Study: Sell KOTAKBANK 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 KOTAKBANK 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 KOTAKBANK 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
117631.5132181456.254550.5310248.16-4591.29-18702.870.991.270.019550.98
239305.8832171553.128249.5329933.77-6729.08-26744.191.231.390.0251228.31
385307.563216165011440.7955364.24-6109.07-20930.231.871.870.0422665.86
432382.7732181456.258555.7729668.87-8687.23-25277.260.981.270.0181011.96
527590.7232191359.387586.6235637.88-8965.78-31146.030.851.240.015862.21
611128432221068.759906.4343882.08-10665.71-31885.40.932.040.0533477.64
789209.0532201262.510460.1831359.25-9999.54-37384.471.051.740.0442787.78
811016832201262.512268.6527708.39-11267.06-48890.941.091.810.0473442.76
911286532221068.7511861.8835454.48-14809.58-37569.320.81.760.0463527.05
1011039932221068.7512384.3540717.25-16205.68-51802.220.761.680.0393449.97
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
KOTAKBANK Performance, X=6, Profit Factor:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Jul 2018 (2.69%), 07 Sep 2018 (2.38%)
2017208 Aug 2017 (-0.13%), 25 Oct 2017 (-0.89%)
2016107 Jan 2016 (2.32%)
2014124 Jun 2014 (-1.6%)
2013119 Aug 2013 (1.17%)
2011307 Jan 2011 (7.22%), 27 Jan 2011 (8.3%), 28 Apr 2011 (2.04%)
2010218 Mar 2010 (0.01%), 08 Dec 2010 (0.47%)
2009105 Mar 2009 (-15.94%)
2008304 Mar 2008 (9.03%), 20 Aug 2008 (3.52%), 19 Nov 2008 (-13.53%)
2004427 Apr 2004 (-4.7%), 28 May 2004 (0.68%), 14 Jun 2004 (-3.7%), 09 Aug 2004 (2.59%)
2003125 Feb 2003 (6.1%)
2001112 Sep 2001 (8.48%)
2000107 Feb 2000 (21.94%)
1999319 Jan 1999 (2.49%), 16 Mar 1999 (-1.74%), 14 Jun 1999 (0.28%)
1998113 Jan 1998 (4.26%)
1997128 Oct 1997 (-4.37%)
1996301 Mar 1996 (7.66%), 11 Sep 1996 (7.52%), 11 Nov 1996 (-6.72%)
1995120 Apr 1995 (7.84%)

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
atrnil26.9461116.0734151944.1218823.2439396.07-11643.82-30750.281.621.280.0221797.53
atrnil311.1855474.9934122235.2926117.6255844.26-11724.38-30750.282.231.220.0171631.62
atrtrail-15.6517822.1934142041.1813106.1144643.93-8283.17-26062.421.581.110.0077524.18
atrtrail35.3510109.6634142041.1812555.2229789.27-8283.17-26062.421.521.060.0047297.34
atrtrail24.469282.123514214013027.237229.51-8242.79-26062.421.581.050.0043265.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 44.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
KOTAKBANK Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Jul 2018 (3.9%), 07 Sep 2018 (4.1%)
2017208 Aug 2017 (-1.75%), 25 Oct 2017 (-2.58%)
2016107 Jan 2016 (3.99%)
2014124 Jun 2014 (-3.3%)
2013219 Aug 2013 (-4.07%), 28 Aug 2013 (-4.69%)
2011310 Jan 2011 (-3.72%), 27 Jan 2011 (8.32%), 28 Apr 2011 (6.48%)
2010218 Mar 2010 (-3.39%), 08 Dec 2010 (7.48%)
2009105 Mar 2009 (-7.83%)
2008304 Mar 2008 (19.7%), 20 Aug 2008 (-7.41%), 19 Nov 2008 (-15.38%)
2004327 Apr 2004 (-2.74%), 28 May 2004 (-8.76%), 09 Aug 2004 (6.65%)
2003125 Feb 2003 (-4.98%)
2001112 Sep 2001 (7.53%)
2000107 Feb 2000 (18.61%)
1999419 Jan 1999 (-6.24%), 16 Mar 1999 (-8.13%), 17 Mar 1999 (-8.09%), 14 Jun 1999 (-7.91%)
1998113 Jan 1998 (13.31%)
1997228 Oct 1997 (-5.13%), 29 Oct 1997 (9.93%)
1996301 Mar 1996 (10.53%), 11 Sep 1996 (12.02%), 11 Nov 1996 (-4.53%)
1995120 Apr 1995 (8.64%)



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