Study: Sell SYNDIBANK 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 SYNDIBANK 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 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
143994.482424051.224883.9617421.6-4028.3-38498.211.211.270.018536.52
210752482433952.447843.535303.39-5890.95-33969.011.331.470.0291311.26
313114482463656.18108.5542431.47-6718.03-27175.211.211.540.0331599.32
421258082513162.2940146020.49-8608.73-30870.081.091.80.0482592.44
519091882483458.5410735.1546178.09-9540.29-45690.551.131.590.0382328.26
615454182473557.3211137.0267139.48-10539.98-50674.971.061.420.0291884.64
715234582483458.5412215.6771394.8-12764.91-54828.660.961.350.0251857.87
820370682483458.5414419.1369976.36-14365.07-53582.5511.420.0292484.22
917079882523063.4113897.0770133.96-18394.99-55898.370.761.310.0232082.9
1018079582493359.7615100.9172655.63-16943.93-68421.050.891.320.0242204.82
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
atrnil38.4835166091355638.4624621.1635675.49-9108.57-15166.72.71.690.0533864.4
atrtrail35.119559693415244.0913460.3729784.76-6851.53-15077.451.961.550.0392103.18
atrtrail24.5118947493425145.1612931.6923783.66-6934.45-15077.451.861.540.0422037.35
atrnil26.0122054391415045.0516550.7326572.81-9160.74-15166.71.811.480.0422423.55
atrtrail-15.6512291993415244.0911687.7670243.12-6851.53-15077.451.711.350.0241321.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 1.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Jan 2019 (10.76%), 08 Apr 2019 (14.29%)
2018129 Nov 2018 (10.61%)
2017514 Feb 2017 (-3.35%), 19 Apr 2017 (-2.92%), 18 May 2017 (12.7%), 14 Nov 2017 (-4.75%), 30 Nov 2017 (12.4%)
2016313 Apr 2016 (-4.02%), 28 Apr 2016 (-3.64%), 20 Jul 2016 (10.98%)
2015308 Jan 2015 (12.04%), 05 Jun 2015 (10.58%), 03 Nov 2015 (-3.45%)
2014607 Jan 2014 (-3.89%), 10 Jan 2014 (-4.47%), 30 Apr 2014 (-3.97%), 13 Jun 2014 (-6.1%), 07 Jul 2014 (14.87%), 11 Dec 2014 (13.4%)
2013522 Jan 2013 (-3.46%), 23 May 2013 (-3.87%), 13 Nov 2013 (-5.36%), 21 Nov 2013 (-4.74%), 13 Dec 2013 (-3.49%)
2012522 Feb 2012 (-4.59%), 15 Mar 2012 (14.37%), 12 Jul 2012 (8.78%), 26 Oct 2012 (-3.4%), 21 Dec 2012 (-3.65%)
2011318 Apr 2011 (11.41%), 29 Jul 2011 (9.29%), 11 Nov 2011 (11.15%)
2010604 Jan 2010 (10.36%), 10 May 2010 (-3.48%), 21 Jun 2010 (-3.17%), 11 Aug 2010 (-2.48%), 26 Aug 2010 (-3.27%), 22 Nov 2010 (14.89%)
2009519 Feb 2009 (10.79%), 06 May 2009 (-5.69%), 08 Jun 2009 (-6.64%), 10 Aug 2009 (-4.17%), 26 Oct 2009 (12.49%)
2008510 Jan 2008 (-6.66%), 21 Aug 2008 (-4.45%), 15 Sep 2008 (-3.72%), 16 Sep 2008 (-3.93%), 01 Oct 2008 (13.71%)
2007622 May 2007 (-4.19%), 23 May 2007 (12.79%), 30 Jul 2007 (12.17%), 05 Oct 2007 (16.07%), 22 Nov 2007 (-7.32%), 17 Dec 2007 (-7.58%)
2006401 Feb 2006 (-4.4%), 24 Aug 2006 (-4.77%), 07 Sep 2006 (-3.97%), 12 Oct 2006 (13.92%)
2005710 Jan 2005 (17.84%), 17 Mar 2005 (13.89%), 21 Jun 2005 (11.16%), 17 Aug 2005 (-4.72%), 23 Sep 2005 (-4.21%), 07 Oct 2005 (14.1%), 23 Dec 2005 (-3.47%)
2004619 Jan 2004 (14.86%), 29 Apr 2004 (-6.11%), 16 Aug 2004 (-3.76%), 15 Sep 2004 (-2.86%), 12 Oct 2004 (9.72%), 16 Dec 2004 (-3.02%)
2003924 Jan 2003 (-4.99%), 08 May 2003 (-5.33%), 20 May 2003 (-5.19%), 02 Jun 2003 (-6.92%), 03 Jun 2003 (-6.76%), 06 Jun 2003 (-7.09%), 23 Jul 2003 (-6.1%), 29 Oct 2003 (-4.66%), 30 Oct 2003 (13.81%)
2002303 May 2002 (14.2%), 26 Jun 2002 (-7.54%), 30 Dec 2002 (-4.17%)
2001421 Feb 2001 (-3.42%), 31 Aug 2001 (6.38%), 08 Nov 2001 (-3.24%), 28 Nov 2001 (8.53%)
2000312 Jul 2000 (-3.87%), 13 Jul 2000 (11.6%), 18 Dec 2000 (-4.61%)



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