Study: Sell ORIENTBANK 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 ORIENTBANK 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 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
1-65083.6890375341.114027.4713271.03-4039.62-14043.8910.7-0.028-723.15
2-72213.2690434747.785602.8919140.14-6662.5-22645.250.840.77-0.021-802.37
3-90298.9190395143.338029.1627945.43-7910.51-24339.841.010.78-0.02-1003.32
4-13348090395143.338653.7623785.46-9234.84-28932.260.940.72-0.027-1483.11
5-10001290474352.228127.3624343.54-11209.27-31171.920.730.79-0.018-1111.25
6-11707190494154.448230.5326061.09-12691.89-41793.010.650.78-0.02-1300.79
7-15537590405044.4411041.2136635.51-11940.47-67501.650.920.74-0.022-1726.39
8-14068190444648.8911477.7841495.33-14037.04-68556.360.820.78-0.019-1563.13
9-31506.6590464451.1112052.6639003.12-13316.57-64864.860.910.95-0.0042-350.07
10-3209.839045455013943.9234046.69-14015.25-78180.620.990.99-0.00039-35.66
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
atrtrail34.08-95340.5108317728.713313.8436582.12-6598.3-14891.812.020.81-0.016-882.78
atrnil36.4-148327108238521.325684.6636582.12-8694.99-14891.812.950.8-0.019-1373.4
atrtrail23.75-130568108317728.712177.4724388.08-6598.3-14891.811.850.74-0.025-1208.96
atrnil25.12-24421210827812517080.9524388.08-8708.61-14891.811.960.65-0.04-2261.22
atrtrail-14.47-191352108307827.7810653.4329730.79-6550.71-14891.811.630.63-0.039-1771.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 28.7%, which is not acceptable. Avoid this strategy. Average return per trade is -0.44%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ORIENTBANK Performance, Profit Factor:0.812

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (1.69%), 08 Apr 2019 (12.77%)
2018417 Jan 2018 (-1.36%), 17 Aug 2018 (-4.45%), 28 Aug 2018 (-4.2%), 28 Nov 2018 (-5.5%)
2017416 Feb 2017 (-4.06%), 21 Apr 2017 (-3.37%), 24 Apr 2017 (-2.65%), 12 May 2017 (6.96%)
2016319 Sep 2016 (-2.9%), 30 Sep 2016 (-4.52%), 30 Oct 2016 (11.2%)
2015206 Jan 2015 (-1.25%), 24 Nov 2015 (-1.99%)
2014516 Apr 2014 (-4.63%), 17 Apr 2014 (-4.53%), 08 May 2014 (-4.13%), 09 Jun 2014 (15.17%), 21 Nov 2014 (-1.93%)
2013407 Jan 2013 (2.73%), 12 Nov 2013 (-6.33%), 21 Nov 2013 (-4.28%), 19 Dec 2013 (-5.14%)
2012522 Feb 2012 (2.0%), 13 Jul 2012 (8.4%), 09 Oct 2012 (-3.27%), 31 Oct 2012 (-4.36%), 19 Dec 2012 (1.02%)
2011108 Apr 2011 (-0.09%)
2010915 Mar 2010 (-4.05%), 15 Apr 2010 (-0.13%), 07 May 2010 (-3.34%), 10 May 2010 (10.09%), 27 Aug 2010 (-3.29%), 17 Sep 2010 (0.82%), 15 Oct 2010 (-2.86%), 29 Oct 2010 (-3.28%), 15 Nov 2010 (11.24%)
2009714 Jan 2009 (18.29%), 29 Apr 2009 (-1.94%), 05 Jun 2009 (2.14%), 13 Aug 2009 (0.98%), 25 Sep 2009 (-4.08%), 23 Oct 2009 (-4.42%), 27 Nov 2009 (-3.9%)
2008314 May 2008 (15.36%), 18 Aug 2008 (17.97%), 16 Sep 2008 (-4.55%)
2007531 May 2007 (-4.4%), 01 Jun 2007 (-3.66%), 07 Jun 2007 (3.58%), 25 Jul 2007 (11.26%), 27 Nov 2007 (-2.21%)
2006217 May 2006 (11.57%), 10 Oct 2006 (-1.31%)
2005218 Mar 2005 (10.95%), 10 Aug 2005 (3.51%)
2004707 Jan 2004 (-4.56%), 08 Jan 2004 (-4.43%), 25 Feb 2004 (-4.57%), 12 Mar 2004 (-1.03%), 27 Apr 2004 (3.15%), 30 Sep 2004 (-2.79%), 15 Dec 2004 (-2.72%)
2003828 Jan 2003 (1.95%), 23 Apr 2003 (-5.47%), 24 Apr 2003 (-3.14%), 22 Jul 2003 (-6.5%), 01 Sep 2003 (-0.84%), 23 Oct 2003 (-7.45%), 24 Oct 2003 (-1.04%), 06 Nov 2003 (6.05%)
2002422 Feb 2002 (-3.74%), 29 Apr 2002 (-2.64%), 24 Jun 2002 (1.09%), 27 Dec 2002 (-2.99%)
2001610 Jan 2001 (-3.83%), 02 Feb 2001 (-4.04%), 05 Feb 2001 (-4.04%), 20 Feb 2001 (-0.65%), 17 May 2001 (-2.95%), 07 Dec 2001 (-2.46%)
2000207 Dec 2000 (-3.75%), 18 Dec 2000 (0.42%)
1999523 Jul 1999 (-0.74%), 29 Oct 1999 (-5.35%), 14 Dec 1999 (-4.96%), 15 Dec 1999 (-4.85%), 27 Dec 1999 (-4.87%)
1998612 Jan 1998 (-1.19%), 03 Mar 1998 (-2.83%), 04 Mar 1998 (-0.48%), 18 Mar 1998 (-1.29%), 01 Apr 1998 (-2.63%), 23 Apr 1998 (3.03%)
1997314 Jan 1997 (-3.63%), 20 Jan 1997 (1.07%), 10 Jun 1997 (-2.08%)
1996728 Feb 1996 (1.3%), 30 Apr 1996 (-5.71%), 19 Jun 1996 (-3.99%), 16 Jul 1996 (-3.43%), 17 Jul 1996 (-3.45%), 05 Dec 1996 (-4.08%), 16 Dec 1996 (-0.26%)
1995226 Jun 1995 (8.63%), 19 Oct 1995 (-0.24%)



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