Study: Sell ORIENTBANK when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell ORIENTBANK when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
112315.5127558.334018.1413251.96-3162.29-10770.511.271.780.041026.29
26286.831266504538.0911124.55-3490.28-5221.171.31.30.022523.9
3-9972.69124833.335535.219189.84-4014.19-11684.281.380.69-0.03-831.06
4-9882.01125741.679688.6212414.35-8332.16-23603.461.160.83-0.015-823.5
5-72032.98125741.676328.914043.99-14811.07-39339.10.430.31-0.079-6002.75
6-65014.04125741.675781.059588.27-13417.04-30841.860.430.31-0.087-5417.84
7-86500.49125741.674713.0316216.22-15723.67-33202.20.30.21-0.11-7208.37
8-53176.421266505730.4321854.11-14593.17-33202.20.390.39-0.065-4431.37
9-75361.971239259097.7917872.71-11406.15-30702.30.80.27-0.099-6280.16
10-1125601239257257.8712292.94-14925.95-33250.470.490.16-0.14-9379.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.78. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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-1112315.5127558.334018.1413251.96-3162.29-10770.511.271.780.041026.29
atrtrail-17-9795.2135838.468873.9134736.73-6770.59-10408.181.310.82-0.014-753.48
atrtrail36.23-16842.51135838.467464.4527689.41-6770.59-10408.181.10.69-0.028-1295.58
atrtrail25.57-22080.94145935.718615.7218459.61-7239.95-10994.791.190.66-0.035-1577.21
atrnil26.71-59365.931431121.4316903.3518459.61-10006.91-16396.351.690.46-0.076-4240.42
atrnil39.85-58959.831321115.3824553.6527689.41-9824.28-16396.352.50.45-0.073-4535.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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, X=1, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015102 Mar 2015 (-5.39%)
2013105 Apr 2013 (2.18%)
2011127 Jan 2011 (6.63%)
2008131 Mar 2008 (1.49%)
2007115 Mar 2007 (1.9%)
2005101 Jun 2005 (-0.42%)
2001124 Jul 2001 (0.14%)
2000123 Mar 2000 (1.0%)
1998129 Jun 1998 (0.73%)
1997122 Jul 1997 (-0.8%)
1996212 Jan 1996 (-0.28%), 15 Oct 1996 (-1.02%)



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