Study: Sell KSCL 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 KSCL 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 KSCL 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
121833.0646202643.484222.2115959.25-2408.12-7580.731.751.350.032474.63
2-14973.1645202544.444517.3920761.58-4212.84-17819.511.070.86-0.015-332.74
3-17895.1645212446.674714.3218474.74-4870.67-139430.970.85-0.018-397.67
4-15990.4545212446.676704.7620033.96-6532.93-21552.461.030.9-0.013-355.34
54418.11452718605986.5325660.93-8734.35-26642.020.691.030.003198.18
6-24422.7645232251.117509.0418481.69-8960.48-25959.620.840.88-0.015-542.73
7-30735.2145232251.118603.2629704.42-10391.37-29921.480.830.87-0.016-683
811894445222348.8915271.25154740-9435.79-23827.131.621.550.0312643.21
912269545212446.6716709.38154068-9508.4-26499.861.761.540.0322726.57
1015170145232251.1116165.71156006-10005.01-22092.691.621.690.0393371.14
Although, strategy looks good but profit factor on day 3 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
atrtrail23.96-10352355154027.2710742.4629478.34-6616.5-17923.281.620.61-0.061-1882.24
atrnil37.26-18009154104418.5223493.644217.52-9432.43-17923.282.490.57-0.074-3335.01
atrtrail34.52-12402754144025.9310045.2225582.67-6616.5-17923.281.520.53-0.076-2296.79
atrtrail-14.91-14479254144025.938561.9924354.47-6616.5-17923.281.290.45-0.099-2681.34
atrnil25.35-22782955124321.8215261.0729478.34-9557.24-17923.281.60.45-0.11-4142.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KSCL Performance, Profit Factor:0.609

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Apr 2019 (6.38%)
2018325 Apr 2018 (-3.1%), 17 Aug 2018 (-3.12%), 03 Sep 2018 (-0.42%)
2017431 Jan 2017 (-2.65%), 29 Mar 2017 (-3.21%), 20 Jun 2017 (-3.3%), 21 Jun 2017 (-2.9%)
2016529 Feb 2016 (-5.47%), 29 Apr 2016 (-3.99%), 02 May 2016 (1.91%), 13 Jun 2016 (6.68%), 28 Oct 2016 (6.86%)
2015212 Mar 2015 (-1.18%), 30 Mar 2015 (-2.8%)
2014715 Jan 2014 (-3.6%), 16 Jan 2014 (-3.24%), 11 Jul 2014 (-1.27%), 24 Jul 2014 (3.23%), 16 Sep 2014 (8.53%), 13 Nov 2014 (-3.57%), 21 Nov 2014 (0.05%)
2013424 Jan 2013 (2.04%), 27 Feb 2013 (6.99%), 18 Jun 2013 (-1.22%), 19 Nov 2013 (-0.18%)
2012602 Mar 2012 (-1.98%), 02 May 2012 (0.89%), 10 Jul 2012 (6.87%), 10 Oct 2012 (-2.0%), 29 Oct 2012 (-4.14%), 12 Dec 2012 (-1.38%)
2011713 May 2011 (-4.51%), 16 May 2011 (-4.44%), 24 May 2011 (-4.24%), 16 Jun 2011 (-0.7%), 04 Aug 2011 (7.88%), 05 Aug 2011 (0.38%), 09 Nov 2011 (7.14%)
2010728 Jan 2010 (-6.29%), 05 Feb 2010 (-6.6%), 16 Feb 2010 (-2.17%), 16 Mar 2010 (-4.02%), 03 May 2010 (-3.47%), 04 May 2010 (-1.18%), 18 Nov 2010 (-2.99%)
2009719 Mar 2009 (-5.08%), 24 Apr 2009 (-8.96%), 27 Apr 2009 (-3.69%), 16 Jun 2009 (14.74%), 18 Aug 2009 (-3.94%), 14 Oct 2009 (-4.0%), 22 Dec 2009 (-5.48%)
2008212 May 2008 (-1.51%), 28 Aug 2008 (-4.35%)



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