Study: Sell JUBLFOOD 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 JUBLFOOD 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 JUBLFOOD 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
137705.4547242351.064964.7918544.67-3541.28-10366.061.41.460.046802.24
212311.1447212644.685722.414667.66-4148.43-13316.191.381.110.014261.94
34438.347232448.946447.9216644.18-5994.32-15063.871.081.030.004194.43
4-5050.1847222546.816865.5117714.1-6243.65-16470.241.10.97-0.0044-107.45
539279.4347242351.06853821333.21-7201.42-19537.51.191.240.028835.73
6-21292.147242351.068527.3425985.02-9823.83-25021.990.870.91-0.013-453.02
7-54725.1647222546.819382.8527128.2-10445.91-34089.760.90.79-0.03-1164.37
8-36083.0447242351.0610324.9832409.11-12342.72-33859.230.840.87-0.018-767.72
9-76961.447212644.6810740.1133090.97-11634.76-35689.070.920.75-0.038-1637.48
10-12899747212644.6811235.0736604.63-14035.91-43303.80.80.65-0.056-2744.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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-1137705.4547242351.064964.7918544.67-3541.28-10366.061.41.460.046802.24
atrnil38.8955670.9746143230.4321955.430896.6-7865.77-13975.432.791.220.0281210.24
atrnil25.5641766.345019313815294.2923605.11-8026.62-14835.781.911.170.023835.33
atrtrail24.32-15771.425019313810104.4923605.11-6701.83-14835.781.510.92-0.01-315.43
atrtrail34.98-38527.0249193038.78812621785.66-6430.7-13975.431.260.8-0.029-786.27
atrtrail-15.41-45931.949193038.787736.2731625.09-6430.7-13975.431.20.76-0.034-937.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
JUBLFOOD Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 Jun 2019 (0.65%), 24 Jul 2019 (-1.7%), 07 Aug 2019 (0.55%), 04 Oct 2019 (-2.39%)
2018531 May 2018 (0.3%), 25 Jul 2018 (0.28%), 04 Sep 2018 (1.15%), 26 Oct 2018 (-3.59%), 24 Dec 2018 (-1.14%)
2017408 May 2017 (1.8%), 24 May 2017 (-3.94%), 20 Jun 2017 (-0.24%), 28 Dec 2017 (-3.0%)
2016706 Jan 2016 (2.92%), 11 Feb 2016 (9.27%), 28 Apr 2016 (2.83%), 05 Aug 2016 (-2.94%), 29 Aug 2016 (1.03%), 28 Oct 2016 (-0.85%), 22 Dec 2016 (3.39%)
2015607 Jan 2015 (-2.49%), 03 Feb 2015 (2.95%), 17 Apr 2015 (2.39%), 12 Aug 2015 (2.89%), 12 Oct 2015 (0.23%), 10 Dec 2015 (2.99%)
2014219 Mar 2014 (-0.33%), 16 Apr 2014 (2.01%)
2013710 Jan 2013 (2.75%), 22 Feb 2013 (-0.59%), 04 Apr 2013 (3.22%), 09 May 2013 (-0.65%), 10 Jun 2013 (2.64%), 30 Aug 2013 (-4.8%), 14 Oct 2013 (-0.71%)
2012609 Jan 2012 (-5.18%), 05 Jun 2012 (-0.64%), 24 Jul 2012 (1.58%), 24 Aug 2012 (-0.78%), 16 Nov 2012 (-0.36%), 27 Dec 2012 (-1.17%)
2011407 Jan 2011 (5.47%), 09 Sep 2011 (6.17%), 01 Nov 2011 (-0.75%), 13 Dec 2011 (0.11%)
2010220 Oct 2010 (-0.49%), 09 Dec 2010 (-2.0%)



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