Study: Sell TATAPOWER 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 TATAPOWER 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 TATAPOWER 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
1-5531.33361818503431.829590.97-3739.12-11354.840.920.92-0.0066-153.65
2-54051.6936112530.566686.1212024.35-5103.96-15597.481.310.58-0.048-1501.44
3-9155.2736171947.226585.9916271.83-6374.58-18519.081.030.92-0.0062-254.31
4-40897.8836152141.677060.6126409.5-6990.81-21468.931.010.72-0.025-1136.05
5-72249.1436132336.118503.1821364.99-7947.41-29935.481.070.6-0.04-2006.92
6-67269.0836162044.447885.4620326.41-9671.83-21718.850.820.65-0.036-1868.59
7-81937.0736162044.448289.9521228.07-10728.81-34510.330.770.62-0.038-2276.03
8-71691.08361818508587.3928508.77-12570.23-34887.010.680.68-0.03-1991.42
9-57693.57361818508847.622368.42-12052.8-37388.320.730.73-0.024-1602.6
10-11831.23361818509046.5926557.86-9703.88-26116.840.930.93-0.0056-328.65
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
atrnil38.28-1263153983120.5119013.0325430.86-8981.27-22671.792.120.55-0.055-3238.85
atrtrail23.92-111288401228308534.5616953.9-7632.23-22671.791.120.48-0.064-2782.19
atrnil26-13848439102925.6412709.116953.9-9157.77-22671.791.390.48-0.071-3550.88
atrtrail-14.5-115483401228308184.9422371.28-7632.23-22671.791.070.46-0.065-2887.08
atrtrail34.2-118985401228307893.0818932.99-7632.23-22671.791.030.44-0.069-2974.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.55. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:0.546

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Oct 2019 (-4.37%)
2018516 Jan 2018 (9.47%), 05 Mar 2018 (-3.0%), 27 Jun 2018 (-2.91%), 28 Jun 2018 (-3.09%), 13 Jul 2018 (-2.72%)
2017127 Jul 2017 (5.52%)
2016113 Jan 2016 (9.14%)
2015207 Jan 2015 (-2.92%), 19 Aug 2015 (8.04%)
2014116 Apr 2014 (-3.36%)
2013106 Sep 2013 (-5.35%)
2012110 Oct 2012 (-4.34%)
2011124 Feb 2011 (-3.48%)
2009130 Oct 2009 (-3.62%)
2008121 Nov 2008 (-11.34%)
2005307 Jan 2005 (-3.42%), 18 Apr 2005 (-3.55%), 19 Apr 2005 (-3.57%)
2003109 Jul 2003 (-3.64%)
2002328 Feb 2002 (-4.53%), 09 Aug 2002 (11.44%), 25 Oct 2002 (-2.31%)
2000419 Jan 2000 (-4.8%), 04 Feb 2000 (-6.14%), 21 Feb 2000 (-5.44%), 02 Mar 2000 (-7.08%)
1999408 Mar 1999 (-4.41%), 27 May 1999 (-7.5%), 02 Sep 1999 (-5.8%), 27 Dec 1999 (-3.96%)
1998115 Jan 1998 (-3.51%)
1997203 Feb 1997 (-5.52%), 11 Mar 1997 (-4.53%)
1996313 Aug 1996 (12.72%), 06 Nov 1996 (-4.9%), 22 Nov 1996 (-4.11%)
1995223 Jun 1995 (11.0%), 13 Nov 1995 (8.72%)



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