Study: Sell TVSMOTOR 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 TVSMOTOR 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 TVSMOTOR 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
113156.8732141843.756192.4515419.25-4085.42-13976.241.521.180.015411.15
2-24786.7432131940.629147.727951.15-7563.51-23060.81.210.83-0.017-774.59
3-38598.432141843.757384.0719737.99-7887.52-18581.080.940.73-0.029-1206.2
4-53043.432151746.886517.7221834.06-8871.13-18308.870.730.65-0.039-1657.61
5-42472.1832141843.757416.4717816.59-8127.93-18857.140.910.71-0.031-1327.26
6-81417.2432112134.389092.7120960.7-8639.86-29402.761.050.55-0.051-2544.29
7-90940.332112134.3811314.2726200.87-10257.01-40428.791.10.58-0.047-2841.88
8-10400632102231.2513255.7437729.26-10752.89-36447.171.230.56-0.05-3250.2
9-51261.8432141843.7510995.5342969.43-11399.96-46554.360.960.75-0.024-1601.93
10-62740.232151746.8810487.2333537.12-12944.04-33078.10.810.71-0.03-1960.63

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 43.75%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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-1113156.8732141843.756192.4515419.25-4085.42-13976.241.521.180.015411.15
atrnil25.14-15795.0836122433.3320008.8330777.28-10662.54-16762.881.880.94-0.0067-438.75
atrtrail23.69-20436.8236122433.3315444.2930777.28-8573.68-16218.071.80.9-0.01-567.69
atrnil310.16-56829.073172422.5828225.0236944.99-10600.18-16762.882.660.78-0.025-1833.2
atrtrail34.52-92317.0433102330.39701.2932422.98-8231.74-16218.071.180.51-0.063-2797.49
atrtrail-14.64-1178623392427.278374.3830772.61-8051.3-16218.071.040.39-0.089-3571.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 43.75%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
TVSMOTOR Performance, X=1, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jul 2019 (4.1%)
2018221 Feb 2018 (0.92%), 19 Mar 2018 (-1.38%)
2017111 Aug 2017 (-3.18%)
2016130 May 2016 (1.15%)
2015207 May 2015 (-2.46%), 24 Aug 2015 (-3.71%)
2013227 Feb 2013 (1.54%), 06 Aug 2013 (-0.51%)
2012205 Jan 2012 (2.61%), 10 Oct 2012 (0.97%)
2011206 Jan 2011 (4.17%), 27 Jan 2011 (6.38%)
2010121 Sep 2010 (1.32%)
2009210 Aug 2009 (-0.0%), 27 Oct 2009 (6.16%)
2008418 Mar 2008 (2.31%), 08 Apr 2008 (-2.3%), 23 May 2008 (2.79%), 10 Oct 2008 (-3.16%)
2007310 Jan 2007 (-0.57%), 31 Jan 2007 (-0.73%), 04 Apr 2007 (-1.07%)
2006219 Jul 2006 (-2.3%), 11 Dec 2006 (7.71%)
2005330 May 2005 (-5.79%), 14 Jun 2005 (-0.07%), 30 Jun 2005 (-6.99%)
2004109 Dec 2004 (1.25%)
2002227 Aug 2002 (-1.42%), 11 Sep 2002 (-0.59%)
2000110 Nov 2000 (-0.56%)



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