Study: Sell TATAELXSI 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 TATAELXSI 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 TATAELXSI 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
1-8577.9745261957.78441115033.12-6487.57-17590.820.680.93-0.0053-190.62
271604.52452718607003.4640245.9-6527.17-22205.441.071.610.0321591.21
337571.4145212446.6711133.2160245.9-8176.08-25679.761.361.190.012834.92
443171.9345232251.1110482.1247868.85-8996.22-40753.831.171.220.014959.38
557960.5845232251.1111480.4851311.48-9367.74-24499.411.231.280.0191288.01
696595.545222348.8914564.3168770.49-9731.27-37924.871.51.430.0262146.57
743682.5745222348.8913980.0586557.38-11472.98-34943.351.221.170.01970.72
858904.9645212446.6714990.0495163.93-10661.91-40190.821.411.230.0141309
946151.2145242153.3312497.2379016.39-12084.87-366131.031.180.0121025.58
101519.7745202544.4413031.1867868.85-10364.16-38521.171.261.010.0004133.77
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
atrnil26.17-30612.9247163134.0418668.9936598.64-10623.12-19313.531.760.91-0.009-651.34
atrtrail24.15-53330.7247182938.311374.236598.64-8898.84-17462.851.280.79-0.019-1134.7
atrtrail-14.83-64201.4746182839.1310461.1874869.06-9017.95-17462.851.160.75-0.02-1395.68
atrnil38.4-10238447103721.2828221.3454897.96-10394.53-19313.532.720.73-0.026-2178.39
atrtrail34.4-75051.2447182938.310167.554897.96-8898.84-17462.851.140.71-0.025-1596.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 34.04%, which is not acceptable. Avoid this strategy. Average return per trade is -0.33%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAELXSI Performance, Profit Factor:0.907

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Feb 2019 (-2.9%)
2018101 Feb 2018 (7.24%)
2016927 Jun 2016 (-2.64%), 13 Jul 2016 (4.76%), 19 Aug 2016 (5.21%), 28 Sep 2016 (4.09%), 29 Sep 2016 (-2.78%), 27 Oct 2016 (-3.33%), 28 Oct 2016 (-3.32%), 09 Nov 2016 (7.93%), 23 Dec 2016 (-3.53%)
2015220 Apr 2015 (13.31%), 24 Aug 2015 (-7.86%)
2013126 Jul 2013 (8.05%)
2012309 May 2012 (-3.53%), 24 Jul 2012 (-4.32%), 21 Dec 2012 (-3.65%)
2011115 Nov 2011 (9.84%)
2010227 Jan 2010 (-6.42%), 18 Nov 2010 (11.25%)
2008209 May 2008 (-5.38%), 20 Jun 2008 (-5.29%)
2007522 Aug 2007 (-5.03%), 19 Sep 2007 (-4.56%), 09 Oct 2007 (-5.19%), 31 Oct 2007 (-6.53%), 18 Dec 2007 (-6.09%)
2006316 May 2006 (-5.72%), 14 Jul 2006 (10.64%), 08 Dec 2006 (8.59%)
2005216 Mar 2005 (-4.48%), 24 Oct 2005 (-4.09%)
2003211 Feb 2003 (8.58%), 07 Mar 2003 (-4.81%)
2002111 Jan 2002 (-7.67%)
2001128 Feb 2001 (18.3%)
2000118 Sep 2000 (11.26%)
1999202 Feb 1999 (-8.54%), 18 Jun 1999 (-7.99%)
1998313 Jan 1998 (-4.95%), 27 Apr 1998 (-9.66%), 06 Oct 1998 (-6.68%)
1997221 Jan 1997 (-6.31%), 28 Apr 1997 (-4.68%)
1996211 Jan 1996 (9.56%), 29 Feb 1996 (10.75%)
1995131 Jul 1995 (-6.76%)



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