Study: Sell TATAPOWER 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 TATAPOWER 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 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
1-35343.0895455047.372990.1210080-3397.97-11858.970.880.79-0.018-372.03
2-58066.3295464948.424212.6315572.77-5139.74-18589.740.820.77-0.021-611.22
3-10539495405542.116122.9920049.81-6369.33-29752.30.960.7-0.027-1109.41
4-15842095365937.897515.1520464.74-7270.59-27764.421.030.63-0.035-1667.58
5-20412295405542.116987.5122992.25-8793.13-37029.250.790.58-0.039-2148.65
6-17631995415443.169203.434495.64-10252.92-46726.860.90.68-0.028-1855.98
7-14067495455047.3710348.9951498.73-12127.56-65567.930.850.77-0.019-1480.78
8-23123295484750.539365.5829389.79-14484.67-90155.90.650.66-0.029-2434.02
9-16271095514453.6810340.5134686.88-15683.54-77060.130.660.76-0.019-1712.73
10-21886295494651.5811817.4757933.83-17346.06-1036970.680.73-0.021-2303.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, we advise you not to use this strategy.

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
nilnil-11-35343.0895455047.372990.1210080-3397.97-11858.970.880.79-0.018-372.03
atrtrail34.08-181129119308925.2112277.6343081.36-6173.68-23448.461.990.67-0.031-1522.09
atrtrail-14.5-201297119308925.2111605.3744808.48-6173.68-23448.461.880.63-0.036-1691.57
atrtrail23.64-224146119308925.2110843.7128720.91-6173.68-23448.461.760.59-0.044-1883.58
atrnil36.68-316142118219717.820252.5943081.36-7643.77-23448.462.650.57-0.048-2679.17
atrnil25.05-296424118289023.7313971.1828720.91-7640.19-23448.461.830.57-0.052-2512.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, X=1, Profit Factor:0.792

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Mar 2019 (-3.14%), 30 Sep 2019 (5.04%)
2018515 Jan 2018 (4.39%), 24 Apr 2018 (-0.94%), 11 Sep 2018 (0.6%), 22 Nov 2018 (-0.87%), 10 Dec 2018 (-1.93%)
2017527 Feb 2017 (0.12%), 06 Apr 2017 (-0.23%), 26 Jul 2017 (0.67%), 08 Nov 2017 (-0.54%), 04 Dec 2017 (1.06%)
2016429 Apr 2016 (0.5%), 02 Jun 2016 (-2.28%), 17 Jun 2016 (-1.83%), 08 Sep 2016 (0.45%)
2014421 Mar 2014 (0.56%), 09 Apr 2014 (-3.99%), 12 Jun 2014 (3.04%), 03 Dec 2014 (1.65%)
2013208 Jan 2013 (0.27%), 11 Nov 2013 (3.06%)
2012513 Feb 2012 (3.52%), 12 Jul 2012 (2.23%), 09 Oct 2012 (2.25%), 05 Nov 2012 (-0.9%), 17 Dec 2012 (-0.09%)
2011314 Jan 2011 (1.5%), 15 Apr 2011 (0.25%), 13 Jul 2011 (0.56%)
2010419 Jan 2010 (-0.13%), 09 Apr 2010 (1.6%), 23 Jul 2010 (-0.14%), 19 Oct 2010 (-1.21%)
2009613 Jan 2009 (-1.98%), 23 Apr 2009 (-3.77%), 03 Jun 2009 (0.5%), 19 Jun 2009 (4.65%), 11 Aug 2009 (1.47%), 31 Aug 2009 (0.53%)
2008311 Jan 2008 (-5.06%), 09 May 2008 (0.27%), 26 May 2008 (1.74%)
2007509 Feb 2007 (-0.36%), 17 Jul 2007 (-0.15%), 22 Oct 2007 (-5.93%), 09 Nov 2007 (-0.84%), 18 Dec 2007 (-0.87%)
2006416 Jan 2006 (0.41%), 20 Feb 2006 (-1.23%), 20 Mar 2006 (0.46%), 09 Oct 2006 (0.66%)
2005623 Feb 2005 (0.56%), 04 Jun 2005 (-0.76%), 21 Jul 2005 (-1.29%), 24 Aug 2005 (-2.84%), 16 Sep 2005 (-0.46%), 10 Oct 2005 (0.77%)
2004421 Jan 2004 (-2.26%), 17 Aug 2004 (3.44%), 11 Oct 2004 (1.8%), 30 Dec 2004 (-2.92%)
2003803 Jan 2003 (1.33%), 23 Jan 2003 (-1.86%), 26 Feb 2003 (-1.92%), 05 Jun 2003 (-1.19%), 08 Jul 2003 (1.68%), 04 Sep 2003 (-3.18%), 27 Oct 2003 (-0.14%), 20 Nov 2003 (-0.94%)
2002225 Jun 2002 (0.51%), 12 Dec 2002 (-1.86%)
2001612 Jan 2001 (-1.23%), 30 Jan 2001 (-1.92%), 23 Feb 2001 (-2.33%), 05 Jun 2001 (0.07%), 28 Nov 2001 (0.53%), 13 Dec 2001 (-0.24%)
2000303 Mar 2000 (4.17%), 29 Jun 2000 (0.06%), 26 Dec 2000 (-3.22%)
1999205 Jan 1999 (-1.75%), 27 Jul 1999 (-0.83%)
1998514 Jan 1998 (1.29%), 03 Apr 1998 (-0.49%), 21 Apr 1998 (1.59%), 23 Sep 1998 (-1.55%), 26 Nov 1998 (2.25%)
1997221 Jan 1997 (-3.42%), 12 Mar 1997 (2.56%)
1996422 Jan 1996 (-1.17%), 29 Feb 1996 (-0.93%), 30 Apr 1996 (-3.68%), 27 Jun 1996 (0.66%)
1995126 Oct 1995 (-2.18%)



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