Study: Sell PIDILITIND 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 PIDILITIND 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 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
1-32635.58261313502966.199038.6-5476.62-169350.540.54-0.046-1255.21
2-41987.39261313503948.39668.6-7178.1-22063.210.550.55-0.044-1614.9
3-30749.4326151157.693998.911103.52-8248.45-18485.390.480.66-0.034-1182.67
4-13937.1826141253.853802.947723.45-5598.19-12283.840.680.79-0.02-536.05
5-16567.72261313505357.9911195.93-6632.43-25643.520.810.81-0.017-637.22
6-47598.8826141253.856457.7612287.28-11500.63-69742.590.560.66-0.024-1830.73
7-12541.852617965.386296.3516234.94-13286.64-59543.470.470.9-0.007-482.38
8-42211.73251312527955.3815812.75-12135.97-59737.740.660.71-0.023-1688.47
9-42346.4251411568012.1319772.06-14046.92-50218.550.570.73-0.024-1693.86
10-58935.682512134810226.5527193.21-13973.41-49247.210.730.68-0.031-2357.43
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
atrtrail26.85-18518.052791833.339250.4319560.04-5653.99-15226.471.640.82-0.017-685.85
atrtrail37.04-18622.42791833.339238.8329340.05-5653.99-15226.471.630.82-0.015-689.72
atrtrail-17.15-21414.472791833.338928.630474.94-5653.99-15226.471.580.79-0.018-793.13
atrnil224.04-19397225817321357919900.82-17800.26-1675830.760.36-0.046-7758.9
atrnil326.44-213920255202021450.0629851.24-16058.51-1675831.340.33-0.05-8556.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.34%, 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:0.818

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Apr 2019 (-0.4%), 04 Oct 2019 (-0.66%)
2018205 Jun 2018 (0.08%), 23 Oct 2018 (-4.78%)
2017223 May 2017 (-0.32%), 28 Jun 2017 (-2.47%)
2016116 Dec 2016 (5.61%)
2013214 Jan 2013 (-0.62%), 29 Jul 2013 (-2.1%)
2011122 Nov 2011 (-1.7%)
2010118 Nov 2010 (-0.42%)
2008207 Jan 2008 (9.78%), 23 Jun 2008 (-3.99%)
2006117 Nov 2006 (-3.26%)
2005121 Sep 2005 (6.3%)
2003121 Oct 2003 (6.57%)
2002104 Mar 2002 (2.31%)
2001317 Sep 2001 (-2.88%), 18 Sep 2001 (-2.85%), 08 Oct 2001 (-3.21%)
2000416 May 2000 (1.85%), 31 May 2000 (-7.61%), 22 Sep 2000 (-5.53%), 24 Oct 2000 (-4.99%)
1997104 Jun 1997 (-3.09%)
1996229 Feb 1996 (4.92%), 21 Jun 1996 (4.21%)



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