Study: Sell ONGC 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 ONGC 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 ONGC 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
1121868130676351.544592.6929408.35-2949.88-16515.51.561.660.036937.45
2106703130696153.085098.0226218.1-4017.39-16528.091.271.440.028820.79
3151920130725855.386332.1629872.39-5241.31-24182.711.211.50.031168.61
484019.8130715954.626841.2947021.77-6808.67-23107.9311.210.014646.31
571260.98129715855.047375.241862.69-7799.62-26938.190.951.160.011552.41
6-12693.25129646549.617827.0948935.49-7901.95-33440.510.990.98-0.0019-98.4
7-115337129686152.717664.6637939.56-10434.98-65523.40.730.82-0.015-894.09
8-149226129636648.848344.2240499.16-10225.93-50446.590.820.78-0.018-1156.79
9-147953129547541.8610525.1637365.44-9550.82-44801.711.10.79-0.017-1146.92
10-88669.22129656450.399228.5445586.48-10758.19-43444.090.860.87-0.01-687.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.66. 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 51.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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-11121868130676351.544592.6929408.35-2949.88-16515.51.561.660.036937.45
atrtrail24.28-9301.08146539336.39038.7422719.31-5251.12-12278.781.720.98-0.0016-63.71
atrtrail34.83-29448.74146529435.628934.6434078.97-5255.85-12278.781.70.94-0.0049-201.7
atrtrail-15.26-41491.64144529236.118372.9334949.27-5183.52-12278.781.620.91-0.007-288.14
atrnil26.58-145251142459731.6912957.6822719.31-7508.73-15976.251.730.8-0.021-1022.89
atrnil39.07-3113801392711219.4219161.634078.97-7399.49-15976.252.590.62-0.042-2240.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 51.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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.
ONGC Performance, X=1, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Jan 2019 (-0.98%), 12 Feb 2019 (2.95%), 07 Oct 2019 (0.55%), 08 Nov 2019 (-0.58%)
2018601 Feb 2018 (1.13%), 06 Mar 2018 (2.1%), 23 May 2018 (4.39%), 17 Aug 2018 (-3.47%), 04 Oct 2018 (14.7%), 22 Nov 2018 (3.71%)
2017717 Jan 2017 (-1.64%), 09 Mar 2017 (-1.03%), 28 Mar 2017 (-0.03%), 17 Apr 2017 (1.17%), 18 May 2017 (0.47%), 11 Aug 2017 (-1.28%), 14 Nov 2017 (2.45%)
2016908 Jan 2016 (2.02%), 11 Feb 2016 (4.87%), 01 Mar 2016 (-1.8%), 05 Apr 2016 (-0.29%), 05 May 2016 (0.97%), 24 May 2016 (-1.69%), 16 Jun 2016 (0.45%), 18 Jul 2016 (-1.1%), 03 Nov 2016 (-0.73%)
2015811 Feb 2015 (-0.43%), 27 Apr 2015 (0.58%), 12 May 2015 (-0.47%), 03 Jun 2015 (2.11%), 06 Jul 2015 (1.07%), 19 Aug 2015 (1.84%), 27 Oct 2015 (-1.57%), 04 Dec 2015 (1.45%)
2014502 Jan 2014 (2.09%), 24 Jan 2014 (2.19%), 15 Sep 2014 (2.88%), 27 Oct 2014 (0.75%), 13 Nov 2014 (-1.93%)
20131013 Mar 2013 (-0.98%), 10 Apr 2013 (-1.44%), 06 May 2013 (-0.36%), 24 May 2013 (-0.62%), 08 Jul 2013 (0.56%), 29 Jul 2013 (5.68%), 28 Aug 2013 (-2.05%), 27 Sep 2013 (2.39%), 06 Nov 2013 (-0.66%), 12 Dec 2013 (1.16%)
2012509 Jan 2012 (-1.56%), 11 Apr 2012 (1.14%), 28 Aug 2012 (2.03%), 27 Sep 2012 (-2.05%), 18 Dec 2012 (-3.28%)
2011710 Feb 2011 (-1.26%), 08 Jun 2011 (1.8%), 20 Jul 2011 (-0.67%), 16 Aug 2011 (-1.37%), 30 Aug 2011 (-0.23%), 09 Nov 2011 (2.03%), 13 Dec 2011 (1.31%)
2010519 Jan 2010 (2.98%), 15 Mar 2010 (-0.12%), 12 Apr 2010 (1.19%), 12 Nov 2010 (-0.75%), 23 Dec 2010 (0.42%)
2009513 Jan 2009 (-2.85%), 20 Feb 2009 (-1.03%), 07 Jul 2009 (3.69%), 21 Oct 2009 (0.59%), 21 Dec 2009 (1.43%)
2008816 Jan 2008 (0.26%), 08 Feb 2008 (5.47%), 10 Apr 2008 (0.03%), 08 May 2008 (-0.16%), 11 Jun 2008 (-0.12%), 01 Jul 2008 (-8.26%), 11 Sep 2008 (1.21%), 29 Sep 2008 (-1.24%)
2007303 Jul 2007 (1.77%), 20 Jul 2007 (-2.4%), 18 Dec 2007 (-2.61%)
2006219 May 2006 (6.29%), 18 Jul 2006 (-2.03%)
2005417 Feb 2005 (0.38%), 11 Apr 2005 (-0.88%), 07 Jul 2005 (1.21%), 23 Sep 2005 (-3.09%)
2004524 Feb 2004 (5.69%), 11 Aug 2004 (1.32%), 09 Sep 2004 (-0.53%), 16 Nov 2004 (-0.41%), 28 Dec 2004 (1.19%)
2003527 Jan 2003 (-0.57%), 10 Mar 2003 (-0.41%), 17 Apr 2003 (-0.68%), 15 Sep 2003 (-2.83%), 21 Oct 2003 (3.11%)
2002728 Jan 2002 (-1.64%), 21 Jun 2002 (0.75%), 30 Jul 2002 (-0.43%), 30 Aug 2002 (-0.51%), 25 Oct 2002 (-1.6%), 14 Nov 2002 (0.27%), 26 Dec 2002 (0.28%)
2001419 Feb 2001 (4.98%), 03 Apr 2001 (-3.01%), 10 May 2001 (-0.11%), 25 Jul 2001 (0.57%)
2000411 Jan 2000 (-3.64%), 14 Feb 2000 (6.1%), 18 Apr 2000 (7.96%), 27 Sep 2000 (0.77%)
1999515 Mar 1999 (0.81%), 27 May 1999 (3.45%), 15 Jun 1999 (-0.36%), 01 Nov 1999 (3.1%), 23 Dec 1999 (1.69%)
1998312 Mar 1998 (-1.23%), 29 Sep 1998 (3.75%), 28 Nov 1998 (-0.05%)
1997521 Jan 1997 (-3.61%), 01 Oct 1997 (-2.47%), 23 Oct 1997 (0.54%), 05 Dec 1997 (-0.42%), 23 Dec 1997 (-5.92%)
1996425 Jun 1996 (-1.4%), 23 Aug 1996 (2.91%), 13 Sep 1996 (1.56%), 27 Nov 1996 (1.16%)



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