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

home > technical-strategy > tatasteel > 63

In this study, we evaluate the performance of strategy "Sell TATASTEEL 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 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
1-13234889355439.333612.7313854.68-4792.48-19167.470.750.49-0.052-1487.06
2-16159789345538.2514517179.8-6118.67-27070.490.840.52-0.05-1815.7
3-94449.8489434648.316276.7223376.62-7920.63-33020.640.790.74-0.023-1061.23
4-10179489434648.317618.2322529.5-9334.29-36344.140.820.76-0.021-1143.75
5-81507.8789464351.698445.7628386.7-10930.53-36819.730.770.83-0.015-915.82
6-57134.5889464351.699736.6427594.43-11744.65-43487.90.830.89-0.0094-641.96
7-11534989464351.6910431.2635803.83-13841.56-74524.290.750.81-0.016-1296.06
8-79680.7489484153.9311772.2127586.21-15725.54-70201.370.750.88-0.011-895.29
9-13907689464351.6912233.1127463.05-16320.91-68723.440.750.8-0.018-1562.65
10-13026289454450.5612665.8433889.52-15914.21-72492.150.80.81-0.016-1463.62
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
atrtrail23.6436052.75114427236.8410835.625786.14-5820.04-16341.61.861.090.0069316.25
atrnil24.5734429.65114407435.0914426.2425786.14-7332.7-16341.61.971.060.0056302.01
atrnil37.83-31039.7711228842521124.937148.12-7411.16-16341.62.850.95-0.0043-277.14
atrtrail-14.86-22840.53114427236.849433.3830605.48-5820.04-16341.61.620.95-0.0046-200.36
atrtrail34.39-23260.99114427236.849423.3722917.93-5820.04-16341.61.620.94-0.0048-204.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0069, 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, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Mar 2019 (-0.95%), 12 Apr 2019 (-2.57%), 22 Apr 2019 (1.64%), 06 May 2019 (6.11%)
2018318 Jan 2018 (-2.42%), 12 Sep 2018 (-2.91%), 24 Sep 2018 (7.05%)
20171428 Feb 2017 (-2.44%), 07 Mar 2017 (0.45%), 24 Mar 2017 (0.95%), 11 Apr 2017 (4.66%), 07 Jun 2017 (-2.72%), 08 Jun 2017 (-2.78%), 15 Jun 2017 (-2.24%), 23 Jun 2017 (-2.29%), 20 Jul 2017 (-0.3%), 31 Aug 2017 (-2.18%), 19 Sep 2017 (-1.86%), 20 Sep 2017 (3.76%), 31 Oct 2017 (4.68%), 28 Nov 2017 (4.18%)
2016904 Jan 2016 (-2.9%), 08 Jan 2016 (7.15%), 29 Mar 2016 (-3.49%), 05 Apr 2016 (-3.49%), 06 Apr 2016 (-1.4%), 29 Apr 2016 (6.78%), 28 Jul 2016 (-3.29%), 11 Aug 2016 (-3.06%), 24 Aug 2016 (-0.04%)
2015113 May 2015 (7.14%)
2014329 Apr 2014 (0.8%), 16 Jun 2014 (-2.09%), 30 Jul 2014 (-3.25%)
2013509 Jan 2013 (-1.22%), 17 Sep 2013 (-4.82%), 29 Oct 2013 (-3.92%), 06 Nov 2013 (-3.52%), 11 Dec 2013 (-0.01%)
2012508 Feb 2012 (-3.96%), 17 Feb 2012 (-3.89%), 21 Feb 2012 (7.69%), 30 Apr 2012 (5.62%), 17 Oct 2012 (1.16%)
2011207 Jan 2011 (5.48%), 20 Apr 2011 (4.78%)
2010431 Mar 2010 (-3.09%), 19 Apr 2010 (6.91%), 08 Oct 2010 (-3.03%), 18 Nov 2010 (-0.32%)
2009922 Apr 2009 (-8.17%), 23 Apr 2009 (3.18%), 11 May 2009 (-5.27%), 10 Jun 2009 (-6.95%), 12 Aug 2009 (-5.72%), 13 Aug 2009 (2.3%), 05 Oct 2009 (-3.72%), 22 Oct 2009 (-1.12%), 10 Dec 2009 (-3.29%)
2008227 May 2008 (-4.26%), 28 May 2008 (8.43%)
2007507 May 2007 (-4.24%), 30 May 2007 (-4.03%), 31 May 2007 (8.05%), 18 Oct 2007 (-5.74%), 30 Oct 2007 (12.38%)
2006514 Feb 2006 (-3.54%), 21 Mar 2006 (-3.04%), 04 May 2006 (-2.71%), 24 Aug 2006 (0.66%), 12 Oct 2006 (-0.04%)
2005506 Jan 2005 (-3.15%), 24 Feb 2005 (-1.91%), 10 Mar 2005 (-2.13%), 16 Mar 2005 (4.3%), 03 Aug 2005 (-3.35%)
2004212 Jan 2004 (-3.96%), 09 Dec 2004 (-1.9%)
2003806 Jan 2003 (-3.31%), 11 Jun 2003 (-0.61%), 23 Jul 2003 (-3.67%), 25 Aug 2003 (-4.15%), 26 Aug 2003 (-0.15%), 24 Oct 2003 (-0.31%), 10 Nov 2003 (0.98%), 08 Dec 2003 (-3.63%)
2002621 Feb 2002 (-3.95%), 01 Mar 2002 (-4.51%), 04 Mar 2002 (8.79%), 15 May 2002 (6.28%), 10 Jul 2002 (7.18%), 11 Dec 2002 (-1.98%)
2001408 Jan 2001 (-1.73%), 06 Dec 2001 (-3.6%), 07 Dec 2001 (-3.55%), 13 Dec 2001 (-0.39%)
2000421 Jan 2000 (12.05%), 26 Apr 2000 (12.89%), 15 Jun 2000 (3.03%), 14 Dec 2000 (6.35%)
1999514 Jan 1999 (7.64%), 26 May 1999 (1.09%), 29 Jun 1999 (-5.53%), 16 Jul 1999 (4.39%), 08 Sep 1999 (10.68%)
1998117 Apr 1998 (-1.53%)
1997521 Jan 1997 (-4.31%), 22 Jan 1997 (-4.05%), 30 Jun 1997 (-3.06%), 15 Jul 1997 (-0.79%), 08 Aug 1997 (6.64%)
1996121 Jun 1996 (6.07%)
1995222 Jun 1995 (6.43%), 23 Oct 1995 (0.75%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play