Study: Sell KTKBANK 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 KTKBANK 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 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
1-27751.0831102132.264856.9517536.31-3634.31-11764.711.340.64-0.038-895.2
2-20094.9731131841.948789.1331629.91-7464.09-18365.511.180.85-0.014-648.22
3-94603.1431151648.397484.2632298.14-12929.19-46093.130.580.54-0.049-3051.71
4-78116.6131141745.1610809.7345859.21-13497.22-41077.020.80.66-0.034-2519.89
5-74486.0431141745.1612300.3848550.72-14511.25-44988.160.850.7-0.03-2402.78
6-85262.8231131841.9415045.4745962.73-15603-52722.970.960.7-0.032-2750.41
7-71543.4431121938.7117770.8654658.39-14989.15-55406.471.190.75-0.025-2307.85
8-79352.3731131841.9416640.3849585.92-16426.52-59037.11.010.73-0.027-2559.75
9-19980931141745.1613425.2944616.98-22809.6-64719.810.590.48-0.059-6445.45
10-23810731141745.1612993.3440993.79-24706.7-73387.60.530.43-0.067-7680.87
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
atrtrail24.36-24998.1233112233.3313985.4728857.35-8129.01-17608.131.720.86-0.015-757.52
atrtrail-15.03-45623.6533112233.3312110.4242229.93-8129.01-17608.131.490.74-0.027-1382.53
atrtrail34.76-47758.5233112233.3311916.3435023.48-8129.01-17608.131.470.73-0.03-1447.23
atrnil29.64-1077723372621.2121794.9728909.76-10012.96-17608.132.180.59-0.056-3265.82
atrnil314.84-1368443252715.6228439.3135023.48-10334.82-17608.132.750.51-0.068-4276.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, 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:0.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Mar 2018 (-2.77%)
2017324 Jan 2017 (-3.1%), 22 Aug 2017 (-3.81%), 08 Nov 2017 (-3.56%)
2016411 Feb 2016 (-4.24%), 12 Feb 2016 (-4.44%), 25 Oct 2016 (10.02%), 16 Nov 2016 (3.54%)
2013421 May 2013 (8.26%), 26 Jul 2013 (11.67%), 30 Sep 2013 (-5.79%), 28 Oct 2013 (-5.47%)
2012213 Sep 2012 (-3.41%), 13 Dec 2012 (-7.0%)
2011325 Feb 2011 (-6.08%), 17 Mar 2011 (-2.87%), 26 Sep 2011 (3.29%)
2010218 Oct 2010 (-1.98%), 16 Nov 2010 (8.0%)
2009205 Oct 2009 (-3.16%), 27 Oct 2009 (1.99%)
2008222 Jan 2008 (-8.8%), 25 Nov 2008 (-4.33%)
2007202 Apr 2007 (-3.35%), 30 May 2007 (-0.67%)
2006106 Jun 2006 (14.43%)
2005102 May 2005 (-5.01%)
2003131 Jan 2003 (4.03%)
2002131 Dec 2002 (-0.56%)
2001212 Sep 2001 (-3.94%), 18 Sep 2001 (2.25%)
2000227 Jul 2000 (9.45%), 05 Sep 2000 (-5.09%)



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