Study: Sell TATAELXSI 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 TATAELXSI 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 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
159158.2698544455.14799.4917898.19-4545.78-16007.51.061.30.02603.66
215884.398485048.987153.2121452.55-6549.4-24032.181.091.050.0038162.08
311674698524653.068445.5128622.08-7009.14-35287.011.21.360.0231191.29
43093.3898534554.089687.7330841.12-11341.25-54138.970.851.010.0004431.57
526038.0598534554.0811725.5542990.65-13231.47-57557.880.891.040.0031265.69
6-21783.2698524653.0611938.0447352.02-13968.73-62068.970.850.97-0.0024-222.28
7-12515898445444.914086.3454555.4-13795.49-83054.191.020.83-0.013-1277.12
8-19597098455345.9214281.8651401.87-15823.65-90049.260.90.77-0.018-1999.69
9-12986598514752.0413241.7842990.65-17131.81-82098.570.770.84-0.013-1325.15
10-16045198475147.9615551.4544942.46-17477.83-66583.260.890.82-0.015-1637.25
Although, strategy looks good but profit factor on day 2 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
atrnil25.481662.41115397633.9119851.9430991.48-9112.68-18692.892.181.120.01710.11
atrtrail23.6835038.48117427535.913296.8730991.48-6979.07-16341.071.911.070.0052299.47
atrtrail34.24-5262.64117417635.0412800.0646487.22-6974.54-16341.071.840.99-0.00074-44.98
atrtrail-14.6-18255.55117417635.0412483.1644833.79-6974.54-16341.071.790.97-0.0026-156.03
atrnil37.97-101442115259021.7429347.0446487.22-9279.08-18692.893.160.88-0.011-882.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 33.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
TATAELXSI Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Mar 2019 (-2.53%)
2018831 Jan 2018 (6.14%), 07 May 2018 (-3.71%), 08 May 2018 (-3.6%), 04 Jun 2018 (-3.19%), 28 Jun 2018 (-2.73%), 29 Jun 2018 (-2.73%), 05 Jul 2018 (-2.58%), 19 Jul 2018 (-2.65%)
2017830 Jan 2017 (-2.94%), 02 Mar 2017 (-2.66%), 21 Apr 2017 (-2.39%), 19 May 2017 (4.46%), 18 Jul 2017 (-2.75%), 03 Aug 2017 (-2.54%), 05 Oct 2017 (-4.19%), 30 Nov 2017 (5.57%)
2016201 Jan 2016 (6.59%), 22 Dec 2016 (-3.43%)
2015702 Feb 2015 (-3.81%), 03 Feb 2015 (-3.97%), 13 Mar 2015 (13.61%), 17 Apr 2015 (11.29%), 12 Aug 2015 (-4.86%), 25 Aug 2015 (-8.07%), 16 Sep 2015 (-6.27%)
2014707 Jan 2014 (10.9%), 06 Feb 2014 (-4.73%), 13 Mar 2014 (11.2%), 09 Jul 2014 (-4.8%), 25 Jul 2014 (-4.45%), 29 Sep 2014 (-4.37%), 07 Oct 2014 (9.34%)
2013112 Nov 2013 (-4.54%)
2012621 Feb 2012 (8.0%), 15 Jun 2012 (-2.37%), 18 Jun 2012 (-2.59%), 27 Sep 2012 (-3.28%), 08 Oct 2012 (-3.14%), 20 Dec 2012 (-3.51%)
2011219 Apr 2011 (-4.14%), 14 Jul 2011 (-2.93%)
2010625 Jan 2010 (11.13%), 06 Apr 2010 (-4.09%), 07 Apr 2010 (8.13%), 14 Jul 2010 (6.48%), 21 Oct 2010 (-4.01%), 16 Nov 2010 (10.8%)
2009503 Jun 2009 (13.09%), 24 Aug 2009 (-4.8%), 18 Sep 2009 (-4.09%), 23 Oct 2009 (8.04%), 21 Dec 2009 (-5.27%)
2008210 Jun 2008 (-5.59%), 11 Jun 2008 (10.88%)
2007510 Jan 2007 (-4.12%), 11 Jan 2007 (-4.0%), 05 Feb 2007 (8.43%), 26 Apr 2007 (-5.21%), 08 Jun 2007 (8.51%)
2006515 May 2006 (10.82%), 06 Sep 2006 (-3.47%), 12 Sep 2006 (-4.27%), 23 Nov 2006 (-4.82%), 07 Dec 2006 (8.39%)
2005722 Feb 2005 (-3.99%), 15 Mar 2005 (-4.27%), 13 Apr 2005 (9.47%), 17 Jun 2005 (-3.42%), 22 Aug 2005 (7.61%), 08 Sep 2005 (-4.29%), 21 Dec 2005 (7.13%)
20041006 Jan 2004 (-4.78%), 03 May 2004 (-4.72%), 01 Jun 2004 (-7.09%), 24 Jun 2004 (-4.72%), 09 Jul 2004 (-5.16%), 27 Jul 2004 (-4.29%), 15 Sep 2004 (-4.15%), 12 Oct 2004 (-3.63%), 14 Oct 2004 (7.31%), 10 Nov 2004 (7.54%)
2003524 Jun 2003 (-3.66%), 15 Jul 2003 (10.76%), 16 Sep 2003 (-4.94%), 09 Oct 2003 (-4.02%), 20 Oct 2003 (8.2%)
2002501 Mar 2002 (-8.17%), 13 May 2002 (11.45%), 21 Jun 2002 (-5.8%), 27 Jun 2002 (-5.71%), 17 Sep 2002 (8.55%)
2001208 Jun 2001 (15.5%), 13 Dec 2001 (14.91%)
2000130 Jun 2000 (11.69%)
1999801 Feb 1999 (-7.85%), 19 Feb 1999 (-7.31%), 12 Aug 1999 (-4.05%), 01 Sep 1999 (-6.38%), 01 Oct 1999 (-6.06%), 22 Oct 1999 (15.44%), 27 Dec 1999 (-7.79%), 28 Dec 1999 (-7.61%)
1998714 Jan 1998 (-4.89%), 20 Jan 1998 (-5.37%), 21 Jan 1998 (-5.35%), 04 Feb 1998 (10.7%), 24 Apr 1998 (-9.35%), 08 Sep 1998 (13.54%), 05 Oct 1998 (-6.37%)
1997420 Jan 1997 (11.88%), 26 Aug 1997 (-5.57%), 27 Aug 1997 (10.93%), 19 Sep 1997 (-5.31%)
1996128 Jun 1996 (12.71%)



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