Study: Sell TITAN 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 TITAN 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 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
131023.5433161748.486781.6714568.16-4557.83-14840.991.491.40.027940.11
217177.133191457.586772.9617948.6-7964.94-23046.310.851.150.011520.52
312448.7533141942.4210440.3924094.78-7037.72-19285.831.481.090.0071377.23
447336.533171651.5210582.6634340.04-8285.55-23712.121.281.360.0231434.44
550170.733161748.4813207.1637919.46-9479.05-25221.541.391.310.0211520.32
644532.1733161748.4814581.9748505.82-11104.67-29175.191.311.240.0161349.46
7-30282.0333161748.4811711.0840039.93-12803.48-31450.090.910.86-0.012-917.64
8-25320.8133171651.5212261.8739640.6-14610.79-37853.110.840.89-0.0093-767.3
98457.5433141942.4214589.2944712.15-10304.87-28060.261.421.040.0033256.29
10-65400.7833151845.4511788.1429111.48-13456.82-40986.030.880.73-0.025-1981.84

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.4. 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 48.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1131023.5433161748.486781.6714568.16-4557.83-14840.991.491.40.027940.11
atrtrail23.41-35070.7737132435.1413027.6830788.01-8517.94-23652.681.530.83-0.015-947.86
atrnil26.26-45644.1634112332.3519053.7830788.01-11097.21-23652.681.720.82-0.018-1342.48
atrtrail33.77-10009035112431.439596.4125325.55-8568.77-23652.681.120.51-0.054-2859.71
atrnil39.81-1598863252715.6227935.845038.01-11095-23652.682.520.47-0.065-4996.44
atrtrail-14.23-11079335112431.438623.4521821.87-8568.77-23652.681.010.46-0.064-3165.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 48.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, X=1, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020107 May 2020 (1.91%)
2019306 May 2019 (-0.34%), 06 Aug 2019 (1.74%), 05 Sep 2019 (-1.91%)
2018110 Oct 2018 (1.22%)
2016110 Nov 2016 (4.12%)
2015130 Sep 2015 (-2.96%)
2013123 Jan 2013 (-0.6%)
2009321 Apr 2009 (3.37%), 30 Jul 2009 (-1.37%), 22 Oct 2009 (-2.49%)
2008207 Feb 2008 (5.37%), 04 Mar 2008 (-0.68%)
2006212 May 2006 (3.06%), 07 Jun 2006 (-3.54%)
2005123 Sep 2005 (-4.59%)
2003207 Mar 2003 (0.18%), 31 Mar 2003 (-2.37%)
2002206 Sep 2002 (1.81%), 23 Oct 2002 (-0.19%)
2001206 Jun 2001 (5.54%), 14 Sep 2001 (6.94%)
2000203 Mar 2000 (2.01%), 25 Apr 2000 (-7.42%)
1999328 May 1999 (-4.98%), 14 Jun 1999 (-1.8%), 02 Aug 1999 (7.28%)
1998213 Jan 1998 (-1.2%), 24 Apr 1998 (-2.32%)
1997218 Sep 1997 (0.38%), 12 Dec 1997 (2.35%)
1996226 Jul 1996 (-0.0%), 26 Sep 1996 (6.95%)



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