Study: Sell TORNTPHARM 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 TORNTPHARM 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 TORNTPHARM 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
1-49791.7544192543.183082.9413133.1-4334.71-12232.780.710.54-0.046-1131.63
2-12166544162836.363122.549113.87-6129.47-17968.210.510.29-0.096-2765.1
3-14163544152934.093925.1613795.18-6914.22-25794.120.570.29-0.094-3218.98
4-14341744172738.643953.619599.53-7801.05-22593.740.510.32-0.092-3259.47
5-14355144162836.364486.339372.6-7690.45-18329.470.580.33-0.088-3262.53
6-14633644172738.644487.4713469.91-8245.3-21780.840.540.34-0.085-3325.82
7-13641944182640.914411.6812035.85-8301.12-24242.420.530.37-0.077-3100.43
8-14553244182640.914790.118335.47-8913.59-34306.040.540.37-0.071-3307.54
9-10955744192543.187592.2742612.04-10152.41-35674.420.750.57-0.041-2489.93
10-71034.6744202445.458835.2863918.05-10322.51-33023.260.860.71-0.023-1614.42
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
atrnil27.8-30186850743141524122751.82-9501.28-18117.721.60.26-0.14-6037.36
atrtrail24.77-2772985284415.385724.4616820.77-7343.04-16842.570.780.14-0.18-5332.66
atrtrail34.9-2893865284415.384213.4914451.83-7343.04-16842.570.570.1-0.21-5565.11
atrtrail-14.9-2893865284415.384213.4914451.83-7343.04-16842.570.570.1-0.21-5565.11
atrnil310.71-395880482464.1719263.3225231.16-9443.62-18117.722.040.089-0.27-8247.5

In the table above, row 1 shows the best exit criterion. Profit factor is 0.26. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:0.261

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Apr 2019 (4.43%)
2018329 Jan 2018 (5.73%), 08 May 2018 (-2.94%), 28 Jun 2018 (-3.17%)
2017126 Oct 2017 (-3.92%)
2016509 Feb 2016 (7.72%), 25 Feb 2016 (-4.23%), 17 Mar 2016 (-3.09%), 13 Jun 2016 (-3.03%), 19 Dec 2016 (-3.19%)
2015221 Apr 2015 (-4.11%), 24 Aug 2015 (-3.95%)
2014122 Apr 2014 (-3.59%)
2013116 Dec 2013 (-4.45%)
2012327 Jan 2012 (-3.17%), 23 Feb 2012 (-2.85%), 15 May 2012 (7.58%)
2011124 Jun 2011 (-4.0%)
2010213 Oct 2010 (-3.92%), 13 Dec 2010 (-4.07%)
2009512 Jan 2009 (-7.23%), 20 Feb 2009 (-5.83%), 03 Mar 2009 (-5.63%), 04 Mar 2009 (-5.42%), 13 Mar 2009 (-5.82%)
2008308 Jan 2008 (-4.73%), 12 Feb 2008 (-8.42%), 20 Nov 2008 (-9.06%)
2007114 Feb 2007 (11.38%)
2006219 Apr 2006 (-5.18%), 18 Jul 2006 (-6.08%)
2005417 Feb 2005 (-4.12%), 08 Mar 2005 (-4.56%), 09 Mar 2005 (-4.8%), 29 Apr 2005 (-4.39%)
2004130 Apr 2004 (-4.11%)
2003107 Mar 2003 (-4.01%)
2002121 Nov 2002 (-3.87%)
2001121 Dec 2001 (-7.11%)
1998212 Jan 1998 (-3.97%), 13 Jan 1998 (8.09%)
1997421 Jan 1997 (-4.93%), 28 Oct 1997 (-4.16%), 29 Oct 1997 (-4.11%), 04 Nov 1997 (8.41%)
1996510 May 1996 (-4.62%), 25 Jun 1996 (-7.56%), 28 Nov 1996 (-6.01%), 04 Dec 1996 (-6.33%), 18 Dec 1996 (-4.53%)



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