Study: Sell SYNDIBANK 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 SYNDIBANK 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 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
1-6511.3927131448.155892.820663.27-5936.98-13283.440.990.92-0.0073-241.16
233168.5427131448.158749.1931377.55-5755.06-11347.521.521.410.031228.46
359083.6227131448.1511997.6323199.66-6920.4-22897.671.731.610.0452188.28
483398.7227141351.8513004.5528745.16-7589.62-32624.111.711.850.0543088.84
579122.7327131448.1514999.9628554.91-8276.91-33029.381.811.680.0462930.47
6-11264.1827131448.1512573.0224897.4-12479.53-46200.611.010.94-0.006-417.19
7-25236.3527111640.7415842.831907.51-12469.2-70921.991.270.87-0.011-934.68
8-33937.4827111640.7416018.1436734.69-13133.56-74772.041.220.84-0.013-1256.94
9-78105.6227131448.1513343.0734566.47-17968.97-79736.580.740.69-0.029-2892.8
10-7567427141351.8513360.8331098.27-20209.67-79128.670.660.71-0.027-2802.74
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
atrnil39.2921474.29287212532872.5241699.7-9934.92-14229.423.311.10.0093766.94
atrnil25.14-7329.222992031.0321284.5927799.8-9944.53-14229.422.140.96-0.0039-252.73
atrtrail23.45-12957.7829101934.4814568.3323620.48-8349.53-14229.421.740.92-0.0083-446.82
atrtrail34.1-17846.4129101934.4814079.4730398.5-8349.53-14229.421.690.89-0.011-615.39
atrtrail-14.41-59777.1829101934.489886.3921235.88-8349.53-14229.421.180.62-0.047-2061.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0093, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018330 Jan 2018 (14.67%), 16 Jul 2018 (-4.87%), 17 Jul 2018 (-4.75%)
2017115 Feb 2017 (-3.48%)
2016121 Dec 2016 (-3.08%)
2014508 May 2014 (-4.24%), 08 Jul 2014 (17.84%), 28 Aug 2014 (-5.07%), 25 Sep 2014 (-5.62%), 26 Sep 2014 (-5.7%)
2013223 Jan 2013 (-4.29%), 20 Mar 2013 (-4.06%)
2012127 Aug 2012 (-3.07%)
2011106 Jan 2011 (13.98%)
2010119 Nov 2010 (15.2%)
2009127 Oct 2009 (-4.74%)
2008305 Mar 2008 (20.85%), 24 Jun 2008 (-5.48%), 20 Nov 2008 (-6.59%)
2007227 Jul 2007 (-4.05%), 08 Oct 2007 (-5.92%)
2005217 Feb 2005 (-6.39%), 18 Mar 2005 (14.8%)
2004220 Jan 2004 (17.72%), 23 Jun 2004 (-7.11%)
2003127 Jan 2003 (-5.59%)
2002128 Feb 2002 (-5.95%)
2001109 Jan 2001 (-4.27%)



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