Study: Sell TATAGLOBAL 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 TATAGLOBAL 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 TATAGLOBAL 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
1-19163.9639172243.593982.1212101.91-3948.18-10627.061.010.78-0.02-491.38
220475.0939192048.726087.2715286.62-4759.15-22826.091.281.220.015525
3-48646.8139182146.156642.9515908.56-8010.47-26937.620.830.71-0.028-1247.35
4-56977.5939172243.597658.2118630.57-8507.6-21691.870.90.7-0.03-1460.96
5-46565.4739152438.469972.8620859.39-8173.26-29218.111.220.76-0.022-1193.99
6-37603.4539152438.4611805.7823186.38-8945.42-22157.241.320.82-0.016-964.19
7-30528.3339182146.1511262.1225990.72-11106.97-26438.571.010.87-0.011-782.78
8-53163.5939132633.3312453.2322575.71-8271.37-31817.21.510.75-0.023-1363.17
9-27965.4439132633.3315364.229183.24-8757.69-37708.471.750.88-0.011-717.06
10-47299.9939162341.0312091.626133.52-10468.07-35347.631.160.8-0.018-1212.82
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
atrtrail23.89-2492.6445162935.5611412.4819688.61-6382.5-16800.81.790.99-0.0012-55.39
atrtrail34.67-38119.4242123028.5713012.6826311.5-6475.72-16800.82.010.8-0.018-907.61
atrnil26.22-52317.4445143131.1114432.4119688.61-8205.52-16800.81.760.79-0.021-1162.61
atrtrail-15.17-46457.1242123028.5712317.8726871.83-6475.72-16800.81.90.76-0.022-1106.12
atrnil38.45-1337344273516.6721927.0129532.92-8206.38-16800.82.670.53-0.055-3184.15

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 35.56%, which is not acceptable. Avoid this strategy. Average return per trade is -0.028%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAGLOBAL Performance, Profit Factor:0.987

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017123 Jun 2017 (-0.32%)
2016307 Jan 2016 (-3.03%), 26 Dec 2016 (-2.79%), 27 Dec 2016 (-1.97%)
2015109 Dec 2015 (-2.71%)
2014103 Mar 2014 (-2.4%)
2013322 Mar 2013 (-1.72%), 14 May 2013 (-2.96%), 01 Aug 2013 (1.5%)
2012120 Nov 2012 (-4.12%)
2011310 Jan 2011 (-1.36%), 01 Feb 2011 (8.0%), 21 Jul 2011 (-3.92%)
2010319 Feb 2010 (-2.5%), 26 May 2010 (-1.63%), 28 Dec 2010 (-1.2%)
2009219 Nov 2009 (-4.31%), 20 Nov 2009 (-4.67%)
2008511 Feb 2008 (-7.62%), 01 Jul 2008 (-3.63%), 05 Aug 2008 (8.17%), 21 Aug 2008 (-2.92%), 20 Nov 2008 (-5.04%)
2005212 Jan 2005 (-1.55%), 15 Apr 2005 (-2.67%)
2004123 Feb 2004 (9.84%)
2003327 Jan 2003 (0.57%), 12 Feb 2003 (-2.98%), 26 Jun 2003 (-3.7%)
2002312 Mar 2002 (1.05%), 29 Oct 2002 (4.91%), 30 Oct 2002 (-0.58%)
2001226 Mar 2001 (-8.4%), 14 Dec 2001 (4.71%)
2000204 Apr 2000 (-6.2%), 22 Sep 2000 (8.69%)
1996327 Sep 1996 (4.3%), 30 Sep 1996 (4.96%), 19 Nov 1996 (5.97%)
1995623 May 1995 (-3.83%), 24 May 1995 (-1.8%), 15 Jun 1995 (5.59%), 16 Jun 1995 (6.56%), 14 Aug 1995 (7.7%), 10 Nov 1995 (8.77%)



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