Study: Sell ORIENTBANK 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 ORIENTBANK 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 ORIENTBANK 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
110298.73135696651.114230.5626492.15-4266.82-14666.210.991.040.002776.29
247995.03135637246.677315.1735008.73-5734.18-16049.811.281.120.0085355.52
355976.46135736254.077177.0740616.97-7547.58-24334.370.951.120.0089414.64
4139436135736254.078615.4833893.56-7895.07-35166.431.091.280.021032.86
5159287135726353.339682.4736439.59-8537.32-45296.671.131.30.021179.9
6106992134696551.4910844.5743509-9865.9-49927.641.11.170.012798.45
7132346134696551.4912581.6250280.11-11319.77-53690.31.111.180.013987.66
8137529134736154.4812581.5756538.17-12802.06-50795.950.981.180.0121026.34
9158082134746055.2212927.4256840.51-13309.11-43633.540.971.20.0141179.72
10136298134726253.7314229.5360619.8-14326.25-52306.890.991.150.0111017.15
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
atrtrail34.9711787315060904013172.5847439.43-7472.02-24165.341.761.180.013785.82
atrnil310.79156240135419430.3726122.3247439.43-9731.65-24165.342.681.170.0141157.33
atrtrail-15.6497030.3149608940.2712717.0558494.28-7483.07-24165.341.71.150.01651.21
atrnil26.91100835145559037.9317527.1631626.29-9590.65-24165.341.831.120.01695.42
atrtrail24.3464231.15152629040.7911948.8431626.29-7517.74-24165.341.591.090.0076422.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
ORIENTBANK Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018803 Jan 2018 (-3.13%), 16 Jan 2018 (-3.05%), 30 Jan 2018 (3.35%), 20 Apr 2018 (-1.75%), 22 Jun 2018 (4.38%), 13 Jul 2018 (0.47%), 16 Aug 2018 (-4.65%), 05 Sep 2018 (14.5%)
2017515 Feb 2017 (-4.13%), 15 May 2017 (5.28%), 01 Aug 2017 (11.04%), 27 Sep 2017 (-1.65%), 09 Nov 2017 (-1.56%)
20161007 Jan 2016 (12.07%), 04 Feb 2016 (-6.13%), 11 Feb 2016 (-4.57%), 08 Apr 2016 (-4.61%), 02 May 2016 (1.12%), 26 Aug 2016 (-3.16%), 28 Oct 2016 (11.73%), 21 Nov 2016 (-5.32%), 29 Nov 2016 (-4.1%), 16 Dec 2016 (7.24%)
20151107 Jan 2015 (-3.85%), 24 Mar 2015 (3.88%), 28 Apr 2015 (-3.14%), 04 Jun 2015 (6.04%), 30 Jun 2015 (-4.26%), 22 Jul 2015 (6.27%), 12 Aug 2015 (-2.97%), 20 Aug 2015 (16.27%), 27 Oct 2015 (-0.36%), 26 Nov 2015 (-3.65%), 04 Dec 2015 (5.14%)
2014313 Aug 2014 (-4.87%), 23 Sep 2014 (14.41%), 20 Nov 2014 (-4.37%)
2013922 Feb 2013 (2.02%), 19 Mar 2013 (1.01%), 11 Apr 2013 (-5.26%), 08 May 2013 (-3.73%), 24 May 2013 (12.67%), 17 Jul 2013 (10.52%), 27 Sep 2013 (-3.41%), 17 Oct 2013 (-5.97%), 30 Oct 2013 (-5.12%)
2012316 Mar 2012 (-2.35%), 24 Apr 2012 (0.8%), 27 Aug 2012 (0.54%)
20111007 Jan 2011 (0.26%), 28 Jan 2011 (-5.5%), 07 Feb 2011 (-2.4%), 15 Jun 2011 (1.9%), 02 Aug 2011 (8.66%), 13 Sep 2011 (0.7%), 25 Oct 2011 (-4.8%), 01 Nov 2011 (-3.66%), 15 Nov 2011 (1.38%), 12 Dec 2011 (12.57%)
2010320 Jan 2010 (9.79%), 24 Jun 2010 (-1.51%), 12 Nov 2010 (10.9%)
2009415 Jan 2009 (8.81%), 09 Mar 2009 (-6.15%), 23 Jul 2009 (-4.92%), 12 Aug 2009 (-5.01%)
2008718 Jan 2008 (15.52%), 21 Jan 2008 (-3.24%), 12 Feb 2008 (-9.48%), 21 Feb 2008 (23.72%), 15 Sep 2008 (-6.03%), 22 Oct 2008 (21.2%), 24 Nov 2008 (-8.14%)
2007711 Jan 2007 (-3.84%), 31 Jan 2007 (-3.93%), 22 Feb 2007 (13.06%), 07 May 2007 (-3.67%), 05 Oct 2007 (0.71%), 31 Oct 2007 (-5.49%), 17 Dec 2007 (-4.24%)
2006925 Jan 2006 (-3.77%), 27 Jan 2006 (1.34%), 24 Mar 2006 (-2.71%), 13 Apr 2006 (-3.13%), 24 Apr 2006 (-1.98%), 16 May 2006 (-3.81%), 17 Jul 2006 (-2.9%), 22 Nov 2006 (-4.17%), 11 Dec 2006 (5.06%)
2005907 Feb 2005 (-3.86%), 15 Feb 2005 (-3.37%), 24 Feb 2005 (-3.36%), 11 May 2005 (-2.57%), 21 Jun 2005 (-2.17%), 09 Aug 2005 (2.7%), 23 Sep 2005 (-3.7%), 17 Oct 2005 (12.06%), 02 Dec 2005 (0.95%)
2004520 Jan 2004 (1.96%), 15 Mar 2004 (-3.9%), 31 May 2004 (-12.08%), 29 Jul 2004 (4.21%), 12 Oct 2004 (1.39%)
2003307 Mar 2003 (-3.21%), 15 Sep 2003 (-6.13%), 08 Dec 2003 (-4.77%)
2002525 Jun 2002 (-1.14%), 05 Sep 2002 (-2.5%), 20 Sep 2002 (-0.44%), 16 Oct 2002 (-3.93%), 01 Nov 2002 (-5.37%)
2001602 Apr 2001 (-4.95%), 06 Apr 2001 (0.17%), 16 May 2001 (-3.21%), 31 May 2001 (7.24%), 07 Aug 2001 (-0.38%), 31 Aug 2001 (9.26%)
2000407 Mar 2000 (-0.08%), 26 Apr 2000 (-2.51%), 27 Jun 2000 (-0.4%), 18 Sep 2000 (-1.37%)
1999815 Jan 1999 (-4.38%), 18 Jan 1999 (-2.46%), 16 Mar 1999 (-3.65%), 07 Apr 1999 (0.37%), 26 Apr 1999 (-4.13%), 28 May 1999 (0.16%), 06 Sep 1999 (5.13%), 01 Nov 1999 (-6.11%)
1998731 Mar 1998 (-3.43%), 24 Apr 1998 (-0.49%), 27 May 1998 (16.01%), 05 Aug 1998 (3.08%), 05 Oct 1998 (-3.07%), 24 Nov 1998 (0.13%), 18 Dec 1998 (0.35%)
1997625 Feb 1997 (-3.75%), 13 Mar 1997 (-2.3%), 06 May 1997 (-3.88%), 20 Jun 1997 (3.51%), 14 Aug 1997 (8.65%), 24 Oct 1997 (8.6%)
1996612 Jan 1996 (-2.94%), 29 Feb 1996 (-4.18%), 10 Sep 1996 (11.29%), 22 Nov 1996 (-4.17%), 04 Dec 1996 (-4.2%), 13 Dec 1996 (-2.08%)
1995227 Jun 1995 (8.91%), 14 Aug 1995 (2.72%)



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