Study: Sell ONGC 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 ONGC 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 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
132396.52281414506189.3115919.49-3875.27-16515.51.61.60.0351157.02
2-9606.56281414504620.8511853.86-5307.03-16528.090.870.87-0.011-343.09
317112.228151353.578704.6325249.42-8727.48-24182.7111.150.011611.15
4-5561.99281414508402.5922985.42-8799.87-23107.930.950.95-0.0038-198.64
5-13302.9827121544.4410990.1327436.68-9678.97-24809.671.140.91-0.0081-492.7
6-41330.3227131448.157557.7323254.03-9970.05-27496.640.760.7-0.028-1530.75
7-82584.7827121544.447577.7316909.28-11567.84-36602.380.660.52-0.049-3058.7
8-76244.9227131448.158271.6326675.98-13126.86-40213.380.630.59-0.04-2823.89
9-70690.327121544.449964.5634672.57-12684.33-37423.060.790.63-0.034-2618.16
10-52928.6127121544.449835.8427168.07-11397.24-40344.830.860.69-0.028-1960.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.6. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1132396.52281414506189.3115919.49-3875.27-16515.51.61.60.0351157.02
atrtrail24.6-2182.1930111936.6710949.6822719.31-6454.14-12278.781.70.98-0.0016-72.74
atrtrail35.23-10709.9230102033.3311761.4734078.97-6416.23-12278.781.830.92-0.0069-357
atrtrail-15.43-28353.9830102033.339997.0721217.96-6416.23-12278.781.560.78-0.021-945.13
atrnil28.73-1115273072323.3314800.3922719.31-9353.47-15976.251.580.48-0.071-3717.57
atrnil310.6-1234773052516.6721518.1534078.97-9242.71-15976.252.330.47-0.07-4115.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, X=1, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Nov 2019 (-0.58%)
2018201 Feb 2018 (1.13%), 17 Aug 2018 (-3.47%)
2017114 Nov 2017 (2.45%)
2016211 Feb 2016 (4.87%), 03 Nov 2016 (-0.73%)
2015119 Aug 2015 (1.84%)
2013128 Aug 2013 (-2.05%)
2012127 Sep 2012 (-2.05%)
2011210 Feb 2011 (-1.26%), 09 Nov 2011 (2.03%)
2008308 Feb 2008 (5.47%), 11 Jun 2008 (-0.12%), 01 Jul 2008 (-8.26%)
2006119 May 2006 (6.29%)
2005211 Apr 2005 (-0.88%), 07 Jul 2005 (1.21%)
2003115 Sep 2003 (-2.83%)
2002330 Jul 2002 (-0.43%), 30 Aug 2002 (-0.51%), 14 Nov 2002 (0.27%)
2001219 Feb 2001 (4.98%), 25 Jul 2001 (0.57%)
2000118 Apr 2000 (7.96%)
1999315 Mar 1999 (0.81%), 27 May 1999 (3.45%), 15 Jun 1999 (-0.36%)
1997121 Jan 1997 (-3.61%)



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