Study: Sell ITC 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 ITC 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 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
1-41443.6938162242.113493.2410017.99-4424.34-18002.630.790.57-0.04-1090.62
2-14221.8638162242.115568.6820884.35-4696.4-20367.941.190.86-0.011-374.26
3-67339.5338152339.476379.9722748.31-7088.65-26544.020.90.59-0.04-1772.09
4-72709.938122631.587439.924934.19-6230.34-20076.711.190.55-0.044-1913.42
5-93332.8538112728.959000.5328028.95-7123.65-24704.341.260.51-0.051-2456.13
6-35734.1638162242.118440.5839717.57-7762.89-21010.511.090.79-0.017-940.37
7-44391.338132534.2111654.8326889.76-7836.16-22744.711.490.77-0.021-1168.19
8-59769.5638172144.748159.8830592.36-9451.79-25912.960.860.7-0.028-1572.88
9-10126638162242.117930.7824551.83-10370.85-29147.910.760.56-0.046-2664.9
10-63625.4238152339.4710881.4225152.53-9862.9-37085.211.10.72-0.026-1674.35
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
atrtrail25.12-69708.4542123028.577446.6333641.98-5302.27-11508.921.40.56-0.042-1659.73
atrtrail35.29-82015.3642123028.576421.0523104.95-5302.27-11508.921.210.48-0.057-1952.75
atrtrail-15.33-88845.7642123028.575851.8523104.95-5302.27-11508.921.10.44-0.066-2115.38
atrnil345-2771823763116.2226027.3650462.97-13978.9-2349931.860.36-0.038-7491.4
atrnil237.84-3029613773018.9217375.1933641.98-14152.91-2349931.230.29-0.042-8188.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.56. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:0.562

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Jul 2019 (-0.22%), 02 Aug 2019 (3.52%)
2018112 Nov 2018 (-2.5%)
2017206 Apr 2017 (-1.52%), 18 Jul 2017 (2.21%)
2016212 Sep 2016 (-1.68%), 17 Nov 2016 (0.66%)
2015322 Jan 2015 (-2.4%), 28 Feb 2015 (3.27%), 30 Oct 2015 (-2.33%)
2014206 Aug 2014 (-1.99%), 25 Nov 2014 (-2.28%)
2013330 Jul 2013 (5.65%), 04 Sep 2013 (-4.71%), 22 Nov 2013 (-2.6%)
2009125 Jun 2009 (-3.06%)
2008216 Jan 2008 (-5.13%), 23 May 2008 (-0.03%)
2007205 Jan 2007 (-1.21%), 24 Jul 2007 (-2.16%)
2005221 Jul 2005 (-2.72%), 21 Sep 2005 (1.85%)
2004223 Jan 2004 (0.7%), 27 Apr 2004 (-3.06%)
2003217 Mar 2003 (0.16%), 08 May 2003 (-2.87%)
2002428 Jan 2002 (-1.5%), 25 Apr 2002 (-1.87%), 23 May 2002 (-2.83%), 24 May 2002 (0.13%)
2001601 Mar 2001 (-1.22%), 13 Mar 2001 (-5.14%), 14 Mar 2001 (-5.13%), 05 Jun 2001 (-1.7%), 28 Nov 2001 (-4.23%), 12 Dec 2001 (-0.6%)
2000124 Feb 2000 (16.82%)
1999121 Oct 1999 (-5.75%)
1997124 Oct 1997 (8.41%)
1996229 Feb 1996 (1.29%), 17 Oct 1996 (-3.02%)
1995103 Aug 1995 (-4.05%)



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