Study: Sell ORIENTBANK 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 ORIENTBANK 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 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
1-6486.1936162044.444295.49117.58-3760.63-10210.211.140.91-0.0076-180.17
2-13226.7336162044.446077.7312399.13-5523.52-14914.911.10.88-0.011-367.41
3-40765.8136171947.225221.2614324.69-6817.23-23205.840.770.69-0.029-1132.38
44512.8236171947.228110.8320216.61-7019.54-19295.231.161.030.0027125.36
5-21747.8336171947.229137.529729.73-9320.28-28835.410.980.88-0.01-604.11
6-46906.836191752.788587.2936036.04-12356.78-44606.790.690.78-0.019-1302.97
71165.653618185011516.5529095.35-11451.79-40524.281.011.010.0004532.38
8-55102.28361818509858.8536336.34-12920.09-42214.770.760.76-0.02-1530.62
9-19912.383618185010523.7435035.04-11629.99-38389.260.90.9-0.0073-553.12
10-16690.9436171947.2211611.0938019.56-11267.34-37248.321.030.92-0.006-463.64
Although, strategy looks good but profit factor on day 3 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
atrtrail24.95-86865.6338132534.219169.6724837.27-8242.85-24165.341.110.58-0.045-2285.94
atrnil28.49-13997137102727.0316161.0924837.27-11169.7-24165.341.450.54-0.061-3783
atrnil310.86-1532963773018.9224545.4537255.9-10837.15-24165.342.260.53-0.058-4143.15
atrtrail35.18-99866.8438132534.218169.5722575.51-8242.85-24165.340.990.52-0.054-2628.07
atrtrail-15.26-11094338132534.217317.5321043.96-8242.85-24165.340.890.46-0.064-2919.56

In the table above, row 1 shows the best exit criterion. Profit factor is 0.58. 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.
ORIENTBANK Performance, Profit Factor:0.578

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017315 Feb 2017 (-4.13%), 15 May 2017 (9.39%), 09 Nov 2017 (-1.56%)
2016204 Feb 2016 (-6.13%), 11 Feb 2016 (-4.57%)
2015225 Mar 2015 (1.77%), 30 Jun 2015 (-4.26%)
2014213 Aug 2014 (-4.87%), 20 Nov 2014 (-4.37%)
2013522 Feb 2013 (2.02%), 19 Mar 2013 (1.01%), 11 Apr 2013 (-5.26%), 17 Jul 2013 (12.42%), 27 Sep 2013 (-3.41%)
2012127 Aug 2012 (0.54%)
2011307 Jan 2011 (0.26%), 28 Jan 2011 (-5.5%), 07 Feb 2011 (-2.4%)
2009109 Mar 2009 (-6.15%)
2008112 Feb 2008 (-9.48%)
2006117 Jul 2006 (-2.9%)
2005211 May 2005 (-2.57%), 09 Aug 2005 (6.57%)
2004131 May 2004 (-12.08%)
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%)
2001202 Apr 2001 (-4.95%), 07 Aug 2001 (-0.38%)
1999228 May 1999 (0.16%), 06 Sep 1999 (5.13%)
1998124 Apr 1998 (-0.49%)
1997120 Jun 1997 (6.86%)
1996229 Feb 1996 (-4.18%), 10 Sep 1996 (7.53%)
1995127 Jun 1995 (5.94%)



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