Study: Sell KAJARIACER 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 KAJARIACER 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 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
1-75332.4693385540.863249.1314432.99-3614.53-16080.40.90.62-0.036-810.03
2-66147.9393464749.465161.3622950.82-6458.94-33366.830.80.78-0.018-711.27
3-79193.3593484551.616558.0336065.57-8755.08-52060.30.750.8-0.015-851.54
4-16418193435046.247598.3427324.91-9818.18-72361.810.770.67-0.029-1765.38
5-18747893425145.168056.9727037.04-10311.18-94271.360.780.64-0.029-2015.89
6-28795693375639.789875.5226422.37-11666.96-1179900.850.56-0.038-3096.3
7-17775693375639.7814681.71162691-12874.63-1435181.140.75-0.015-1911.36
8-28944993365738.7115280.71163585-14729.02-1628141.040.66-0.023-3112.35
9-23904193405343.0114508.55162853-15460.06-1459300.940.71-0.02-2570.34
10-25697293355837.6317092.31163097-14744.89-1583921.160.7-0.021-2763.14
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
atrnil26.14-162601109298026.6119112.6732754.21-8960.85-19492.612.130.77-0.023-1491.75
atrnil38.28-249911109208918.3527903.4249131.32-9078.42-19492.613.070.69-0.031-2292.76
atrtrail-14.58-267177109268323.8512929.4163472-7269.17-19488.881.780.56-0.029-2451.16
atrtrail23.68-290392109268323.8512036.5332617.41-7269.17-19488.881.660.52-0.055-2664.14
atrtrail34-326787109268323.8510636.746404.2-7269.17-19488.881.460.46-0.062-2998.05

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 26.61%, which is not acceptable. Avoid this strategy. Average return per trade is -0.75%, 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:0.773

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019424 Jan 2019 (-2.47%), 22 Mar 2019 (-2.57%), 23 Apr 2019 (4.61%), 10 Jun 2019 (5.7%)
2018129 Nov 2018 (-3.75%)
2017409 Feb 2017 (-3.32%), 27 Apr 2017 (-2.43%), 17 May 2017 (-3.8%), 07 Jun 2017 (7.6%)
2016906 Apr 2016 (-2.58%), 06 May 2016 (-2.38%), 09 May 2016 (-2.35%), 15 Jun 2016 (-2.45%), 21 Jun 2016 (-2.49%), 03 Aug 2016 (-2.56%), 29 Aug 2016 (-2.19%), 20 Sep 2016 (-3.2%), 21 Sep 2016 (-3.28%)
2015519 Feb 2015 (-3.74%), 06 Apr 2015 (7.57%), 05 Jun 2015 (5.59%), 02 Nov 2015 (-3.07%), 31 Dec 2015 (5.01%)
2014902 Jan 2014 (-3.31%), 31 Jan 2014 (-3.14%), 11 Feb 2014 (-2.77%), 28 May 2014 (-4.66%), 29 May 2014 (-4.77%), 10 Jul 2014 (-4.28%), 08 Aug 2014 (-3.18%), 26 Aug 2014 (-2.94%), 11 Sep 2014 (7.31%)
2013320 May 2013 (-4.25%), 12 Jun 2013 (6.67%), 28 Nov 2013 (-3.67%)
2012823 Feb 2012 (-3.69%), 24 Feb 2012 (-3.72%), 05 Mar 2012 (-3.91%), 26 Mar 2012 (-4.29%), 24 Jul 2012 (-3.76%), 26 Oct 2012 (-4.0%), 10 Dec 2012 (-3.33%), 11 Dec 2012 (7.2%)
2011426 Apr 2011 (-3.99%), 16 May 2011 (-4.72%), 05 Aug 2011 (8.19%), 21 Oct 2011 (-3.45%)
2010621 Jan 2010 (10.12%), 19 Mar 2010 (-4.06%), 19 Apr 2010 (-4.16%), 10 May 2010 (8.12%), 02 Aug 2010 (-3.76%), 15 Oct 2010 (-4.55%)
2009828 Apr 2009 (-6.13%), 08 Jun 2009 (-8.26%), 09 Jun 2009 (16.31%), 04 Aug 2009 (-6.2%), 05 Aug 2009 (-6.01%), 03 Sep 2009 (-6.64%), 23 Oct 2009 (8.17%), 21 Dec 2009 (-4.24%)
2008312 May 2008 (-5.56%), 13 May 2008 (11.44%), 18 Aug 2008 (-5.66%)
2007118 Jul 2007 (13.18%)
2006612 Apr 2006 (-5.14%), 18 May 2006 (13.49%), 28 Aug 2006 (-6.07%), 05 Sep 2006 (-5.27%), 04 Oct 2006 (-5.19%), 27 Dec 2006 (-4.87%)
2005819 Apr 2005 (-4.27%), 27 May 2005 (-3.99%), 17 Jun 2005 (-3.97%), 22 Jun 2005 (-3.85%), 07 Jul 2005 (-3.63%), 27 Jul 2005 (-5.19%), 23 Sep 2005 (-6.01%), 06 Oct 2005 (9.16%)
2004605 Jan 2004 (13.79%), 12 May 2004 (-4.98%), 04 Aug 2004 (-4.11%), 12 Aug 2004 (-5.25%), 01 Dec 2004 (-4.77%), 02 Dec 2004 (-4.69%)
2003629 Apr 2003 (-8.36%), 13 May 2003 (-7.05%), 20 Jun 2003 (-5.62%), 23 Jul 2003 (-9.75%), 01 Sep 2003 (11.34%), 27 Oct 2003 (-8.17%)
2002210 Apr 2002 (-7.09%), 10 Jul 2002 (16.38%)
2000411 Jan 2000 (-7.58%), 12 Jan 2000 (-7.54%), 13 Sep 2000 (12.3%), 24 Nov 2000 (-6.02%)
1999512 Apr 1999 (13.82%), 23 Jul 1999 (9.33%), 16 Sep 1999 (12.15%), 27 Oct 1999 (15.47%), 13 Dec 1999 (-6.61%)
1998124 Apr 1998 (-6.56%)
1997111 Mar 1997 (8.31%)
1996314 Mar 1996 (3.99%), 24 Apr 1996 (-1.96%), 05 Jun 1996 (-1.55%)
1995201 Sep 1995 (-3.65%), 11 Oct 1995 (4.84%)



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