Study: Sell TVSMOTOR 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 TVSMOTOR 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 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
1-10623788325636.364375.4616089.8-4397.35-12594.4610.57-0.049-1207.23
2-14854.4788424647.735583.5920827.03-5420.98-17632.241.030.94-0.0053-168.8
3-19076488335537.56308.5525070.16-7253.56-25188.920.870.52-0.056-2167.77
4-26419888325636.366733.8417391.3-8565.74-28715.370.790.45-0.07-3002.25
5-28165188365240.917444.9919491.74-10570.59-35114.750.70.49-0.062-3200.58
6-23921088414746.597811.5327517.75-11903.89-36786.890.660.57-0.047-2718.3
7-27461788404845.457945.5127209.72-12342.46-56520.490.640.54-0.051-3120.65
8-30792787404745.988669.3230683.67-13929.79-48208.660.620.53-0.054-3539.4
9-43551087365141.388709.6723331.14-14687.42-49756.380.590.42-0.077-5005.87
10-42590387365141.3810903.229846.53-16047.42-56348.520.680.48-0.065-4895.44
Although, strategy looks good but profit factor on day 1 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
atrnil25.05-13625610028722817430.5229371.92-8670.98-19149.732.010.78-0.025-1362.56
atrtrail23.78-109952101307129.711975.5729371.92-6608.72-18076.611.810.77-0.025-1088.63
atrnil36.48-21802710020802024386.6539321.9-8822-19149.732.760.69-0.036-2180.27
atrtrail34.04-168496101297228.7110427.336052.31-6540.1-18076.611.590.64-0.039-1668.28
atrtrail-14.51-2412651002872288110.5622754.41-6505.01-18076.611.250.48-0.069-2412.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 28%, which is not acceptable. Avoid this strategy. Average return per trade is -0.68%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, Profit Factor:0.782

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Oct 2019 (-4.8%)
2018226 Sep 2018 (6.16%), 26 Dec 2018 (-2.89%)
20171223 Jan 2017 (-2.64%), 03 Feb 2017 (-2.61%), 22 Mar 2017 (-2.18%), 05 May 2017 (-2.57%), 08 May 2017 (-2.53%), 24 May 2017 (-2.2%), 25 Jul 2017 (-2.19%), 10 Aug 2017 (4.47%), 22 Sep 2017 (-2.23%), 23 Oct 2017 (-1.94%), 02 Nov 2017 (-2.12%), 01 Dec 2017 (-2.16%)
2016804 Jan 2016 (-2.58%), 10 Feb 2016 (7.6%), 08 Apr 2016 (-2.77%), 25 Apr 2016 (5.87%), 20 Jul 2016 (-2.41%), 15 Sep 2016 (-2.8%), 24 Oct 2016 (-2.43%), 30 Oct 2016 (5.77%)
2015322 Jan 2015 (-3.79%), 20 Jul 2015 (6.32%), 28 Dec 2015 (-2.7%)
20141109 Jan 2014 (-5.34%), 07 Mar 2014 (-3.62%), 02 Apr 2014 (7.46%), 04 Jun 2014 (-5.33%), 09 Jul 2014 (-5.1%), 10 Jul 2014 (-5.2%), 22 Jul 2014 (-5.25%), 25 Aug 2014 (-4.54%), 17 Sep 2014 (-5.32%), 07 Nov 2014 (6.98%), 23 Dec 2014 (-4.79%)
2013317 Jan 2013 (8.31%), 14 May 2013 (-4.66%), 29 Oct 2013 (-4.76%)
2012324 Jul 2012 (-4.54%), 23 Aug 2012 (-3.77%), 24 Aug 2012 (7.63%)
2011313 Apr 2011 (-4.28%), 22 Sep 2011 (-4.95%), 08 Nov 2011 (8.19%)
20101122 Jan 2010 (10.62%), 30 Mar 2010 (-4.48%), 16 Apr 2010 (-3.88%), 14 May 2010 (11.79%), 15 Jun 2010 (-4.86%), 16 Jul 2010 (-4.37%), 06 Aug 2010 (-4.01%), 09 Aug 2010 (-4.15%), 20 Sep 2010 (7.48%), 11 Oct 2010 (-4.49%), 19 Nov 2010 (-4.95%)
2009525 Mar 2009 (-6.99%), 26 May 2009 (-9.04%), 15 Jun 2009 (-9.57%), 07 Aug 2009 (14.69%), 07 Oct 2009 (-5.78%)
2008314 May 2008 (13.11%), 19 Aug 2008 (-5.98%), 11 Sep 2008 (8.94%)
2007221 May 2007 (-3.84%), 24 Dec 2007 (-7.04%)
2006615 Feb 2006 (-4.0%), 20 Feb 2006 (-3.99%), 09 Mar 2006 (-4.54%), 20 Apr 2006 (13.73%), 26 Sep 2006 (-4.52%), 09 Oct 2006 (8.37%)
2005613 Jun 2005 (7.13%), 01 Jul 2005 (-4.69%), 01 Aug 2005 (-5.01%), 27 Sep 2005 (-5.31%), 13 Oct 2005 (9.24%), 02 Dec 2005 (-4.29%)
2004409 Sep 2004 (-4.79%), 14 Sep 2004 (-4.74%), 07 Oct 2004 (7.83%), 08 Dec 2004 (9.11%)
2003922 Jan 2003 (5.65%), 05 Jun 2003 (-3.74%), 08 Jul 2003 (-3.82%), 18 Sep 2003 (-4.97%), 14 Oct 2003 (-4.35%), 14 Nov 2003 (8.23%), 15 Nov 2003 (-5.38%), 09 Dec 2003 (-4.33%), 29 Dec 2003 (-4.87%)
2002615 Feb 2002 (-5.56%), 28 Feb 2002 (-5.88%), 02 Apr 2002 (-5.19%), 10 May 2002 (9.75%), 15 Jul 2002 (12.02%), 12 Dec 2002 (-3.78%)
2001222 Feb 2001 (11.58%), 06 Dec 2001 (-7.0%)



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