Study: Sell LUPIN 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 LUPIN 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 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
1-54518.4277383949.352509.2310770.16-3842.8-22370.270.650.64-0.038-708.03
2-63512.4577383949.353999.7112138.63-5525.67-37447.410.720.71-0.028-824.84
3-11411377364146.755223.8416303.19-7370.02-45021.040.710.62-0.039-1481.98
4-14148577314640.267750.423218.18-8298.85-58820.970.930.63-0.037-1837.46
5-23226177334442.867363.2336068.53-10801.07-60909.290.680.51-0.053-3016.37
6-20754677354245.45864638232.64-12146.58-63606.70.710.59-0.042-2695.41
7-17503877344344.169295.4139224.53-11420.52-57820.320.810.64-0.037-2273.23
8-26100077324541.569722.0341118.12-12713.45-67130.740.760.54-0.05-3389.61
9-18605577364146.759879.8635076.65-13212.94-65172.940.750.66-0.035-2416.3
10-15659377383949.3510220.9828584.31-13974.11-57037.20.730.71-0.03-2033.68
Although, strategy looks good but profit factor on day 5 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
atrtrail34.41-16246988236526.148256.145939.36-5420.91-15232.331.520.54-0.053-1846.24
atrtrail24.23-16658088236526.148077.3330626.24-5420.91-15232.331.490.53-0.062-1892.96
atrtrail-14.93-17000688236526.147928.3835461.77-5420.91-15232.331.460.52-0.058-1931.89
atrnil26.25-26188688206822.7312501.5430626.24-7528.19-15232.331.660.49-0.079-2975.98
atrnil38.17-28822787137414.9419721.445939.36-7359.53-15232.332.680.47-0.075-3312.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.54. 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.
LUPIN Performance, Profit Factor:0.539

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 May 2019 (6.85%), 01 Aug 2019 (-2.14%)
2018204 May 2018 (2.84%), 02 Jul 2018 (-2.85%)
2017123 Oct 2017 (2.31%)
2016201 Aug 2016 (1.46%), 07 Nov 2016 (-2.11%)
2015518 Mar 2015 (-2.29%), 19 Mar 2015 (-1.69%), 09 Apr 2015 (7.82%), 08 Sep 2015 (-3.08%), 13 Oct 2015 (-2.89%)
20141115 Jan 2014 (-0.25%), 11 Mar 2014 (1.13%), 10 Jul 2014 (-2.66%), 11 Jul 2014 (-2.75%), 11 Aug 2014 (-2.74%), 11 Sep 2014 (-1.99%), 12 Sep 2014 (-2.1%), 17 Sep 2014 (-2.73%), 29 Oct 2014 (-1.86%), 27 Nov 2014 (-2.17%), 28 Nov 2014 (-0.87%)
2013701 Jan 2013 (6.19%), 23 May 2013 (-3.11%), 24 May 2013 (1.02%), 25 Jun 2013 (-1.12%), 24 Jul 2013 (0.64%), 01 Oct 2013 (-2.95%), 24 Oct 2013 (0.72%)
2012413 Feb 2012 (-3.21%), 26 Mar 2012 (-3.3%), 20 Apr 2012 (-0.58%), 08 Aug 2012 (1.83%)
2011410 May 2011 (-1.67%), 24 May 2011 (-2.89%), 06 Jun 2011 (-0.44%), 27 Sep 2011 (-1.87%)
2010819 Feb 2010 (1.12%), 30 Mar 2010 (-3.18%), 17 May 2010 (-3.12%), 03 Jun 2010 (-2.41%), 05 Jul 2010 (1.7%), 02 Aug 2010 (2.78%), 01 Nov 2010 (-3.55%), 03 Dec 2010 (7.08%)
2009723 Mar 2009 (-4.56%), 29 May 2009 (-1.85%), 05 Aug 2009 (-4.12%), 18 Aug 2009 (-3.41%), 19 Nov 2009 (-2.98%), 16 Dec 2009 (-3.19%), 23 Dec 2009 (1.35%)
2008604 Jan 2008 (-3.81%), 07 Jan 2008 (0.23%), 09 May 2008 (-2.57%), 04 Jun 2008 (-1.97%), 08 Aug 2008 (-3.64%), 18 Aug 2008 (-0.79%)
2007308 Jan 2007 (0.53%), 01 Mar 2007 (-0.42%), 10 May 2007 (-0.86%)
2006528 Feb 2006 (-2.38%), 12 May 2006 (-3.19%), 31 Aug 2006 (2.66%), 26 Oct 2006 (-3.43%), 01 Nov 2006 (-2.13%)
2005401 Jun 2005 (-4.41%), 21 Jul 2005 (-0.92%), 01 Sep 2005 (-3.6%), 20 Dec 2005 (-2.5%)
2004530 Apr 2004 (-5.97%), 03 Sep 2004 (-3.56%), 16 Sep 2004 (-2.05%), 08 Oct 2004 (5.28%), 28 Dec 2004 (-1.39%)
2003807 Jan 2003 (-4.35%), 20 Jan 2003 (1.19%), 22 May 2003 (-4.25%), 23 Jun 2003 (-4.85%), 18 Jul 2003 (-0.96%), 04 Aug 2003 (-2.23%), 16 Sep 2003 (-7.62%), 17 Sep 2003 (22.97%)
2002331 Jan 2002 (-3.43%), 08 Mar 2002 (-1.71%), 02 May 2002 (15.26%)
2001113 Dec 2001 (-6.51%)



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