Study: Sell LUPIN 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 LUPIN 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 LUPIN 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
11880.791688502993.815996.8-2758.71-4580.661.091.090.0086117.55
2-14282.921661037.54223.718647.43-3962.52-11742.681.070.64-0.043-892.68
3-21511.76167943.753416.866886.96-5047.76-12812.630.680.53-0.06-1344.48
4-54115.341661037.54982.9613253.13-8401.31-22934.540.590.36-0.095-3382.21
5-63509.8716412257198.0713365.92-7691.85-21851.020.940.31-0.11-3969.37
6-56758.341651131.257027.5314822.82-8354.18-22121.90.840.38-0.094-3547.4
7-68189.951651131.256539.3716806.09-9171.53-24288.940.710.32-0.11-4261.87
8-68004.461641225796820857.22-8323.04-20299.520.960.32-0.11-4250.28
9-69778.71631318.7511173.4123912.02-7946.07-17878.11.410.32-0.11-4361.17
10-82293.71631318.759590.2323122.47-8543.42-15030.631.120.26-0.14-5143.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.059%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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-111880.791688502993.815996.8-2758.71-4580.661.091.090.0086117.55
atrnil27.18-89890.741721511.7611013.7911434.32-7461.22-14998.791.480.2-0.2-5287.69
atrtrail25.24-66440.071731417.654263.857421.96-5659.4-10775.910.750.16-0.19-3908.24
atrtrail35.24-66440.071731417.654263.857421.96-5659.4-10775.910.750.16-0.19-3908.24
atrtrail-15.24-66440.071731417.654263.857421.96-5659.4-10775.910.750.16-0.19-3908.24
atrnil37.81-94900.5161156.2517151.4817151.48-7470.13-14998.792.30.15-0.22-5931.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.059%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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.
LUPIN Performance, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Mar 2019 (0.22%), 18 Jun 2019 (0.73%)
2018206 Mar 2018 (1.51%), 23 Mar 2018 (-0.77%)
2017425 May 2017 (2.43%), 22 Jun 2017 (0.65%), 28 Jul 2017 (3.0%), 07 Nov 2017 (2.17%)
2016114 Oct 2016 (1.27%)
2015110 Dec 2015 (-0.37%)
2012119 Nov 2012 (-1.11%)
2011311 Jan 2011 (-2.29%), 25 Feb 2011 (-1.97%), 21 Jul 2011 (-1.29%)
2002230 Jan 2002 (-1.89%), 28 Jun 2002 (-1.35%)



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