Study: Sell TECHM 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 TECHM 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 TECHM 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
1-79538.8264204431.252377.587779.14-2888.42-11096.410.820.37-0.11-1242.79
2-12801464224234.383534.6811345.17-4899.45-21950.380.720.38-0.099-2000.21
3-16252664263840.624365.5115686.27-7263.92-33798.810.60.41-0.088-2539.46
4-14186664283643.756099.1617462.42-8684.52-36481.840.70.55-0.061-2216.66
5-16967164283643.756468.1218571.43-9743.84-41912.050.660.52-0.069-2651.11
6-19063064283643.756370.8222267.86-10250.37-45009.560.620.48-0.075-2978.6
7-17887364313348.447235.924883.93-12217.77-74072.660.590.56-0.055-2794.9
8-18051164313348.447736.3528062.5-12737.49-81759.080.610.57-0.052-2820.48
9-17099064313348.447919.0128866.07-12620.6-68298.280.630.59-0.051-2671.72
10-17466564283643.758887.7638089.29-11764.49-56061.190.760.59-0.053-2729.13
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
atrnil37.75-84063.1169155421.7420360.6235073.53-7212.45-18683.062.820.78-0.028-1218.31
atrtrail-15.35-76945.3975195625.3312586.8960066.26-5644.58-13877.372.230.76-0.025-1025.94
atrtrail34.84-10216575195625.3311259.5635073.53-5644.58-13877.371.990.68-0.041-1362.19
atrtrail24.36-11857175205526.679827.8323382.35-5729.6-13877.371.720.62-0.055-1580.95
atrnil25.52-15158573185524.6613351.0923382.35-7125.55-18683.061.870.61-0.061-2076.51

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 21.74%, which is not acceptable. Avoid this strategy. Average return per trade is -0.61%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TECHM Performance, Profit Factor:0.784

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019603 Jan 2019 (-2.74%), 08 May 2019 (-1.85%), 20 Jun 2019 (-2.21%), 25 Jun 2019 (6.4%), 26 Jul 2019 (-2.53%), 23 Sep 2019 (-2.8%)
2018425 Jul 2018 (-3.1%), 22 Nov 2018 (-3.68%), 07 Dec 2018 (-3.48%), 21 Dec 2018 (-3.0%)
2017806 Jan 2017 (-2.79%), 23 May 2017 (-2.54%), 29 May 2017 (-3.96%), 27 Jun 2017 (-2.77%), 05 Jul 2017 (-2.6%), 28 Jul 2017 (-2.34%), 03 Nov 2017 (-2.82%), 01 Dec 2017 (-2.81%)
2016601 Apr 2016 (-3.18%), 03 May 2016 (-2.95%), 20 May 2016 (-2.52%), 16 Aug 2016 (7.39%), 26 Sep 2016 (7.32%), 07 Dec 2016 (-3.08%)
2015906 Jan 2015 (-2.24%), 09 Mar 2015 (-2.38%), 13 Mar 2015 (7.84%), 21 Apr 2015 (8.89%), 27 May 2015 (14.2%), 29 Jun 2015 (-3.81%), 24 Aug 2015 (-3.57%), 25 Aug 2015 (-3.97%), 05 Nov 2015 (8.89%)
2014817 Jan 2014 (-2.53%), 26 Feb 2014 (-2.15%), 10 Mar 2014 (-2.6%), 31 Mar 2014 (-2.69%), 04 Apr 2014 (7.09%), 08 May 2014 (-2.46%), 19 May 2014 (-2.99%), 20 May 2014 (-3.03%)
2013217 May 2013 (-3.12%), 05 Jun 2013 (-3.18%)
2012230 Aug 2012 (-3.35%), 09 Nov 2012 (-2.76%)
2011611 Jan 2011 (-3.51%), 18 Apr 2011 (-3.95%), 20 Jun 2011 (-3.69%), 05 Aug 2011 (8.37%), 26 Sep 2011 (-4.48%), 21 Nov 2011 (-3.95%)
2010527 Jan 2010 (-5.65%), 28 Jan 2010 (16.32%), 01 Apr 2010 (8.94%), 20 May 2010 (-4.19%), 25 Aug 2010 (6.68%)
2009514 Jan 2009 (-9.34%), 05 Mar 2009 (-6.94%), 30 Mar 2009 (-6.45%), 07 Aug 2009 (-6.21%), 11 Sep 2009 (-4.96%)
2008204 Jan 2008 (16.8%), 14 Jul 2008 (-6.09%)
2007603 Apr 2007 (-5.2%), 11 May 2007 (-4.8%), 11 Jun 2007 (10.04%), 24 Aug 2007 (-5.03%), 08 Oct 2007 (-3.73%), 19 Oct 2007 (17.54%)



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