Study: Sell JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
1-91261.0572264636.113496.2610626.87-3960.09-14373.360.880.5-0.064-1267.51
2-23692.0372314143.066520.0618511.8-5507.65-25679.011.180.9-0.01-329.06
3-50178.3972353748.618091.927767.7-9010.67-34814.810.90.85-0.015-696.92
4-12675172304241.678682.3935934.66-9219.59-35287.030.940.67-0.036-1760.43
5-13880972324044.448900.9536660.62-10590.99-34567.90.840.67-0.036-1927.91
6-16583972343847.228346.9532849.36-11832.52-49406.370.710.63-0.04-2303.33
7-20509972284438.8911264.536660.62-11829.66-64691.360.950.61-0.044-2848.6
8-24551372304241.679291.0337205.08-12481.99-66419.750.740.53-0.052-3409.9
9-18263172333945.839397.1446823.96-12634.28-55802.470.740.63-0.039-2536.54
10-11365972324044.4410596.5145735.03-11318.68-45372.820.940.75-0.027-1578.59
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
atrtrail23.99-14597390266428.8911283.0431393.58-6864.56-16464.261.640.67-0.039-1621.92
atrnil26.88-2324298822662518517.0631393.58-9694-16464.261.910.64-0.05-2641.23
atrtrail34.27-19637190266428.899344.6639244.74-6864.56-16464.261.360.55-0.055-2181.9
atrnil38.48-35563087137414.9427642.2847090.37-9661.88-16464.262.860.5-0.071-4087.7
atrtrail-14.42-22996190266428.898052.7429051.95-6864.56-16464.261.170.48-0.071-2555.12

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. 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.
JISLJALEQS Performance, Profit Factor:0.668

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018218 Jan 2018 (-5.05%), 31 Jan 2018 (9.37%)
2017213 Feb 2017 (0.4%), 11 Dec 2017 (8.1%)
2016628 Apr 2016 (-2.75%), 18 May 2016 (1.71%), 22 Jun 2016 (-2.96%), 13 Jul 2016 (0.98%), 22 Sep 2016 (0.58%), 03 Nov 2016 (-2.11%)
2015327 Jul 2015 (-3.02%), 26 Oct 2015 (0.87%), 11 Nov 2015 (-2.55%)
2014503 Jan 2014 (-4.18%), 06 Jan 2014 (-2.7%), 03 Jun 2014 (-6.11%), 06 Jun 2014 (-5.99%), 11 Jun 2014 (11.92%)
2013301 Jan 2013 (-3.37%), 18 Jan 2013 (7.08%), 21 May 2013 (-3.36%)
2012228 Feb 2012 (0.54%), 17 Jul 2012 (-3.62%)
2011318 Jul 2011 (-1.1%), 08 Sep 2011 (-3.61%), 14 Sep 2011 (8.73%)
2010823 Mar 2010 (-3.58%), 25 Mar 2010 (-0.72%), 13 Apr 2010 (-3.7%), 03 May 2010 (9.51%), 29 Jun 2010 (-1.94%), 28 Jul 2010 (-2.77%), 11 Aug 2010 (-3.67%), 23 Sep 2010 (5.59%)
2009813 Jan 2009 (0.64%), 02 Mar 2009 (-0.16%), 12 May 2009 (-2.31%), 09 Jun 2009 (-6.7%), 22 Jul 2009 (-1.97%), 30 Sep 2009 (-0.9%), 02 Dec 2009 (7.47%), 21 Dec 2009 (-1.47%)
2008317 Jan 2008 (13.08%), 02 May 2008 (-5.13%), 15 May 2008 (-1.11%)
20071205 Jan 2007 (-1.2%), 01 Feb 2007 (-3.77%), 01 Mar 2007 (-0.57%), 24 May 2007 (-3.66%), 08 Jun 2007 (-3.41%), 22 Jun 2007 (-3.51%), 25 Jun 2007 (-0.29%), 09 Jul 2007 (-3.3%), 13 Jul 2007 (-4.18%), 11 Oct 2007 (-0.19%), 08 Nov 2007 (-5.09%), 12 Dec 2007 (-6.52%)
20061230 Jan 2006 (-4.68%), 08 Feb 2006 (11.11%), 13 Mar 2006 (-5.25%), 29 Mar 2006 (-4.21%), 17 Apr 2006 (-5.56%), 18 Apr 2006 (-5.36%), 26 Apr 2006 (-5.94%), 03 Oct 2006 (-3.6%), 12 Oct 2006 (-3.78%), 13 Oct 2006 (-3.33%), 24 Nov 2006 (1.84%), 29 Dec 2006 (-3.75%)
2005504 Mar 2005 (3.7%), 08 Jun 2005 (2.43%), 24 Aug 2005 (-5.49%), 20 Sep 2005 (-0.48%), 19 Dec 2005 (-4.28%)
2004711 Jun 2004 (-2.19%), 15 Jul 2004 (-1.84%), 15 Sep 2004 (-4.59%), 16 Sep 2004 (-2.11%), 24 Sep 2004 (-3.03%), 15 Oct 2004 (0.36%), 29 Nov 2004 (-4.03%)
2003610 Jan 2003 (6.88%), 05 Jun 2003 (3.74%), 17 Jul 2003 (-1.36%), 13 Oct 2003 (12.94%), 26 Dec 2003 (-8.23%), 29 Dec 2003 (15.7%)
2002314 May 2002 (1.4%), 26 Jun 2002 (-6.67%), 12 Jul 2002 (-5.57%)



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