Study: Sell PAGEIND 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 PAGEIND 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 PAGEIND 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
1-59665.731841422.222721.038891.82-5039.28-10170.470.540.15-0.22-3314.76
2-84302.541841422.223428.327615.77-7001.13-17289.50.490.14-0.22-4683.47
3-54455.361861233.334145.539756.72-6610.71-15920.270.630.31-0.13-3025.3
4-83428.691841422.225526.237493.98-7538.11-18040.520.730.21-0.18-4634.93
5-76145.581851327.782830.499074.32-6946-17438.740.410.16-0.19-4230.31
6-79924.691851327.783952.469781-7668.23-169170.520.2-0.18-4440.26
7-1005371841422.222530.967878.39-7904.38-24266.790.320.091-0.24-5585.42
8-92605.811821611.114254.425284.62-6319.67-16650.90.670.084-0.27-5144.77
9-84700.151831516.672017.32663.74-6050.14-17623.740.330.067-0.25-4705.56
10-89710.561831516.674165.7610707.13-6813.86-18850.360.610.12-0.22-4983.92
Although, strategy looks good but profit factor on day 2 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
atrtrail24.25-1473202031715968.291681.65-8836.73-16259.470.110.019-0.44-7365.98
atrtrail34.25-1473202031715968.291681.65-8836.73-16259.470.110.019-0.44-7365.98
atrtrail-14.25-1473202031715968.291681.65-8836.73-16259.470.110.019-0.44-7365.98
atrnil25.1-19239720020000-9619.87-20284.6800-0.75-9619.87
atrnil35.1-19239720020000-9619.87-20284.6800-0.75-9619.87

In the table above, row 1 shows the best exit criterion. Profit factor is 0.019. 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.
PAGEIND Performance, Profit Factor:0.0193

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jan 2019 (-4.69%), 08 Jan 2019 (-4.63%), 27 May 2019 (-2.43%)
2018115 Nov 2018 (-4.95%)
2016112 Sep 2016 (-2.92%)
2015309 Jun 2015 (0.16%), 25 Aug 2015 (-4.72%), 08 Sep 2015 (-1.9%)
2013215 Mar 2013 (0.45%), 17 Apr 2013 (-3.15%)
2012316 Feb 2012 (0.84%), 07 May 2012 (-2.55%), 24 Aug 2012 (-3.01%)
2010222 Apr 2010 (-2.61%), 06 May 2010 (-3.71%)
2008508 Feb 2008 (-7.74%), 15 Jul 2008 (-8.13%), 29 Jul 2008 (-6.5%), 22 Aug 2008 (-5.65%), 25 Aug 2008 (-5.81%)



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