Study: Sell SYNDIBANK 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 SYNDIBANK 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 SYNDIBANK 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
125310.08804040504914.620663.27-4281.85-13283.441.151.150.011316.38
280120.3880394148.757471.7631377.55-5153.13-22135.921.451.380.0251001.5
3173829804040501002640186.92-5680.27-22897.671.771.770.0462172.86
419416480433753.7510009.0735473.52-6384.5-32624.111.571.820.052427.05
523372280453556.251143943178.17-8029.51-33029.381.421.830.0512921.53
610261080394148.7513499.7754109.59-10338.57-46200.611.311.240.0181282.62
776175.7480384247.514542.8364687-11344.09-70921.991.281.160.012952.2
812740080423852.51474969020.87-12948.89-74772.041.141.260.0181592.5
91893248044365516036.367576.24-14340.93-79736.581.121.370.0252366.55
1020382280463457.516582.0967736.76-16439.82-79128.671.011.360.0262547.78
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-15.7517692188365240.9115170.6167847.92-7100.4-14229.422.141.480.032010.47
atrtrail34.7916892490375341.1114739.9439087.39-7102.91-14229.422.081.450.0331876.93
atrtrail24.1215628090375341.1114398.2326058.26-7102.91-14229.422.031.420.0341736.45
atrnil25.6116179689365340.4517400.5827799.8-8766.5-14229.421.981.350.0311817.93
atrnil39.1410058184246028.5726169.4841699.7-8791.45-14229.422.981.190.0171197.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
SYNDIBANK Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018730 Jan 2018 (8.39%), 20 Apr 2018 (0.95%), 20 Jun 2018 (13.13%), 16 Jul 2018 (-4.87%), 17 Jul 2018 (-2.44%), 10 Aug 2018 (4.11%), 05 Sep 2018 (0.25%)
2017415 Feb 2017 (-3.48%), 22 Mar 2017 (-2.7%), 28 Jul 2017 (4.35%), 27 Sep 2017 (-2.41%)
2016507 Jan 2016 (10.57%), 29 Aug 2016 (-3.05%), 16 Sep 2016 (-2.44%), 01 Nov 2016 (7.21%), 21 Nov 2016 (7.63%)
2015807 Jan 2015 (-4.19%), 14 Jan 2015 (-4.05%), 10 Mar 2015 (7.32%), 24 Apr 2015 (-1.98%), 08 Jun 2015 (1.29%), 27 Jul 2015 (5.8%), 24 Aug 2015 (5.49%), 04 Dec 2015 (3.76%)
2014708 May 2014 (-4.24%), 08 Jul 2014 (-0.54%), 28 Aug 2014 (-1.5%), 25 Sep 2014 (-5.62%), 26 Sep 2014 (1.01%), 25 Nov 2014 (-3.39%), 12 Dec 2014 (3.77%)
2013423 Jan 2013 (-2.82%), 20 Mar 2013 (2.57%), 08 Apr 2013 (-3.02%), 25 Jul 2013 (32.63%)
2012127 Aug 2012 (-2.01%)
2011506 Jan 2011 (10.62%), 16 Jun 2011 (-0.42%), 28 Jul 2011 (-2.93%), 04 Oct 2011 (-4.1%), 12 Dec 2011 (24.45%)
2010525 Mar 2010 (-2.67%), 15 Apr 2010 (-1.42%), 07 May 2010 (-3.6%), 18 Jun 2010 (-2.71%), 19 Nov 2010 (3.88%)
2009318 Feb 2009 (33.92%), 27 Oct 2009 (-4.74%), 15 Dec 2009 (-5.11%)
2008505 Mar 2008 (1.06%), 26 May 2008 (13.97%), 24 Jun 2008 (6.41%), 22 Aug 2008 (-1.8%), 20 Nov 2008 (-6.59%)
2007724 Jan 2007 (-3.39%), 25 Jan 2007 (-3.37%), 14 Feb 2007 (-5.03%), 15 Feb 2007 (10.17%), 02 Apr 2007 (-4.63%), 27 Jul 2007 (-4.05%), 08 Oct 2007 (-5.92%)
2006413 Apr 2006 (-4.15%), 17 May 2006 (11.77%), 29 Nov 2006 (-2.11%), 06 Dec 2006 (13.35%)
2005817 Feb 2005 (-4.55%), 18 Mar 2005 (5.58%), 15 Apr 2005 (-1.78%), 28 Apr 2005 (2.4%), 26 May 2005 (-3.63%), 27 May 2005 (-1.69%), 22 Jun 2005 (-2.69%), 06 Dec 2005 (-2.9%)
2004320 Jan 2004 (9.13%), 15 Mar 2004 (1.27%), 23 Jun 2004 (-7.11%)
2003427 Jan 2003 (-5.59%), 26 Feb 2003 (-3.82%), 25 Aug 2003 (-4.92%), 04 Sep 2003 (3.0%)
2002328 Feb 2002 (-5.95%), 22 Aug 2002 (-5.03%), 27 Aug 2002 (-3.67%)
2001309 Jan 2001 (-4.27%), 06 Jun 2001 (-3.49%), 03 Sep 2001 (0.09%)
2000208 May 2000 (1.68%), 18 Sep 2000 (0.08%)



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