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

home > technical-strategy > titan > 26

In this study, we evaluate the performance of strategy "Sell TITAN 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 TITAN 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
1130370103485546.66251.6114568.16-3085.6-9952.282.031.770.0441265.73
287551.53103574655.346389.1120881.67-6013.65-23046.311.061.320.021850.01
344964.08103515249.517593.0424094.78-6582.32-38776.741.151.130.0093436.54
4207597103535051.4610513.3836570.98-6992.23-36106.621.51.590.0342015.51
5220815103525150.4912315.2955485.65-8227.05-36152.821.51.530.032143.84
6247783103544952.4313107.5251546.73-9388.23-44741.871.41.540.0322405.66
7155063103544952.4313066.1957111.02-11234.93-39961.761.161.280.0191505.47
896819.86103535051.4613170.1243566.02-12023.93-40152.961.11.160.011940
9165526103495447.5715321.9344712.15-10837.94-39196.941.411.280.0191607.05
1098163.74103564754.3713989.4647098.4-14579.7-59481.830.961.140.01953.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.77. 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 46.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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-11130370103485546.66251.6114568.16-3085.6-9952.282.031.770.0441265.73
atrnil26.13146520112456740.1817177.830788.01-9350.46-23652.681.841.230.0191308.22
atrtrail24.1687021.62117506742.741103430788.01-6935.5-23652.681.591.190.014743.77
atrtrail-15.1239081.69112476541.9610494.0146866.16-6986.72-23652.681.51.090.0059348.94
atrnil39.5931411.4103287527.1826279.5445539.31-9392.21-23652.682.81.040.0037304.97
atrtrail34.6514493.29113486542.489763.1335358.5-6986.72-23652.681.41.030.0024128.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 46.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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.
TITAN Performance, X=1, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 May 2019 (-0.34%), 06 Aug 2019 (1.74%), 05 Sep 2019 (-1.91%)
2018321 Jun 2018 (-1.05%), 24 Aug 2018 (-0.63%), 10 Oct 2018 (1.22%)
2017123 Oct 2017 (-0.33%)
2016416 Feb 2016 (5.96%), 29 Mar 2016 (-2.58%), 15 Sep 2016 (-0.3%), 07 Nov 2016 (-0.18%)
2015609 Jan 2015 (-1.05%), 21 Apr 2015 (-0.98%), 05 Jun 2015 (2.97%), 16 Jul 2015 (0.48%), 03 Sep 2015 (-1.76%), 30 Sep 2015 (-2.96%)
2014408 Jan 2014 (-0.49%), 27 Jan 2014 (-0.53%), 03 Nov 2014 (1.95%), 15 Dec 2014 (1.79%)
2013923 Jan 2013 (-0.6%), 08 Feb 2013 (-1.23%), 11 Mar 2013 (3.47%), 15 Apr 2013 (-2.11%), 20 May 2013 (-1.57%), 05 Jun 2013 (0.68%), 15 Oct 2013 (-3.18%), 07 Nov 2013 (3.16%), 13 Dec 2013 (-2.37%)
2012316 May 2012 (1.6%), 13 Jul 2012 (-1.84%), 01 Aug 2012 (-2.28%)
2011510 Jan 2011 (-0.38%), 07 Feb 2011 (6.25%), 22 Jul 2011 (-0.81%), 26 Sep 2011 (-2.61%), 01 Nov 2011 (-0.12%)
2009707 Jan 2009 (-0.03%), 22 Jan 2009 (-2.35%), 21 Apr 2009 (3.37%), 30 Jul 2009 (-1.37%), 22 Oct 2009 (-2.49%), 25 Nov 2009 (3.88%), 10 Dec 2009 (-0.09%)
2008515 Jan 2008 (2.31%), 07 Feb 2008 (5.37%), 04 Mar 2008 (-0.68%), 09 May 2008 (-3.22%), 14 Nov 2008 (2.94%)
2007213 Feb 2007 (-2.91%), 13 Dec 2007 (0.06%)
2006412 May 2006 (3.06%), 07 Jun 2006 (-3.54%), 18 Jul 2006 (-1.74%), 11 Dec 2006 (6.27%)
2005411 Apr 2005 (-3.89%), 02 May 2005 (-1.44%), 23 Sep 2005 (-4.59%), 10 Oct 2005 (-1.35%)
2004212 Mar 2004 (3.81%), 27 Apr 2004 (0.27%)
2003307 Mar 2003 (0.18%), 31 Mar 2003 (-2.37%), 07 May 2003 (-3.06%)
2002206 Sep 2002 (1.81%), 23 Oct 2002 (-0.19%)
2001306 Jun 2001 (5.54%), 30 Jul 2001 (-0.13%), 14 Sep 2001 (6.94%)
2000603 Mar 2000 (2.01%), 24 Apr 2000 (5.92%), 28 Jun 2000 (1.55%), 24 Jul 2000 (-1.38%), 18 Sep 2000 (2.14%), 18 Dec 2000 (4.4%)
1999622 Feb 1999 (1.55%), 26 Mar 1999 (3.38%), 28 May 1999 (-4.98%), 14 Jun 1999 (-1.8%), 02 Aug 1999 (7.28%), 31 Aug 1999 (2.27%)
1998513 Jan 1998 (-1.2%), 24 Apr 1998 (-2.32%), 27 May 1998 (2.94%), 27 Jul 1998 (0.9%), 10 Aug 1998 (0.8%)
1997717 Jan 1997 (6.04%), 10 Mar 1997 (6.47%), 26 May 1997 (2.12%), 24 Jun 1997 (-0.16%), 18 Sep 1997 (0.38%), 22 Oct 1997 (-0.93%), 12 Dec 1997 (2.35%)
1996609 Jan 1996 (-0.97%), 01 May 1996 (0.81%), 26 Jul 1996 (-0.0%), 26 Sep 1996 (6.95%), 06 Nov 1996 (-0.83%), 20 Nov 1996 (7.0%)
1995310 Apr 1995 (-0.68%), 26 Jun 1995 (5.19%), 20 Oct 1995 (0.47%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play