Study: Sell KTKBANK when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell KTKBANK when RSI is below 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 KTKBANK 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
117272.5898504851.023435.2917536.31-3218.58-11764.711.071.110.0091176.25
262751.2198544455.15518.2531629.91-5346.23-18365.511.031.270.02640.32
34913.7798534554.086462.7232298.14-7502.45-46093.130.861.010.001150.14
41292.8898524653.068283.1445859.21-9335.44-41077.020.8910.0002413.19
5-11580198465246.949316.6448550.72-10468.58-44988.160.890.79-0.02-1181.64
6-13308297425543.311163.2645962.73-10944.34-52722.971.020.78-0.02-1371.98
7-63161.997445345.3612324.8254658.39-11423.66-55406.471.080.9-0.0091-651.15
8-15483997455246.3912239.4949585.92-13569.55-62755.320.90.78-0.02-1596.28
9-24811397475048.4513517.6444616.98-17668.84-74489.350.770.72-0.026-2557.87
10-36424497455246.3914598.6640993.79-19638.16-93911.720.740.64-0.035-3755.1
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
atrtrail34.84-52370.4105386736.1910444.9635023.48-6705.65-17608.131.560.88-0.011-498.77
atrtrail24.48-55941.99106396736.7910085.5628857.35-6705.65-17608.131.50.88-0.013-527.75
atrnil27.5-95087.63104317329.8118024.0928909.76-8956.63-17608.132.010.85-0.016-914.3
atrtrail-15.26-79123.07105376835.2410086.3542229.93-6651.74-17608.131.520.83-0.017-753.55
atrnil310.66-12470497217621.6526848.7440127.99-9059.57-17608.132.960.82-0.019-1285.61

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 36.19%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, Profit Factor:0.883

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018807 Mar 2018 (-2.77%), 24 Apr 2018 (-2.2%), 10 May 2018 (-3.4%), 11 May 2018 (-0.98%), 05 Jun 2018 (-3.72%), 18 Jun 2018 (9.57%), 19 Jul 2018 (-3.84%), 22 Nov 2018 (-2.74%)
2017624 Jan 2017 (-3.1%), 13 Feb 2017 (-0.39%), 22 Aug 2017 (-3.81%), 25 Sep 2017 (1.47%), 08 Nov 2017 (-3.56%), 30 Nov 2017 (1.68%)
2016506 Jan 2016 (6.9%), 11 Feb 2016 (-4.24%), 12 Feb 2016 (-4.44%), 24 Oct 2016 (7.32%), 16 Nov 2016 (3.54%)
2015828 Jan 2015 (-2.43%), 24 Feb 2015 (1.15%), 24 Apr 2015 (-1.59%), 07 May 2015 (-4.0%), 09 Jun 2015 (-0.62%), 12 Aug 2015 (-2.79%), 21 Oct 2015 (-1.46%), 08 Dec 2015 (1.12%)
2014410 Jan 2014 (-0.84%), 09 Jul 2014 (1.55%), 25 Jul 2014 (4.62%), 17 Sep 2014 (10.41%)
20131011 Jan 2013 (-4.84%), 28 Feb 2013 (0.62%), 21 Mar 2013 (-1.32%), 21 May 2013 (2.39%), 11 Jun 2013 (-2.61%), 21 Jun 2013 (0.76%), 26 Jul 2013 (17.51%), 30 Sep 2013 (-5.79%), 28 Oct 2013 (-5.47%), 11 Dec 2013 (0.14%)
2012320 Apr 2012 (10.41%), 13 Sep 2012 (-3.41%), 13 Dec 2012 (-7.0%)
2011727 Jan 2011 (13.05%), 25 Feb 2011 (-6.08%), 17 Mar 2011 (-2.87%), 29 Apr 2011 (2.38%), 26 Sep 2011 (3.29%), 14 Nov 2011 (2.84%), 13 Dec 2011 (-3.66%)
2010627 Jan 2010 (9.29%), 19 Mar 2010 (-1.28%), 24 Aug 2010 (-2.05%), 17 Sep 2010 (-2.27%), 18 Oct 2010 (-1.98%), 16 Nov 2010 (11.99%)
2009512 Jan 2009 (-3.78%), 24 Feb 2009 (1.78%), 29 Jul 2009 (-3.67%), 05 Oct 2009 (-3.16%), 27 Oct 2009 (1.99%)
2008722 Jan 2008 (-8.8%), 11 Feb 2008 (-6.22%), 04 Mar 2008 (0.33%), 23 May 2008 (-0.79%), 27 Aug 2008 (-4.53%), 15 Sep 2008 (-4.93%), 25 Nov 2008 (-4.33%)
2007702 Apr 2007 (-3.35%), 18 Apr 2007 (-1.39%), 30 May 2007 (-0.67%), 27 Jun 2007 (-2.44%), 05 Nov 2007 (-4.53%), 21 Nov 2007 (0.21%), 18 Dec 2007 (-2.67%)
2006725 Jan 2006 (-4.06%), 21 Mar 2006 (-1.58%), 24 Apr 2006 (13.1%), 16 May 2006 (-4.86%), 06 Jun 2006 (8.08%), 14 Jul 2006 (1.72%), 11 Dec 2006 (1.63%)
2005518 Mar 2005 (6.66%), 02 May 2005 (-5.01%), 22 Sep 2005 (-4.79%), 13 Oct 2005 (14.41%), 23 Dec 2005 (-3.48%)
2004223 Feb 2004 (-4.25%), 02 Aug 2004 (10.52%)
2003331 Jan 2003 (4.03%), 13 Mar 2003 (-3.57%), 21 Apr 2003 (-2.09%)
2002131 Dec 2002 (-0.56%)
2001701 Feb 2001 (-2.42%), 05 Jun 2001 (-4.48%), 06 Jun 2001 (-4.23%), 18 Jun 2001 (-4.25%), 03 Sep 2001 (-3.62%), 12 Sep 2001 (-3.94%), 18 Sep 2001 (2.25%)
2000427 Jul 2000 (3.85%), 05 Sep 2000 (-5.09%), 18 Sep 2000 (3.91%), 27 Nov 2000 (-3.58%)



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