Study: Sell KAJARIACER 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 KAJARIACER 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 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
128644.3337211656.764107.2514285.71-3600.49-11009.171.141.50.031774.17
212902.7837231462.165786.427619.05-8584.6-22061.760.671.110.0075348.72
3-47611.3437221559.466990.8530952.38-13427.33-34598.250.520.76-0.02-1286.79
4-59507.3937191851.357671.0928571.43-11403.23-38532.110.670.71-0.026-1608.31
5-57637.8937211656.767328.2921949.37-13220.75-37117.840.550.73-0.025-1557.78
6-79377.0337221559.467584.922864.02-16416.32-42249.190.460.68-0.031-2145.33
7-59066.5537201754.059091.926233.45-14170.85-50023.050.640.75-0.022-1596.39
8-35057.1937221559.469288.3729602.89-15960.09-51129.210.580.85-0.013-947.49
9-19042.4237221559.469987.7122864.02-15918.14-57274.540.630.92-0.0066-514.66
10-55023.3637201754.0511330.8927196.15-16567.13-57950.530.680.8-0.018-1487.12

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.5. 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 56.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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-1128644.3337211656.764107.2514285.71-3600.49-11009.171.141.50.031774.17
atrnil39.34-89521.663892923.6827493.8446512.04-11619.52-25137.862.370.73-0.027-2355.83
atrnil26.62-10883542132930.9517230.7131008.03-11477.05-25137.861.50.67-0.038-2591.32
atrtrail24.62-91232.6342132930.9511249.7331008.03-8188.93-25137.861.370.62-0.04-2172.21
atrtrail35.15-11062040112927.511532.6530025.69-8188.93-25137.861.410.53-0.051-2765.5
atrtrail-15.33-12442140112927.510278.0222287.56-8188.93-25137.861.260.48-0.061-3110.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 56.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
KAJARIACER Performance, X=1, Profit Factor:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018425 Apr 2018 (2.09%), 16 Jul 2018 (-1.41%), 06 Sep 2018 (-0.29%), 23 Oct 2018 (-3.26%)
2017105 Dec 2017 (2.4%)
2016220 Oct 2016 (6.75%), 15 Dec 2016 (1.19%)
2013218 Feb 2013 (-1.96%), 14 Mar 2013 (0.21%)
2012103 May 2012 (1.34%)
2011103 Oct 2011 (1.18%)
2009319 Jan 2009 (0.17%), 27 Apr 2009 (-3.25%), 26 Oct 2009 (2.1%)
2008415 Sep 2008 (1.03%), 27 Oct 2008 (-0.18%), 19 Nov 2008 (3.24%), 29 Dec 2008 (-1.56%)
2007410 Jan 2007 (-0.64%), 06 Mar 2007 (-2.65%), 06 Jun 2007 (1.37%), 28 Sep 2007 (-1.45%)
2006108 Feb 2006 (0.12%)
2005224 Aug 2005 (-0.61%), 22 Sep 2005 (-2.8%)
2003122 Jul 2003 (-3.03%)
2002209 Apr 2002 (-5.5%), 16 May 2002 (0.27%)
2001209 Oct 2001 (0.56%), 20 Dec 2001 (7.14%)
2000114 Sep 2000 (3.73%)
1999119 Jan 1999 (3.33%)
1997124 Dec 1997 (1.9%)
1996209 Jan 1996 (-0.21%), 16 Sep 1996 (-0.0%)
1995215 Jun 1995 (2.59%), 13 Nov 1995 (0.4%)



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