Study: Sell ONGC 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 ONGC 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 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
126975.9296494751.043517.0715168.9-3092.78-16034.911.141.190.012281
257389.2196544256.255626.8622651.98-5868.13-24365.480.961.230.015597.8
381821.9396554157.296923.4131907.56-7291.85-41311.990.951.270.018852.31
494392.2895524354.748594.7128967.77-8198.43-38422.491.051.270.018993.6
586504.2295524354.749696.0249794.48-9713.7-37875.8311.210.014910.57
622761.4795544156.8410191.2444728.91-12867.45-61230.230.791.040.0031239.59
79115.2795504552.6310327.2151673.52-11272.12-46397.190.921.020.001495.95
8-40360.4395474849.4710294.3740876.88-10920.75-40843.590.940.92-0.0063-424.85
9-1980.5895494651.5810650.3543390.1-11388-39507.910.941-0.0003-20.85
1055365.8695494651.5811104.7844556.18-10625.39-51388.41.051.110.0079582.8
Although, strategy looks good but profit factor on day 1 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
atrtrail24.0848484.24104386636.5410439.4923784.84-5276-13121.711.981.140.011466.19
atrnil26.3354211.57104386636.5414211.8223784.84-7361.17-14412.251.931.110.0099521.27
atrnil38.791911.2103277626.2120853.7232443.4-7383.41-14412.252.8210.000318.56
atrtrail34.64-11290.31103346933.0110258.8430881.72-5218.71-13121.711.970.97-0.0025-109.61
atrtrail-15.02-21179.15103346933.01996837940.79-5218.71-13121.711.910.94-0.0046-205.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 36.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 May 2019 (-0.3%), 29 May 2019 (1.31%)
2018316 Jan 2018 (-0.3%), 20 Aug 2018 (-2.41%), 06 Sep 2018 (1.46%)
2017418 Jan 2017 (-2.08%), 02 Feb 2017 (2.02%), 11 Oct 2017 (-2.22%), 13 Nov 2017 (0.58%)
2016520 Apr 2016 (-2.52%), 31 Aug 2016 (-2.01%), 27 Sep 2016 (-2.51%), 02 Nov 2016 (5.7%), 20 Dec 2016 (4.97%)
2015221 May 2015 (-2.84%), 28 Oct 2015 (-1.19%)
2014521 Mar 2014 (-3.02%), 31 Mar 2014 (-3.26%), 29 May 2014 (-4.45%), 13 Jun 2014 (-4.93%), 12 Sep 2014 (5.74%)
2013401 Feb 2013 (6.41%), 14 Mar 2013 (6.18%), 23 May 2013 (-1.92%), 07 Nov 2013 (5.39%)
2012414 Feb 2012 (-2.8%), 15 Feb 2012 (-2.79%), 27 Feb 2012 (-3.29%), 09 Jul 2012 (-2.6%)
2011318 Apr 2011 (-2.87%), 09 May 2011 (-2.01%), 21 Jul 2011 (0.32%)
2010316 Jun 2010 (-3.15%), 07 Jul 2010 (-2.97%), 30 Sep 2010 (-2.42%)
2009524 Feb 2009 (-5.15%), 20 Apr 2009 (-1.09%), 09 Jun 2009 (11.63%), 19 Aug 2009 (-4.46%), 26 Aug 2009 (-0.58%)
2008415 Jan 2008 (7.49%), 09 May 2008 (6.7%), 20 Aug 2008 (-0.7%), 30 Sep 2008 (-0.15%)
2007319 Jan 2007 (-2.61%), 04 May 2007 (1.48%), 25 Oct 2007 (-6.05%)
2006431 Jan 2006 (7.87%), 27 Apr 2006 (-3.2%), 16 May 2006 (-4.16%), 20 Nov 2006 (-2.67%)
2005821 Mar 2005 (5.32%), 08 Apr 2005 (5.98%), 10 Jun 2005 (-3.09%), 06 Jul 2005 (5.65%), 12 Aug 2005 (-3.01%), 29 Aug 2005 (-3.16%), 26 Sep 2005 (-2.93%), 07 Oct 2005 (-1.28%)
2004614 Jan 2004 (-2.02%), 16 Apr 2004 (-0.99%), 08 Sep 2004 (-0.89%), 18 Oct 2004 (-2.43%), 19 Oct 2004 (0.51%), 17 Nov 2004 (-0.5%)
2003428 Jan 2003 (-2.6%), 10 Jun 2003 (-3.77%), 16 Sep 2003 (10.29%), 20 Oct 2003 (1.37%)
2002729 Jan 2002 (6.4%), 06 Mar 2002 (-1.57%), 15 Apr 2002 (-2.08%), 21 May 2002 (5.09%), 31 Jul 2002 (-3.73%), 29 Aug 2002 (-1.77%), 28 Oct 2002 (-3.77%)
2001609 Jan 2001 (-3.92%), 16 Feb 2001 (3.08%), 11 May 2001 (-2.17%), 25 Jun 2001 (10.09%), 24 Jul 2001 (-1.58%), 21 Nov 2001 (-0.69%)
2000320 Jun 2000 (-4.1%), 04 Jul 2000 (-3.9%), 21 Dec 2000 (6.62%)
1999626 May 1999 (11.89%), 14 Jun 1999 (4.33%), 27 Jul 1999 (-6.56%), 28 Jul 1999 (-6.17%), 30 Aug 1999 (-0.64%), 29 Oct 1999 (9.1%)
1998221 Apr 1998 (2.43%), 27 Nov 1998 (4.45%)
1997922 Jan 1997 (-1.77%), 25 Mar 1997 (5.98%), 26 Mar 1997 (7.04%), 08 May 1997 (-3.42%), 19 May 1997 (0.1%), 04 Jul 1997 (-3.96%), 07 Jul 1997 (-3.95%), 14 Aug 1997 (5.83%), 22 Oct 1997 (6.1%)
1996209 May 1996 (5.45%), 26 Jun 1996 (-0.02%)



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