Study: Sell SUNPHARMA 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 SUNPHARMA 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 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
1-51231.9729101934.483504.7115996.35-4541-160000.770.41-0.063-1766.62
2-55285.2129101934.486430.7824144.45-6294.37-23568.461.020.54-0.042-1906.39
339019.162992031.0323984.48143524-8842.06-36761.572.711.220.00931345.49
458751.5829131644.8318080.31143220-11018.28-25726.141.641.330.0142025.92
596338.7529141548.2818032.39143880-10407.65-30616.141.731.620.0233322.03
697717.1429181162.0714740.41141955-15237.29-36259.540.971.580.0233369.56
710442329161355.1716526.48137310-12307.75-34487.461.341.650.0253600.79
810007129151451.7217190.08135154-11270.04-35585.061.531.630.0253450.71
913516229161355.1718006.18133777-11764.38-35850.621.531.880.0334660.76
1014683529181162.0716628.05130565-13860.86-34596.511.21.960.0365063.29
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-17.1613697431112035.4824580.55165831-6670.61-14141.043.682.030.0294418.51
atrtrail24.5812503.5231112035.4813265.0737813-6670.61-14141.041.991.090.0072403.34
atrtrail35.714210.431112035.4812511.1556719.5-6670.61-14141.041.881.030.0021135.82
atrnil26.48-40294.943192229.0316052.4737813-8398.51-16731.591.910.78-0.022-1299.84
atrnil310.74-72025.083152616.1327746.7356719.5-8106.11-16731.593.420.66-0.032-2323.39

In the table above, row 1 shows the best exit criterion. Profit factor is 2.03. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is 2.21%, which is very good. Sharpe Ratio is 0.029, 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:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jan 2019 (-4.17%), 11 Jun 2019 (0.1%), 08 Jul 2019 (-3.62%), 09 Jul 2019 (-3.71%)
2018115 Nov 2018 (18.28%)
2017124 May 2017 (13.58%)
2016201 Jun 2016 (1.28%), 08 Dec 2016 (6.8%)
2015117 Apr 2015 (7.24%)
2012216 Mar 2012 (-3.05%), 19 Oct 2012 (-0.72%)
2011304 Aug 2011 (2.53%), 16 Nov 2011 (-3.59%), 12 Dec 2011 (-3.41%)
2010130 Aug 2010 (-0.53%)
2009115 Jun 2009 (-5.4%)
2008212 May 2008 (-1.54%), 21 Nov 2008 (-0.29%)
2005226 Jul 2005 (-5.01%), 20 Dec 2005 (-3.13%)
2003226 Feb 2003 (0.59%), 24 Jun 2003 (-4.18%)
2001209 Aug 2001 (-3.47%), 10 Aug 2001 (-2.03%)
2000103 Mar 2000 (82.92%)
1998228 Apr 1998 (-7.07%), 01 Sep 1998 (-5.52%)
1997128 Aug 1997 (0.62%)
1996211 Jan 1996 (1.26%), 10 May 1996 (-3.3%)
1995119 Dec 1995 (-2.96%)



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