Study: Sell TORNTPHARM when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM when RSI is above 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 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
1-20180105505547.622825.787649.33-2935.8-12076.270.960.88-0.011-192.19
2-44133.52104495547.124315.4927076.68-4647.14-28712.670.930.83-0.013-424.36
3-76554.62104455943.275812.1925853.66-5730.56-26330.311.010.77-0.02-736.1
4-36480.64104545051.925829.9826075.39-7025.99-40964.450.830.9-0.0082-350.78
5-42066.83104515349.047561.5336960.3-8069.9-60253.540.940.9-0.0071-404.49
6-79443.65104475745.198422.6145059.4-8338.71-81083.771.010.83-0.012-763.88
7-188753104475745.199693.9347725.3-11304.69-1036040.860.71-0.022-1814.93
8-243197104455943.2710249.6242683.28-11939.49-94655.730.860.65-0.028-2338.43
9-250689104465844.2311053.3354100.26-13088.66-80586.630.840.67-0.028-2410.47
10-387553104436141.3511701.0461402.49-14601.59-1014670.80.56-0.039-3726.47
Although, strategy looks good but profit factor on day 3 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
atrnil26.4-124273124349027.4217820.628658.69-8113.04-16788.492.20.83-0.017-1002.2
atrtrail24.7-138000124358928.2311775.9528658.69-6181.55-16788.491.910.75-0.024-1112.9
atrtrail-15.67-189144123339026.8311038.4854292.14-6149.04-16788.491.80.66-0.031-1537.76
atrtrail35.23-193695123339026.8310900.5641457.99-6149.04-16788.491.770.65-0.033-1574.76
atrnil38.38-3242041232010316.2626213.4542988.03-8237.6-16788.493.180.62-0.041-2635.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 27.42%, which is not acceptable. Avoid this strategy. Average return per trade is -0.5%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:0.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019424 Jan 2019 (4.82%), 16 Aug 2019 (-3.02%), 19 Aug 2019 (-3.24%), 11 Sep 2019 (-2.63%)
2018810 Jan 2018 (-2.59%), 25 Jan 2018 (5.33%), 07 May 2018 (5.77%), 27 Jun 2018 (-3.02%), 30 Aug 2018 (-2.41%), 31 Aug 2018 (-2.43%), 10 Dec 2018 (-3.03%), 27 Dec 2018 (-3.09%)
2017310 Apr 2017 (6.02%), 24 Jul 2017 (-3.28%), 03 Oct 2017 (-3.83%)
2016426 Apr 2016 (5.89%), 12 Aug 2016 (-2.8%), 06 Sep 2016 (-3.34%), 14 Sep 2016 (-3.56%)
2015613 Jan 2015 (-4.33%), 22 Apr 2015 (-4.07%), 27 May 2015 (-3.47%), 30 Jun 2015 (-2.95%), 25 Aug 2015 (-4.3%), 02 Nov 2015 (7.47%)
2014811 Feb 2014 (-3.76%), 25 Mar 2014 (-3.19%), 23 Apr 2014 (-3.49%), 16 May 2014 (-4.39%), 04 Jul 2014 (-3.09%), 13 Aug 2014 (-2.75%), 17 Sep 2014 (-3.15%), 09 Dec 2014 (-4.22%)
2013717 Jan 2013 (-2.49%), 25 Jun 2013 (-3.37%), 22 Jul 2013 (-2.62%), 23 Jul 2013 (5.55%), 07 Aug 2013 (7.95%), 27 Sep 2013 (6.44%), 19 Nov 2013 (-4.23%)
2012422 Feb 2012 (-2.77%), 13 Apr 2012 (-3.22%), 14 May 2012 (7.01%), 14 Aug 2012 (-3.09%)
2011921 Jan 2011 (-3.31%), 03 May 2011 (-3.19%), 12 May 2011 (-3.25%), 13 May 2011 (-3.26%), 23 May 2011 (-2.89%), 26 May 2011 (-3.05%), 27 Jun 2011 (-3.98%), 25 Jul 2011 (-2.79%), 26 Jul 2011 (6.14%)
2010915 Feb 2010 (9.45%), 12 Apr 2010 (-3.34%), 17 May 2010 (-3.56%), 15 Jun 2010 (-3.47%), 29 Jun 2010 (-3.43%), 23 Jul 2010 (-2.95%), 29 Sep 2010 (-3.53%), 12 Oct 2010 (-3.83%), 16 Dec 2010 (-3.57%)
20091028 Apr 2009 (-5.05%), 08 Jun 2009 (-6.94%), 08 Jul 2009 (-5.42%), 11 Aug 2009 (-5.27%), 12 Aug 2009 (-5.38%), 09 Sep 2009 (-5.28%), 09 Oct 2009 (-4.96%), 26 Oct 2009 (8.69%), 19 Nov 2009 (-4.71%), 11 Dec 2009 (8.94%)
2008512 May 2008 (-5.01%), 21 May 2008 (8.91%), 19 Aug 2008 (-4.85%), 08 Sep 2008 (8.58%), 09 Sep 2008 (9.89%)
2007329 Jan 2007 (-3.91%), 15 Feb 2007 (10.97%), 12 Jun 2007 (-5.93%)
2006516 Jan 2006 (-3.74%), 15 Feb 2006 (7.43%), 18 May 2006 (-6.63%), 19 May 2006 (14.33%), 13 Dec 2006 (-6.31%)
2005523 Aug 2005 (-4.43%), 23 Sep 2005 (-4.14%), 29 Sep 2005 (-4.38%), 11 Oct 2005 (-4.73%), 24 Nov 2005 (-2.83%)
2004417 Aug 2004 (-4.74%), 12 Oct 2004 (-3.32%), 01 Dec 2004 (-3.7%), 31 Dec 2004 (10.25%)
2003822 Jan 2003 (7.45%), 29 May 2003 (-3.87%), 06 Jun 2003 (-4.18%), 09 Jun 2003 (-4.07%), 14 Jul 2003 (11.86%), 20 Aug 2003 (-5.61%), 15 Sep 2003 (-6.65%), 29 Dec 2003 (9.21%)
2002413 Mar 2002 (-5.66%), 17 Apr 2002 (10.75%), 23 Jul 2002 (10.56%), 20 Nov 2002 (7.65%)
2001226 Nov 2001 (-3.89%), 06 Dec 2001 (-4.98%)
2000107 Feb 2000 (13.82%)
1999818 Jan 1999 (9.6%), 17 Mar 1999 (-6.03%), 18 Mar 1999 (11.87%), 27 Jul 1999 (-4.69%), 28 Jul 1999 (-4.71%), 02 Sep 1999 (-7.79%), 15 Oct 1999 (-8.39%), 26 Nov 1999 (14.12%)
1998321 Apr 1998 (-6.04%), 24 Apr 1998 (12.77%), 24 Dec 1998 (-3.52%)
1997322 Jan 1997 (9.52%), 21 Jul 1997 (-4.89%), 19 Aug 1997 (7.95%)
1996109 May 1996 (-3.85%)



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