Study: Sell PIDILITIND 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 PIDILITIND 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 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
1-80734.07113486542.481854.9310590.02-2611.85-9332.550.710.52-0.048-714.46
2-61802.9113625154.872830.2812837.69-4652.55-17321.20.610.74-0.022-546.93
3106443113555848.676630.07176887-4451.92-14938.261.491.410.011941.97
473930.79113526146.028197.01175515-5775.64-34007.411.421.210.0074654.25
5-32094.73113536046.98503.22173441-8046.09-41298.781.060.93-0.0031-284.02
6-30301.86113526146.029076.98172814-8234.5-41455.531.10.94-0.0029-268.16
7-91944.01113516245.139723.57173252-9481.39-48241.761.030.84-0.0084-813.66
8-123445113536046.98961.37174011-9973.29-69120.880.90.79-0.011-1092.43
9-98614.53113545947.799703.67175033-10552.76-62087.910.920.84-0.0086-872.69
10-215286113486542.4811312.05174916-11665.61-65384.620.970.72-0.018-1905.19
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
atrnil26.96-3125921302810221.5413429.6827817.26-6751.2-13217.331.990.55-0.056-2404.55
atrtrail24.61-241888130339725.387955.6719568.48-5200.26-9884.561.530.52-0.056-1860.67
atrtrail34.95-274074129319824.037505.0329352.72-5170.71-9884.561.450.46-0.063-2124.6
atrnil38.89-4116891281811014.0618793.4631201.42-6817.92-13908.632.760.45-0.071-3216.32
atrtrail-15.08-293876129309923.267208.9834638.56-5152.98-9884.561.40.42-0.067-2278.11

In the table above, row 1 shows the best exit criterion. Profit factor is 0.55. 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.
PIDILITIND Performance, Profit Factor:0.546

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019218 Apr 2019 (4.33%), 30 Aug 2019 (4.32%)
2018601 Jan 2018 (5.75%), 04 May 2018 (-2.08%), 04 Jun 2018 (6.17%), 30 Aug 2018 (-2.26%), 05 Sep 2018 (-2.56%), 06 Dec 2018 (-3.0%)
2017809 Feb 2017 (-2.33%), 27 Feb 2017 (-2.2%), 23 Mar 2017 (-1.9%), 02 May 2017 (-1.6%), 22 May 2017 (-2.3%), 22 Jun 2017 (-2.03%), 14 Sep 2017 (-1.9%), 05 Dec 2017 (-2.29%)
2016427 Apr 2016 (-2.43%), 10 Jun 2016 (-2.24%), 01 Aug 2016 (4.51%), 20 Oct 2016 (-2.4%)
2015627 Jan 2015 (6.64%), 23 Feb 2015 (-3.01%), 12 Mar 2015 (-3.31%), 25 Mar 2015 (6.75%), 18 Aug 2015 (5.77%), 26 Oct 2015 (3.96%)
2014428 Apr 2014 (5.35%), 07 Aug 2014 (-3.08%), 10 Nov 2014 (-2.5%), 15 Dec 2014 (6.91%)
2013926 Feb 2013 (-3.82%), 26 Mar 2013 (-3.72%), 05 Apr 2013 (-3.88%), 23 May 2013 (-2.94%), 24 May 2013 (-2.99%), 31 May 2013 (5.63%), 15 Oct 2013 (-2.82%), 14 Nov 2013 (-3.42%), 06 Dec 2013 (-3.14%)
2012620 Mar 2012 (-2.46%), 17 Apr 2012 (-3.35%), 20 Apr 2012 (-3.43%), 04 May 2012 (-3.36%), 18 Sep 2012 (-3.67%), 14 Dec 2012 (-2.92%)
2011503 May 2011 (-3.31%), 17 Jun 2011 (-3.75%), 20 Jun 2011 (-4.03%), 15 Jul 2011 (-3.06%), 26 Jul 2011 (-3.88%)
2010720 Jan 2010 (7.75%), 25 Mar 2010 (-4.36%), 04 May 2010 (6.3%), 15 Jul 2010 (-3.35%), 13 Aug 2010 (-3.43%), 09 Sep 2010 (-3.03%), 07 Oct 2010 (6.17%)
2009511 May 2009 (-4.78%), 09 Jun 2009 (13.91%), 12 Aug 2009 (-5.49%), 03 Nov 2009 (-4.38%), 04 Dec 2009 (-4.3%)
2008202 Jan 2008 (9.78%), 19 Aug 2008 (7.74%)
2007617 Jan 2007 (-4.27%), 18 Jan 2007 (8.51%), 30 Jul 2007 (-5.45%), 06 Sep 2007 (-4.77%), 09 Oct 2007 (-4.64%), 12 Nov 2007 (-6.61%)
2006727 Feb 2006 (-3.12%), 22 Mar 2006 (-3.2%), 23 Mar 2006 (-3.23%), 28 Apr 2006 (-4.77%), 29 Aug 2006 (-3.63%), 17 Oct 2006 (-3.84%), 26 Oct 2006 (-3.93%)
20051206 Jan 2005 (-3.79%), 13 Jan 2005 (-4.22%), 21 Feb 2005 (-3.4%), 22 Feb 2005 (-3.52%), 11 Mar 2005 (-3.52%), 14 Mar 2005 (-3.55%), 02 Jun 2005 (-3.85%), 20 Jun 2005 (6.92%), 21 Jun 2005 (-3.94%), 30 Jun 2005 (-4.0%), 13 Jul 2005 (-4.02%), 15 Sep 2005 (-4.09%)
2004306 Jan 2004 (-4.59%), 10 Aug 2004 (-2.47%), 21 Sep 2004 (-2.21%)
2003723 Jan 2003 (5.52%), 10 Jun 2003 (-2.91%), 24 Jun 2003 (-2.66%), 15 Jul 2003 (-2.63%), 02 Sep 2003 (-2.64%), 03 Sep 2003 (-2.75%), 16 Sep 2003 (-3.35%)
2002604 Apr 2002 (-4.14%), 29 Apr 2002 (-3.98%), 15 May 2002 (8.98%), 15 Jul 2002 (-3.9%), 22 Aug 2002 (5.51%), 29 Nov 2002 (-2.11%)
2001103 Dec 2001 (-4.12%)
2000108 Feb 2000 (10.4%)
1999701 Feb 1999 (-4.93%), 16 Feb 1999 (-4.94%), 06 Apr 1999 (-4.75%), 24 Jun 1999 (-3.38%), 03 Sep 1999 (-3.53%), 01 Oct 1999 (-3.21%), 22 Oct 1999 (6.97%)
1998506 Apr 1998 (-2.72%), 29 Apr 1998 (-4.73%), 09 Oct 1998 (-5.42%), 10 Dec 1998 (-2.5%), 30 Dec 1998 (-3.48%)
1997520 Jan 1997 (-3.7%), 13 Feb 1997 (-2.63%), 20 Mar 1997 (-2.54%), 05 Jun 1997 (-3.3%), 18 Aug 1997 (7.39%)
1996422 Jan 1996 (-1.44%), 01 Mar 1996 (5.04%), 01 May 1996 (-2.08%), 10 May 1996 (-2.45%)
1995224 Aug 1995 (-2.28%), 01 Nov 1995 (5.03%)



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