Study: Sell TATASTEEL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when RSI is below 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 TATASTEEL 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
170820.83120645653.334059.9815826.7-3375.32-11538.461.21.370.024590.17
221779.11120586248.335505.3621662.25-4798.9-200001.151.070.0054181.49
3-7219.29120526843.337468.7521753.84-5817.56-30173.911.280.98-0.0014-60.16
4-20471.21205466457396.0119804.8-6361.45-40347.831.160.95-0.0038-170.59
5-112702120507041.678373.0921840.87-7590.8-34270.461.10.79-0.019-939.18
6-83427.97120576347.59368.4938377.54-9800.5-40357.140.960.86-0.011-695.23
7-45621.67120635752.59349.3334774.74-11133.85-45642.860.840.93-0.0056-380.18
843928.58120625851.6711447.5742966.69-11479.67-60357.1411.070.0047366.07
997155.3312066545511763.0947172.13-12577.94-44608.70.941.140.01809.63
1011924712066545511873.2942943.28-12303.53-36142.860.971.180.013993.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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-1170820.83120645653.334059.9815826.7-3375.32-11538.461.21.370.024590.17
atrtrail34.43-18687.47140509035.7110091.233920.92-5813.86-13338.341.740.96-0.0028-133.48
atrnil25.64-26494.09137439431.3916265.3735129.85-7722.4-16539.712.110.96-0.0034-193.39
atrtrail23.91-28040.82140509035.719904.1322613.95-5813.86-13338.341.70.95-0.0046-200.29
atrnil38.04-78518.821313010122.923750.6440004.26-7832.06-17564.933.030.9-0.0088-599.38
atrtrail-14.79-55821.98140509035.719348.5133917.42-5813.86-13338.341.610.89-0.0088-398.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
TATASTEEL Performance, X=1, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Jan 2019 (-1.33%), 23 Apr 2019 (-0.36%), 18 Jun 2019 (-4.62%), 05 Jul 2019 (2.15%), 04 Oct 2019 (2.49%)
2018608 Mar 2018 (4.58%), 04 May 2018 (-2.7%), 21 May 2018 (0.03%), 15 Jun 2018 (1.33%), 16 Jul 2018 (-2.52%), 21 Nov 2018 (2.13%)
2017408 Mar 2017 (0.63%), 27 Mar 2017 (-0.78%), 12 Apr 2017 (2.9%), 01 Dec 2017 (-1.01%)
2016807 Jan 2016 (-1.48%), 02 Feb 2016 (3.22%), 13 Jun 2016 (-0.57%), 08 Jul 2016 (-2.72%), 12 Sep 2016 (-0.16%), 26 Oct 2016 (0.36%), 16 Nov 2016 (-0.0%), 19 Dec 2016 (1.67%)
2015806 Feb 2015 (5.75%), 25 Feb 2015 (1.62%), 27 Mar 2015 (-2.32%), 12 May 2015 (-1.67%), 09 Jul 2015 (-0.14%), 24 Jul 2015 (5.4%), 13 Aug 2015 (-1.71%), 24 Sep 2015 (2.74%)
2014326 Feb 2014 (1.57%), 30 Apr 2014 (2.65%), 21 Nov 2014 (-2.96%)
2013321 Mar 2013 (1.83%), 23 May 2013 (-4.49%), 09 Jul 2013 (2.08%)
2012311 Apr 2012 (-1.56%), 12 Jul 2012 (0.82%), 06 Aug 2012 (-0.46%)
2011810 Jan 2011 (0.64%), 24 Feb 2011 (-0.7%), 19 Apr 2011 (-2.48%), 14 Jun 2011 (-0.07%), 12 Jul 2011 (-0.52%), 23 Sep 2011 (-0.61%), 11 Nov 2011 (4.04%), 15 Dec 2011 (2.74%)
2010208 Jun 2010 (-2.58%), 16 Nov 2010 (-2.89%)
2009312 Jan 2009 (-1.17%), 18 Feb 2009 (-1.0%), 09 Dec 2009 (-0.74%)
2008310 Jan 2008 (0.1%), 07 Mar 2008 (-5.04%), 18 Aug 2008 (0.8%)
2007509 Jan 2007 (0.64%), 01 Feb 2007 (-1.15%), 05 Mar 2007 (0.36%), 27 Jul 2007 (1.25%), 18 Dec 2007 (-0.87%)
2006717 Jan 2006 (-0.73%), 14 Jul 2006 (3.3%), 23 Aug 2006 (-2.36%), 11 Sep 2006 (-0.87%), 11 Oct 2006 (-1.8%), 15 Nov 2006 (0.8%), 01 Dec 2006 (-0.09%)
2005607 Jun 2005 (-0.03%), 01 Jul 2005 (-0.52%), 23 Aug 2005 (1.92%), 22 Sep 2005 (-0.15%), 06 Oct 2005 (2.08%), 24 Nov 2005 (0.04%)
2004626 Feb 2004 (-0.96%), 12 Mar 2004 (7.04%), 28 Apr 2004 (4.19%), 14 Jun 2004 (-5.46%), 11 Aug 2004 (0.27%), 14 Oct 2004 (0.09%)
2003228 Mar 2003 (0.11%), 16 Apr 2003 (1.72%)
2002325 Jan 2002 (-1.95%), 18 Sep 2002 (1.01%), 24 Oct 2002 (0.68%)
2001512 Apr 2001 (-4.83%), 14 May 2001 (1.17%), 04 Jun 2001 (1.35%), 29 Aug 2001 (0.12%), 17 Sep 2001 (-2.31%)
2000524 Jan 2000 (1.79%), 25 Apr 2000 (-5.77%), 21 Jul 2000 (7.39%), 15 Sep 2000 (3.1%), 11 Oct 2000 (1.14%)
1999501 Mar 1999 (-1.37%), 27 May 1999 (1.55%), 29 Oct 1999 (7.85%), 14 Dec 1999 (-2.16%), 28 Dec 1999 (-2.14%)
1998612 Jan 1998 (-0.44%), 10 Feb 1998 (0.78%), 08 Jun 1998 (0.42%), 23 Jul 1998 (7.91%), 05 Oct 1998 (-0.76%), 26 Nov 1998 (2.48%)
1997531 Jan 1997 (3.26%), 11 Mar 1997 (-2.17%), 13 May 1997 (-1.01%), 27 May 1997 (0.18%), 22 Sep 1997 (0.61%)
1996609 Jan 1996 (0.53%), 11 Mar 1996 (1.38%), 24 Jul 1996 (0.7%), 12 Sep 1996 (1.56%), 08 Oct 1996 (-1.37%), 05 Nov 1996 (0.72%)
1995321 Apr 1995 (3.61%), 01 Aug 1995 (0.52%), 24 Oct 1995 (-1.88%)



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