Study: Sell ITC 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 ITC 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 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
118772.51110605054.553147.1724973.09-3401.16-17734.250.931.110.0072170.66
280644.41110575351.824888.4621176.91-3735.81-21671.871.311.410.024733.13
3110331110605054.555319.421928.34-4176.67-19715.571.271.530.0311003.01
4101181110595153.645612.827143.13-4509.3-26749.911.241.440.026919.83
5178625110634757.276959.2232091.94-5527.79-24668.751.261.690.0381623.86
6178958110595153.647735.8839452.36-5440.38-21609.281.421.640.0361626.89
7203913110644658.187771.2433888.09-6379.27-27112.51.221.690.0381853.76
8153205110614955.458046.9334742.2-6890.97-31134.241.171.450.0271392.77
960006.9110565450.918812.7238774.1-8027.88-32521.681.11.140.0099545.52
1087091.55110585252.739123.6443446.59-8501.53-39542.141.071.20.013791.74
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
atrnil26.85-25240.33136449232.3511847.124640.9-5940.36-12843.441.990.95-0.0043-185.59
atrtrail34.55-20325.19137498835.777241.5425848.9-4263.19-12843.441.70.95-0.0043-148.36
atrtrail24.12-20706.94137498835.777233.7524640.9-4263.19-12843.441.70.94-0.0045-151.15
atrnil38.63-511571353210323.717531.5229646.81-5943.36-12843.442.950.92-0.0074-378.94
atrtrail-15.07-39582.2137488935.047021.0532379.05-4231.38-12843.441.660.89-0.0082-288.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 32.35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.093%, 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, Profit Factor:0.954

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Apr 2019 (-1.75%), 30 Apr 2019 (-1.82%)
2018517 Jan 2018 (-1.67%), 02 Feb 2018 (5.07%), 15 May 2018 (-1.86%), 16 May 2018 (3.86%), 24 Aug 2018 (-1.84%)
2017514 Feb 2017 (-2.47%), 05 Apr 2017 (-2.08%), 02 May 2017 (-2.32%), 09 Jun 2017 (-2.37%), 17 Jul 2017 (5.95%)
2016506 Apr 2016 (-2.61%), 22 Apr 2016 (-2.47%), 10 Jun 2016 (-2.48%), 13 Jul 2016 (-2.3%), 04 Aug 2016 (-2.43%)
2015125 Aug 2015 (-2.73%)
2014729 Jan 2014 (3.67%), 31 Mar 2014 (3.9%), 04 Sep 2014 (-1.82%), 11 Sep 2014 (-1.75%), 16 Sep 2014 (-1.73%), 07 Oct 2014 (4.05%), 26 Nov 2014 (-2.28%)
2013411 Feb 2013 (-1.83%), 16 May 2013 (-2.47%), 29 Jul 2013 (5.55%), 03 Oct 2013 (-3.16%)
20121025 Jan 2012 (3.91%), 05 Mar 2012 (-1.8%), 12 Mar 2012 (-1.92%), 30 Apr 2012 (4.28%), 04 Jul 2012 (-2.5%), 12 Jul 2012 (-2.42%), 17 Aug 2012 (-2.02%), 04 Sep 2012 (-1.67%), 29 Oct 2012 (4.86%), 14 Dec 2012 (4.08%)
2011612 Jan 2011 (-2.43%), 21 Mar 2011 (-2.51%), 13 Jun 2011 (-2.07%), 26 Jul 2011 (-2.12%), 03 Aug 2011 (4.57%), 14 Nov 2011 (3.94%)
2010915 Apr 2010 (-2.21%), 16 Apr 2010 (4.53%), 29 Jun 2010 (-2.49%), 02 Jul 2010 (4.87%), 12 Aug 2010 (-2.25%), 13 Aug 2010 (-2.23%), 30 Aug 2010 (-2.26%), 31 Aug 2010 (-2.29%), 09 Sep 2010 (-2.16%)
2009818 Feb 2009 (-2.71%), 29 Apr 2009 (-3.62%), 07 May 2009 (-4.06%), 26 Jun 2009 (-4.46%), 06 Aug 2009 (-4.52%), 21 Oct 2009 (-3.21%), 30 Oct 2009 (-3.38%), 30 Nov 2009 (6.51%)
2008315 Jan 2008 (9.59%), 22 May 2008 (6.56%), 26 Sep 2008 (8.07%)
2007729 May 2007 (5.49%), 10 Aug 2007 (-3.98%), 27 Sep 2007 (-3.24%), 28 Sep 2007 (6.56%), 29 Nov 2007 (-5.08%), 10 Dec 2007 (-4.33%), 11 Dec 2007 (-4.49%)
2006514 Mar 2006 (-3.1%), 12 Apr 2006 (-3.73%), 08 May 2006 (6.15%), 11 Sep 2006 (-2.75%), 21 Oct 2006 (5.23%)
2005707 Feb 2005 (6.82%), 16 Mar 2005 (5.28%), 26 Apr 2005 (-2.63%), 27 Apr 2005 (-2.7%), 07 Jun 2005 (-2.38%), 20 Jul 2005 (-2.6%), 10 Aug 2005 (-2.42%)
2004522 Jan 2004 (8.22%), 23 Jul 2004 (-3.56%), 02 Aug 2004 (-3.16%), 28 Sep 2004 (-2.41%), 13 Dec 2004 (-2.6%)
2003714 Jan 2003 (-2.0%), 17 Jan 2003 (3.89%), 07 May 2003 (3.85%), 26 May 2003 (-2.87%), 10 Jul 2003 (4.74%), 11 Sep 2003 (-3.18%), 23 Oct 2003 (-3.01%)
2002525 Jan 2002 (-3.59%), 18 Jul 2002 (5.55%), 27 Aug 2002 (-3.63%), 03 Sep 2002 (6.54%), 26 Dec 2002 (-2.35%)
2001309 Jan 2001 (6.3%), 30 Apr 2001 (6.18%), 13 Dec 2001 (-3.88%)
2000820 Jan 2000 (-6.42%), 21 Jan 2000 (12.32%), 27 Jun 2000 (-4.61%), 28 Jun 2000 (-4.56%), 17 Jul 2000 (-4.62%), 18 Jul 2000 (9.24%), 23 Aug 2000 (-3.99%), 22 Dec 2000 (-3.07%)
1999421 Jan 1999 (-3.45%), 17 Feb 1999 (5.75%), 22 Mar 1999 (6.59%), 25 May 1999 (-4.43%)
1998719 Mar 1998 (-2.67%), 13 Apr 1998 (-2.7%), 15 Apr 1998 (-2.7%), 25 May 1998 (5.48%), 22 Sep 1998 (-2.78%), 31 Oct 1998 (-3.38%), 19 Nov 1998 (4.67%)
1997731 Jan 1997 (-4.97%), 18 Feb 1997 (-3.93%), 11 Mar 1997 (-4.44%), 12 Mar 1997 (8.62%), 23 Jun 1997 (-3.65%), 10 Jul 1997 (6.45%), 20 Aug 1997 (6.39%)
1996401 Mar 1996 (9.88%), 06 May 1996 (-3.76%), 20 May 1996 (-3.98%), 01 Jul 1996 (-3.89%)
1995211 Aug 1995 (-4.03%), 25 Aug 1995 (6.62%)



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