Study: Sell KOTAKBANK 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 KOTAKBANK 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 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
157920.59103574655.343626.6516073.76-3234.75-14193.551.121.390.024562.34
244917.3103535051.465087.8121052.63-4494.74-32578.561.131.20.012436.09
3122432103574655.348144.42116744-7430.45-49403.051.11.360.0161188.66
4102489103535051.469331.82111980-7841.96-32825.581.191.260.014995.03
516443.23103465744.6611415.39114485-8923.94-42020.041.281.030.002159.64
669778.8103505348.5412088.04115655-10087.23-37958.011.21.130.0078677.46
724503.91103485546.613232.47117832-11102.82-51526.721.191.040.0025237.9
8-81723.29103525150.4912055.28120070-13894.08-66035.410.870.88-0.0077-793.43
9-128687103505348.5413095.31121363-14782.12-66337.310.890.84-0.012-1249.39
10-185931103445942.7214607.51120131-14045.11-92748.091.040.78-0.016-1805.16

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. 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 55.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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-1157920.59103574655.343626.6516073.76-3234.75-14193.551.121.390.024562.34
atrtrail-15.08-57430.5612036843011569.12102029-5641.89-18901.622.050.88-0.0068-478.59
atrnil25.56-177972120378330.8313144.1831681.89-8003.7-18901.621.640.73-0.028-1483.1
atrtrail24.06-1582511203684308768.5623985.4-5641.89-18901.621.550.67-0.033-1318.76
atrtrail34.47-160359120368430871035978.09-5641.89-18901.621.540.66-0.031-1336.32
atrnil38.04-276260118249420.3419438.5445040.24-7901.97-18901.622.460.63-0.039-2341.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 55.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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, X=1, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020225 Feb 2020 (0.55%), 16 Jun 2020 (2.58%)
20191131 Jan 2019 (0.0%), 18 Feb 2019 (-0.27%), 04 Apr 2019 (-0.99%), 23 Apr 2019 (-0.84%), 09 May 2019 (-0.91%), 06 Jun 2019 (0.16%), 23 Jul 2019 (-0.21%), 19 Aug 2019 (-0.58%), 10 Oct 2019 (-0.19%), 21 Nov 2019 (1.64%), 26 Dec 2019 (0.51%)
2018209 Mar 2018 (-1.68%), 19 Dec 2018 (-0.87%)
2017529 Mar 2017 (-0.88%), 05 May 2017 (0.1%), 22 May 2017 (0.11%), 27 Jun 2017 (0.26%), 07 Aug 2017 (1.02%)
2016606 Jan 2016 (1.7%), 08 Apr 2016 (-0.89%), 14 Jun 2016 (-1.79%), 22 Jul 2016 (-0.57%), 10 Aug 2016 (-0.45%), 16 Sep 2016 (0.46%)
2015227 Jan 2015 (2.68%), 24 Jul 2015 (1.34%)
2014802 Apr 2014 (1.27%), 30 Apr 2014 (-0.01%), 26 May 2014 (-1.1%), 23 Jun 2014 (1.78%), 06 Aug 2014 (-0.82%), 11 Sep 2014 (-0.4%), 17 Nov 2014 (2.08%), 18 Dec 2014 (1.26%)
2013313 Feb 2013 (0.35%), 25 Oct 2013 (-0.51%), 13 Dec 2013 (1.02%)
2012524 Feb 2012 (1.5%), 03 May 2012 (3.11%), 16 Jul 2012 (0.28%), 09 Oct 2012 (1.31%), 14 Dec 2012 (0.51%)
2011622 Mar 2011 (-2.75%), 07 Apr 2011 (0.76%), 27 Apr 2011 (3.66%), 21 Jul 2011 (-2.02%), 27 Sep 2011 (1.4%), 14 Nov 2011 (2.19%)
2010414 Jan 2010 (0.3%), 28 Jun 2010 (2.41%), 27 Aug 2010 (-0.97%), 30 Sep 2010 (-4.25%)
2009628 Apr 2009 (-5.74%), 03 Jun 2009 (-2.41%), 18 Aug 2009 (2.62%), 07 Oct 2009 (-2.25%), 23 Oct 2009 (1.77%), 25 Nov 2009 (0.73%)
2007812 Feb 2007 (-0.38%), 11 May 2007 (-0.99%), 29 May 2007 (2.3%), 11 Jul 2007 (-0.6%), 30 Jul 2007 (-3.29%), 13 Aug 2007 (1.28%), 05 Nov 2007 (2.84%), 14 Dec 2007 (8.04%)
2006314 Feb 2006 (0.44%), 17 May 2006 (7.57%), 20 Oct 2006 (-1.66%)
2005703 Jan 2005 (-3.64%), 17 Feb 2005 (1.09%), 15 Mar 2005 (-1.14%), 15 Jun 2005 (0.78%), 18 Jul 2005 (-1.36%), 22 Aug 2005 (2.0%), 22 Dec 2005 (-0.08%)
2004606 Jan 2004 (-0.72%), 27 Feb 2004 (-2.77%), 31 Mar 2004 (-3.57%), 26 Jul 2004 (0.85%), 11 Oct 2004 (0.16%), 10 Dec 2004 (-2.18%)
2003602 Jan 2003 (-1.44%), 24 Feb 2003 (2.19%), 07 Aug 2003 (0.05%), 22 Aug 2003 (4.91%), 22 Sep 2003 (-0.72%), 22 Oct 2003 (2.18%)
2002425 Jan 2002 (1.3%), 15 Mar 2002 (4.53%), 22 Apr 2002 (-0.11%), 16 Jul 2002 (-2.53%)
2001105 Dec 2001 (1.92%)
1999428 Jul 1999 (1.12%), 27 Aug 1999 (3.88%), 01 Nov 1999 (-4.39%), 29 Dec 1999 (2.08%)
1998230 Mar 1998 (2.48%), 24 Apr 1998 (-1.38%)
1997222 Jul 1997 (-7.1%), 21 Aug 1997 (5.96%)



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