Study: Sell KAJARIACER 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 KAJARIACER 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 KAJARIACER 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
1-711.87106505647.17434918772.56-3895.74-120001.121-0.00024-6.72
2-28048.99106555151.895899.627619.05-6912.29-22061.760.850.92-0.0061-264.61
315059.54106624458.496881.6543377.78-9354.61-34598.250.741.040.0026142.07
4-9130.99106565052.838723.9345866.67-9953.42-39016.390.880.98-0.0013-86.14
5-10959.48106604656.68795.6457600-11710.83-47540.980.750.98-0.0015-103.39
6-7849.91106574953.779837.2251377.78-11603.5-42249.190.850.99-0.001-74.06
715421.7410653535012503.7461333.33-12212.76-65901.641.021.020.0017145.49
828078.33106555151.8913045.0966312.06-13517.67-58032.790.971.040.003264.89
992131.61106594755.6612187.2472340.43-13338.63-57274.540.911.150.01869.17
10-25136.8106545250.9413882.862234.04-14900.16-57950.530.930.97-0.0025-237.14
Although, strategy looks good but profit factor on day 2 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
atrnil38.69-227211112238920.5429790.1761269.5-10251.52-25137.862.910.75-0.024-2028.67
atrnil25.98-221588120358529.1718852.5440846.33-10369.73-25137.861.820.75-0.027-1846.57
atrtrail34.81-165566118378131.3612717.0161269.5-7853.03-25137.861.620.74-0.023-1403.1
atrtrail24.4-169398120398132.511966.6140846.33-7853.03-25137.861.520.73-0.025-1411.65
atrtrail-15.18-183216118378131.3612239.9955426.22-7853.03-25137.861.560.71-0.027-1552.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 20.54%, which is not acceptable. Avoid this strategy. Average return per trade is -1.01%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:0.751

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Jul 2019 (10.82%)
2018816 Jan 2018 (7.11%), 25 Apr 2018 (7.5%), 04 Jun 2018 (-3.68%), 15 Jun 2018 (10.1%), 16 Jul 2018 (-3.42%), 14 Aug 2018 (-3.47%), 06 Sep 2018 (13.37%), 23 Oct 2018 (-6.35%)
2017320 Jul 2017 (-2.53%), 03 Aug 2017 (-2.8%), 05 Dec 2017 (-2.77%)
2016304 Feb 2016 (-3.09%), 20 Oct 2016 (10.57%), 15 Dec 2016 (-4.57%)
2015308 Jun 2015 (-2.89%), 30 Jul 2015 (-2.96%), 13 Aug 2015 (8.14%)
2014309 Jul 2014 (-4.2%), 16 Oct 2014 (-4.07%), 09 Dec 2014 (7.46%)
2013718 Feb 2013 (-3.75%), 14 Mar 2013 (-3.46%), 15 Mar 2013 (-3.79%), 17 Apr 2013 (-3.83%), 30 Jul 2013 (12.09%), 11 Oct 2013 (-4.18%), 08 Nov 2013 (-3.74%)
2012103 May 2012 (10.57%)
2011506 Jan 2011 (-4.09%), 31 Jan 2011 (-4.19%), 11 Mar 2011 (-4.29%), 03 Oct 2011 (-4.02%), 22 Dec 2011 (-4.28%)
2010302 Jul 2010 (-4.25%), 15 Nov 2010 (-3.51%), 16 Nov 2010 (-3.71%)
2009519 Jan 2009 (23.26%), 02 Mar 2009 (-7.69%), 27 Apr 2009 (-6.42%), 13 Jul 2009 (-6.77%), 26 Oct 2009 (-4.13%)
2008530 Jun 2008 (-7.3%), 15 Sep 2008 (18.09%), 27 Oct 2008 (-12.57%), 19 Nov 2008 (-9.89%), 29 Dec 2008 (-7.4%)
2007410 Jan 2007 (-4.45%), 06 Mar 2007 (-9.3%), 03 May 2007 (18.22%), 28 Sep 2007 (-4.21%)
2006408 Feb 2006 (-6.97%), 10 Apr 2006 (-5.31%), 22 Jun 2006 (-7.39%), 06 Jul 2006 (-7.0%)
2005224 Aug 2005 (-6.56%), 22 Sep 2005 (-5.84%)
2004518 Mar 2004 (-7.5%), 11 May 2004 (-4.65%), 17 Jun 2004 (-6.23%), 20 Sep 2004 (-4.42%), 21 Sep 2004 (-4.63%)
2003428 Jan 2003 (-4.27%), 31 Jan 2003 (-4.45%), 10 Feb 2003 (-4.12%), 22 Jul 2003 (-10.21%)
2002512 Mar 2002 (-8.01%), 09 Apr 2002 (-7.3%), 16 May 2002 (-6.43%), 06 Sep 2002 (-11.24%), 16 Dec 2002 (-4.03%)
2001613 Feb 2001 (22.32%), 13 Mar 2001 (-9.7%), 17 Apr 2001 (-5.99%), 05 Jun 2001 (-5.02%), 17 Sep 2001 (-4.94%), 20 Dec 2001 (15.01%)
2000508 Mar 2000 (27.51%), 18 Apr 2000 (30.63%), 21 Jun 2000 (-7.14%), 21 Jul 2000 (-4.6%), 14 Sep 2000 (19.27%)
1999718 Jan 1999 (-3.43%), 15 Feb 1999 (-5.27%), 11 Mar 1999 (-7.31%), 09 Apr 1999 (21.2%), 01 Jun 1999 (-6.48%), 26 Jul 1999 (-5.26%), 04 Aug 1999 (-6.45%)
1998502 Feb 1998 (15.26%), 10 Mar 1998 (-9.02%), 28 Jul 1998 (19.75%), 24 Nov 1998 (-5.44%), 22 Dec 1998 (-5.6%)
19971325 Feb 1997 (-3.79%), 26 Feb 1997 (-3.79%), 10 Mar 1997 (-4.27%), 14 May 1997 (-2.53%), 08 Jul 1997 (-3.66%), 14 Jul 1997 (-3.78%), 11 Aug 1997 (-3.24%), 12 Aug 1997 (-3.27%), 18 Aug 1997 (-3.32%), 01 Sep 1997 (-2.8%), 15 Sep 1997 (8.27%), 17 Nov 1997 (-4.95%), 23 Dec 1997 (-4.46%)
1996323 May 1996 (-2.02%), 21 Aug 1996 (-1.49%), 16 Sep 1996 (6.09%)
1995215 Jun 1995 (-3.92%), 13 Nov 1995 (-4.64%)



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