Study: Sell ULTRACEMCO when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ULTRACEMCO when RSI is below 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 ULTRACEMCO 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
1-55140.3873324143.842792.766928.28-3524.6-28255.360.790.62-0.04-755.35
2-14353973294439.734417.7613374.15-6173.95-31182.30.720.47-0.067-1966.28
3-11895673304341.15767.9918789.73-6790.59-29707.310.850.59-0.05-1629.53
4-93353.473324143.846094.6419905.55-7033.71-31689.330.870.68-0.037-1278.81
5-11208473343946.586154.5421465.37-8239.45-35561.190.750.65-0.04-1535.4
6-12537473284538.368207.1820014.13-7892.77-28808.481.040.65-0.043-1717.45
7-15199673284538.367667.8925938.79-8148.83-35791.660.940.59-0.05-2082.14
8-12989573304341.18396.0925624.22-8878.55-39986.170.950.66-0.039-1779.38
9-10684973334045.219041.1235151.83-10130.15-40608.440.890.74-0.029-1463.69
10-17578973353847.958967.0844611.43-12885.17-47428.890.70.64-0.041-2408.06
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
atrnil25.37-16289284236127.3812879.525650-7526.56-24488.131.710.65-0.051-1939.19
atrnil37.28-20594680156518.7518652.6238475-7472.86-24488.132.50.58-0.06-2574.33
atrtrail23.71-15998085246128.249052.2519941.81-6184.17-20451.761.460.58-0.059-1882.12
atrtrail34.14-18903783236027.717756.8429138.16-6124.08-20451.761.270.49-0.076-2277.56
atrtrail-14.45-19620883236027.717445.0622385.84-6124.08-20451.761.220.47-0.081-2363.95

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. 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.
ULTRACEMCO Performance, Profit Factor:0.645

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 Jul 2019 (-2.42%), 24 Jul 2019 (4.8%), 04 Sep 2019 (-3.48%), 07 Oct 2019 (-3.67%), 09 Oct 2019 (-3.6%), 29 Oct 2019 (-3.09%)
20181002 Jan 2018 (-1.88%), 19 Jan 2018 (-2.16%), 19 Mar 2018 (-2.32%), 04 May 2018 (-2.17%), 10 May 2018 (-2.16%), 17 May 2018 (4.55%), 21 Jun 2018 (-2.16%), 04 Sep 2018 (4.83%), 06 Dec 2018 (-2.67%), 24 Dec 2018 (-2.71%)
2017225 Jul 2017 (4.24%), 22 Sep 2017 (3.7%)
2016226 Feb 2016 (-2.82%), 14 Dec 2016 (5.89%)
2015710 Mar 2015 (7.0%), 20 Apr 2015 (6.07%), 03 Jun 2015 (-3.19%), 22 Sep 2015 (6.39%), 05 Nov 2015 (-2.56%), 06 Nov 2015 (-3.11%), 22 Dec 2015 (4.54%)
2014428 Aug 2014 (-2.61%), 15 Sep 2014 (-2.58%), 20 Nov 2014 (-2.53%), 17 Dec 2014 (-2.41%)
2013909 Jan 2013 (4.65%), 28 Jan 2013 (5.46%), 27 Feb 2013 (-2.53%), 28 Feb 2013 (-2.89%), 20 Mar 2013 (-2.55%), 21 Mar 2013 (5.15%), 23 Jul 2013 (5.1%), 05 Dec 2013 (-2.51%), 13 Dec 2013 (5.54%)
2012302 Jan 2012 (-2.87%), 05 Jan 2012 (-3.09%), 27 Dec 2012 (-2.51%)
20111006 Jan 2011 (-3.29%), 01 Feb 2011 (9.0%), 09 Feb 2011 (-4.89%), 06 Jun 2011 (-2.81%), 17 Jun 2011 (-3.26%), 08 Aug 2011 (-2.64%), 09 Aug 2011 (-2.76%), 18 Aug 2011 (-2.96%), 18 Nov 2011 (-2.66%), 13 Dec 2011 (-3.26%)
2010421 Jan 2010 (-3.54%), 25 Jun 2010 (6.02%), 28 Jun 2010 (6.92%), 02 Dec 2010 (-3.4%)
2009213 Jan 2009 (-8.03%), 14 Sep 2009 (-3.9%)
2008808 Jan 2008 (8.25%), 12 Feb 2008 (-7.19%), 07 Mar 2008 (-6.33%), 14 Mar 2008 (12.83%), 05 Jun 2008 (-5.59%), 23 Jun 2008 (-6.08%), 21 Aug 2008 (-4.92%), 24 Nov 2008 (-12.24%)
20071023 Jan 2007 (-5.18%), 09 Feb 2007 (9.71%), 04 Apr 2007 (-6.93%), 21 May 2007 (-4.7%), 07 Jun 2007 (-3.91%), 27 Jun 2007 (-3.04%), 27 Jul 2007 (-4.29%), 19 Oct 2007 (-6.84%), 29 Nov 2007 (-4.87%), 20 Dec 2007 (-4.98%)
2006217 Jul 2006 (9.97%), 17 Nov 2006 (-3.23%)
2005512 Jan 2005 (-4.84%), 26 Apr 2005 (-3.76%), 17 May 2005 (7.52%), 24 Aug 2005 (-3.96%), 23 Dec 2005 (-4.0%)



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