Study: Sell SUNPHARMA 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 SUNPHARMA 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 SUNPHARMA 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
1-124356105396637.143430.2315996.35-3911.13-17732.250.880.52-0.047-1184.34
2-126099105436240.955324.2824144.45-5726.5-23568.460.930.64-0.031-1200.95
3-8107.94104475745.198948.93143524-7521.18-36761.571.190.98-0.00093-77.96
436809.03104495547.1210094.49143220-8324.02-26956.21.211.080.004353.93
5-1581.82104495547.1210001.02143880-8938.76-31736.331.121-0.00017-15.21
6-55379.07104495547.1210409.55141955-10280.86-50289.391.010.9-0.0058-532.49
7-72564.16104495547.1210181.77137310-10390.38-70321.540.980.87-0.0075-697.73
8-70582.66104475745.1911209.98135154-10481.61-91961.411.070.88-0.0069-678.68
9-44512.9710452525010652.27133777-11508.29-95819.940.930.93-0.0043-428.01
10-7702.94104515349.0411722.16130565-11425.15-1125401.030.99-0.00071-74.07
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
atrtrail-15.484627.61112357731.2513232.23165831-5954.55-14141.042.221.010.0004641.32
atrtrail24.32-101047112357731.2510212.9737813-5954.55-14141.041.720.78-0.021-902.2
atrtrail34.88-156493112357731.258628.7956719.5-5954.55-14141.041.450.66-0.031-1397.26
atrnil26.06-220134112298325.8913439.5837813-7347.97-16731.591.830.64-0.041-1965.48
atrnil38.61-351748109179215.619145.5556719.5-7361.11-16731.592.60.48-0.061-3227.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.021%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00046, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019518 Jan 2019 (-4.25%), 11 Jun 2019 (0.1%), 08 Jul 2019 (-3.62%), 09 Jul 2019 (-3.71%), 11 Sep 2019 (-3.88%)
2018309 May 2018 (3.9%), 10 Aug 2018 (-2.78%), 14 Nov 2018 (19.06%)
2017701 Feb 2017 (-2.27%), 15 Feb 2017 (-2.75%), 23 May 2017 (15.07%), 28 Jul 2017 (15.25%), 25 Oct 2017 (-2.6%), 07 Nov 2017 (-3.2%), 04 Dec 2017 (-0.97%)
2016611 Jan 2016 (-2.69%), 28 Apr 2016 (-1.78%), 01 Jun 2016 (1.28%), 26 Sep 2016 (1.84%), 02 Nov 2016 (6.4%), 08 Dec 2016 (6.8%)
2015617 Apr 2015 (7.24%), 01 Jun 2015 (4.19%), 22 Jul 2015 (-0.69%), 29 Sep 2015 (-3.08%), 14 Oct 2015 (-2.74%), 23 Oct 2015 (-2.43%)
2014521 Jan 2014 (-2.25%), 28 Jan 2014 (-2.59%), 07 Mar 2014 (2.74%), 13 Oct 2014 (-2.2%), 19 Nov 2014 (0.94%)
2013106 Dec 2013 (1.79%)
2012216 Mar 2012 (-3.05%), 19 Oct 2012 (-0.72%)
2011505 May 2011 (-0.39%), 04 Aug 2011 (2.53%), 19 Sep 2011 (1.3%), 16 Nov 2011 (-3.59%), 12 Dec 2011 (-3.41%)
2010206 Feb 2010 (-3.42%), 30 Aug 2010 (-0.53%)
2009502 Feb 2009 (-4.55%), 16 Feb 2009 (4.13%), 15 Jun 2009 (-5.4%), 30 Jul 2009 (-5.86%), 19 Aug 2009 (-4.36%)
2008503 Jan 2008 (-1.39%), 12 May 2008 (-1.54%), 23 Jun 2008 (3.74%), 07 Oct 2008 (0.16%), 21 Nov 2008 (-0.29%)
2007424 Apr 2007 (3.44%), 08 Jun 2007 (-3.35%), 24 Sep 2007 (-2.92%), 17 Dec 2007 (-4.69%)
2005421 Feb 2005 (-4.12%), 21 Mar 2005 (1.74%), 26 Jul 2005 (-5.01%), 20 Dec 2005 (-3.13%)
2004220 Jan 2004 (-4.23%), 15 Mar 2004 (2.94%)
2003526 Feb 2003 (0.59%), 12 Mar 2003 (-4.5%), 24 Apr 2003 (-3.68%), 09 May 2003 (-3.95%), 24 Jun 2003 (-4.18%)
2002216 Sep 2002 (-1.9%), 07 Nov 2002 (-1.07%)
2001912 Jan 2001 (-3.82%), 11 Apr 2001 (-2.01%), 21 May 2001 (-4.84%), 26 Jun 2001 (10.61%), 09 Aug 2001 (-3.47%), 10 Aug 2001 (-2.03%), 17 Sep 2001 (-5.39%), 18 Sep 2001 (-1.34%), 19 Dec 2001 (1.92%)
2000203 Mar 2000 (82.92%), 22 Dec 2000 (-2.36%)
1999322 Feb 1999 (3.88%), 16 Mar 1999 (-5.33%), 18 May 1999 (-6.83%)
1998727 Jan 1998 (-3.29%), 12 Feb 1998 (-2.74%), 06 Mar 1998 (-2.49%), 28 Apr 1998 (-7.07%), 01 Sep 1998 (-5.52%), 30 Oct 1998 (-3.22%), 24 Nov 1998 (0.63%)
1997706 May 1997 (-2.6%), 10 Jun 1997 (-1.87%), 23 Jun 1997 (0.66%), 22 Jul 1997 (-2.17%), 28 Aug 1997 (0.62%), 27 Oct 1997 (-0.23%), 01 Dec 1997 (6.01%)
19961111 Jan 1996 (1.26%), 10 May 1996 (-3.3%), 11 Jun 1996 (-3.02%), 12 Jun 1996 (-1.73%), 24 Jun 1996 (-2.6%), 04 Jul 1996 (0.81%), 30 Jul 1996 (0.01%), 13 Aug 1996 (-1.98%), 19 Aug 1996 (-0.65%), 06 Nov 1996 (-2.28%), 25 Nov 1996 (-2.79%)
1995421 Aug 1995 (-2.31%), 18 Oct 1995 (-1.3%), 16 Nov 1995 (15.04%), 19 Dec 1995 (-2.96%)



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