Study: Sell KTKBANK 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 KTKBANK 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 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
145343.367402759.74224.0221052.63-4578.42-16833.670.921.370.027676.77
2-73603.7567303744.786361.223852.34-7147.02-19631.90.890.72-0.03-1098.56
3-40211.467313646.278423.7642688.12-8370.78-24194.531.010.87-0.012-600.17
4-43912.4767313646.278612.3635115.95-8635.99-32357.7210.86-0.013-655.41
5-34864.2967303744.789671.2731613.82-8783.85-36097.561.10.89-0.0098-520.36
6-57518.6367323547.769580.7631519.17-10402.94-38211.380.920.84-0.015-858.49
7-51193.3767333449.2510000.728186.37-11212.25-45609.20.890.87-0.012-764.08
8-36133.3767313646.2711471.5436527.56-10881.97-42764.231.050.91-0.0086-539.3
9-74654.2867274040.313576.0336373-11030.17-47184.171.230.83-0.016-1114.24
10-17296967303744.7813447.6839933.07-15578.35-81138.210.860.7-0.029-2581.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. 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 59.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1145343.367402759.74224.0221052.63-4578.42-16833.670.921.370.027676.77
atrnil38.1-31204.9380215926.2524174.8638123.39-9133.51-17908.542.650.94-0.0059-390.06
atrnil25.31-31541.538028523516108.5625415.6-9280.41-17908.541.740.93-0.0072-394.27
atrtrail34.22-45511.7681235828.415318.238123.39-6859.14-17908.542.230.89-0.011-561.87
atrtrail23.54-80440.0181245729.6313157.1725415.6-6951.09-17908.541.890.8-0.022-993.09
atrtrail-14.65-11674681235828.412221.0829591.47-6859.14-17908.541.780.71-0.032-1441.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 59.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Jan 2019 (1.19%), 04 Apr 2019 (-4.15%)
2018222 Jan 2018 (-0.82%), 27 Aug 2018 (0.29%)
2017610 Feb 2017 (1.18%), 21 Mar 2017 (1.41%), 26 Apr 2017 (-0.1%), 12 May 2017 (1.0%), 12 Jun 2017 (-1.55%), 29 Nov 2017 (2.73%)
2016503 May 2016 (2.19%), 18 May 2016 (1.92%), 21 Jun 2016 (1.64%), 20 Jul 2016 (0.2%), 15 Sep 2016 (0.1%)
2015208 Jun 2015 (0.72%), 09 Jul 2015 (-2.78%)
2014409 Jan 2014 (2.28%), 07 Apr 2014 (-3.92%), 02 May 2014 (0.37%), 29 May 2014 (2.03%)
2013310 Jan 2013 (3.07%), 20 May 2013 (5.16%), 25 Oct 2013 (3.62%)
2012423 Feb 2012 (2.7%), 23 Jul 2012 (-1.19%), 29 Oct 2012 (-3.02%), 14 Dec 2012 (-0.86%)
2011328 Apr 2011 (3.08%), 22 Jun 2011 (-2.47%), 07 Jul 2011 (4.12%)
2010427 Apr 2010 (1.18%), 08 Jun 2010 (0.73%), 02 Jul 2010 (-1.99%), 15 Nov 2010 (4.95%)
2009229 Apr 2009 (-4.68%), 08 Jun 2009 (-2.94%)
2008221 Jan 2008 (10.53%), 08 Feb 2008 (1.68%)
2007508 Jan 2007 (1.12%), 13 Feb 2007 (0.25%), 25 May 2007 (-1.84%), 27 Jul 2007 (-1.52%), 09 Oct 2007 (3.31%)
2006416 Jan 2006 (-0.18%), 17 May 2006 (7.43%), 01 Sep 2006 (-5.12%), 11 Oct 2006 (-1.81%)
2005426 May 2005 (-2.5%), 21 Jun 2005 (0.71%), 21 Jul 2005 (-1.52%), 12 Aug 2005 (2.04%)
2004316 Apr 2004 (-0.15%), 15 Oct 2004 (1.37%), 02 Dec 2004 (-0.28%)
2003504 Jun 2003 (2.68%), 29 Jul 2003 (-8.42%), 28 Aug 2003 (2.22%), 07 Nov 2003 (0.72%), 31 Dec 2003 (-1.19%)
2002501 Mar 2002 (1.22%), 27 Mar 2002 (-2.98%), 03 Jul 2002 (0.43%), 17 Sep 2002 (0.69%), 08 Oct 2002 (0.22%)
2001205 Mar 2001 (-3.35%), 19 Nov 2001 (-0.49%)



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