Study: Sell TECHM 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 TECHM 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 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
1-27386.892391439.132481.026169.64-3551.15-11096.410.70.45-0.087-1190.73
2-41238.962381534.783171.266244.63-4440.6-17113.070.710.38-0.1-1793
3-44018.923111247.833213.539711.55-6613.98-18507.660.490.45-0.084-1913.87
4217.582314960.875485.4317462.42-8508.72-23238.840.6410.00039.46
5-11604.0123111247.837357.4618571.43-7711.34-20071.680.950.87-0.015-504.52
6-19871.1723131056.525581.122267.86-9242.55-18880.830.60.79-0.026-863.96
7-15878.5923131056.526968.8824883.93-10647.4-19081.130.650.85-0.018-690.37
8-9397.9723131056.527988.3928062.5-11324.71-21940.610.710.92-0.0094-408.61
9-27552.6323121152.179429.0528866.07-12791.02-250930.740.8-0.024-1197.94
10-35342.8223111247.8310024.8338089.29-12134.66-33440.510.830.76-0.029-1536.64
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
atrtrail-15.758644.172882028.5715904.660066.26-5929.63-12422.832.681.070.006308.72
atrtrail24.21-17318.232891932.1411145.1122404.39-6190.75-12422.831.80.85-0.019-618.51
atrnil36.46-23853.132862221.4321384.3633606.59-6916.33-12422.833.090.84-0.019-851.9
atrtrail35.07-27489.192882028.5711387.9333606.59-5929.63-12422.831.920.77-0.028-981.76
atrnil24.54-51695.33287212513630.3822404.39-7005.14-12422.831.950.65-0.054-1846.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.006, 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.
TECHM Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Jun 2019 (-2.21%), 25 Jun 2019 (5.92%), 26 Jul 2019 (0.08%)
2017623 May 2017 (-2.54%), 29 May 2017 (-3.96%), 27 Jun 2017 (-2.77%), 05 Jul 2017 (-2.31%), 03 Nov 2017 (-2.11%), 01 Dec 2017 (-2.81%)
2016407 Jan 2016 (-2.15%), 12 Jan 2016 (-1.76%), 21 Jan 2016 (-2.45%), 26 Sep 2016 (3.89%)
2015329 Jun 2015 (0.36%), 24 Aug 2015 (-3.57%), 25 Aug 2015 (-0.15%)
2014117 Jan 2014 (-2.53%)
2012130 Aug 2012 (-3.35%)
2011220 Jun 2011 (-3.69%), 05 Aug 2011 (-0.48%)
2010427 Jan 2010 (-5.65%), 28 Jan 2010 (7.16%), 31 Mar 2010 (14.09%), 20 May 2010 (2.09%)
2009207 Aug 2009 (-6.21%), 11 Sep 2009 (-4.71%)
2008104 Jan 2008 (30.03%)
2007124 Aug 2007 (-3.9%)



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