Study: Sell PIDILITIND 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 PIDILITIND 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 PIDILITIND 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
1-43828.31101445743.562859.719358.13-2976.41-169350.960.74-0.022-433.94
2-82056.92101435842.573911.6811764.71-4314.82-22063.210.910.67-0.029-812.44
3-48246.29101564555.453898.3811103.52-5923.45-34274.310.660.82-0.015-477.69
4-79676.311004852484244.0116993.46-5449.78-41573.990.780.72-0.023-796.76
5-1030421004951495058.7216993.46-6880.77-38095.240.740.71-0.026-1030.42
6-1690661004753475557.2515032.68-8118.04-69742.590.680.61-0.033-1690.66
7-1147571005149515956.520261.44-8541.59-59543.470.70.73-0.022-1147.57
8-1131381005248526955.5129639.23-9892.19-59737.740.70.76-0.02-1131.38
9-69577.171005050508901.8756858.93-10293.42-50218.550.860.86-0.011-695.77
10-11102610043574311372.4663858.28-10527.04-49247.211.080.81-0.015-1110.26
Although, strategy looks good but profit factor on day 6 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
atrtrail35.72-92185.98109317828.449619.7732560.82-5005.11-15226.471.920.76-0.021-845.74
atrtrail25.46-93358.8109317828.449581.9421707.21-5005.11-15226.471.910.76-0.023-856.5
atrnil211.14-257473104307428.8513947.3527063.39-9133.69-1675831.530.62-0.026-2475.7
atrtrail-15.99-162027109307927.527650.9630474.94-4956.4-15226.471.540.59-0.043-1486.49
atrnil314.87-34510195177817.8921294.9532560.82-9065.58-1675832.350.51-0.036-3632.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 28.44%, which is not acceptable. Avoid this strategy. Average return per trade is -0.42%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:0.764

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019524 Jan 2019 (-2.02%), 14 Feb 2019 (2.12%), 22 Apr 2019 (-0.4%), 14 Jun 2019 (0.96%), 04 Oct 2019 (-0.66%)
2018506 Mar 2018 (-1.01%), 05 Jun 2018 (0.08%), 19 Jul 2018 (-1.03%), 04 Sep 2018 (-2.55%), 23 Oct 2018 (-4.78%)
2017523 May 2017 (-0.32%), 28 Jun 2017 (-2.47%), 10 Aug 2017 (-1.58%), 22 Sep 2017 (2.36%), 26 Oct 2017 (0.95%)
2016512 Jan 2016 (-2.03%), 26 Feb 2016 (-3.44%), 28 Apr 2016 (-0.29%), 26 Sep 2016 (5.93%), 16 Dec 2016 (2.61%)
2015521 May 2015 (-0.53%), 23 Jul 2015 (-0.72%), 22 Sep 2015 (-2.93%), 23 Oct 2015 (-0.89%), 10 Dec 2015 (-0.88%)
2014414 Feb 2014 (-2.54%), 12 Mar 2014 (-2.17%), 29 May 2014 (1.44%), 07 Nov 2014 (-2.57%)
2013314 Jan 2013 (-0.62%), 29 Jul 2013 (-2.1%), 17 Oct 2013 (-2.65%)
2012325 Jan 2012 (1.38%), 14 Jun 2012 (-2.15%), 11 Jul 2012 (-1.91%)
2011410 Jan 2011 (-1.09%), 07 Mar 2011 (-2.04%), 03 Oct 2011 (-1.86%), 22 Nov 2011 (-1.7%)
2010218 Nov 2010 (-0.42%), 16 Dec 2010 (-0.71%)
2009212 Jan 2009 (-2.54%), 17 Feb 2009 (12.34%)
2008607 Jan 2008 (14.67%), 11 Feb 2008 (-3.01%), 04 Mar 2008 (-1.46%), 08 May 2008 (-1.03%), 28 May 2008 (12.96%), 23 Jun 2008 (-3.99%)
2007416 Mar 2007 (-4.42%), 30 Apr 2007 (-3.5%), 17 Sep 2007 (-4.5%), 08 Oct 2007 (-4.6%)
2006202 Feb 2006 (-3.62%), 17 Nov 2006 (-3.26%)
2005229 Apr 2005 (-4.05%), 21 Sep 2005 (6.3%)
2004510 Mar 2004 (6.38%), 30 Apr 2004 (-2.74%), 12 May 2004 (10.95%), 15 Jul 2004 (-1.98%), 09 Aug 2004 (-1.1%)
2003328 Apr 2003 (-1.8%), 09 May 2003 (-2.39%), 21 Oct 2003 (2.16%)
2002704 Mar 2002 (2.31%), 05 Apr 2002 (-3.89%), 07 Jun 2002 (-3.87%), 10 Jun 2002 (-3.83%), 23 Oct 2002 (-2.86%), 24 Oct 2002 (-2.88%), 28 Nov 2002 (-1.98%)
20011015 Jan 2001 (-0.94%), 20 Feb 2001 (2.98%), 05 Mar 2001 (-5.1%), 12 Mar 2001 (-1.58%), 05 Jun 2001 (4.67%), 30 Jul 2001 (-3.18%), 17 Sep 2001 (-2.88%), 18 Sep 2001 (-2.85%), 08 Oct 2001 (-3.21%), 18 Oct 2001 (-2.75%)
2000615 May 2000 (2.63%), 31 May 2000 (-7.61%), 01 Aug 2000 (16.28%), 22 Sep 2000 (-5.53%), 24 Oct 2000 (-4.99%), 21 Dec 2000 (1.56%)
1999427 May 1999 (-4.43%), 25 Jun 1999 (-2.8%), 20 Dec 1999 (-3.37%), 21 Dec 1999 (-3.44%)
1998412 Jan 1998 (-2.42%), 13 Jan 1998 (-2.52%), 27 Jan 1998 (-1.64%), 28 Jul 1998 (-3.5%)
1997404 Jun 1997 (-3.09%), 18 Sep 1997 (3.5%), 29 Oct 1997 (7.75%), 16 Dec 1997 (-2.46%)
1996529 Feb 1996 (7.38%), 21 Jun 1996 (4.21%), 29 Jul 1996 (4.94%), 12 Sep 1996 (1.49%), 19 Nov 1996 (2.2%)
1995430 May 1995 (1.98%), 15 Jun 1995 (1.63%), 22 Aug 1995 (-0.25%), 31 Oct 1995 (-2.32%)



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