%), 29 Feb 1996 (-1.71%), 21 May 1996 (-1.97%), 13 Sep 1996 (1.78%), 17 Oct 1996 (0.61%)
1995420 Apr 1995 (1.62%), 26 Jun 1995 (-1.32%), 03 Aug 1995 (-6.86%), 28 Aug 1995 (0.84%)



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