Study: Sell ULTRACEMCO 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 ULTRACEMCO 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 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
1-28044.4772324044.442915.7711213.54-3033.73-12614.240.960.77-0.024-389.51
2-6328.8872353748.614266.719003.78-4207.11-15190.921.010.96-0.004-87.9
3-10939172304241.674657.3919092.06-5931.26-19644.590.790.56-0.056-1519.32
4-13851172284438.896142.2718764.19-7056.69-20764.670.870.55-0.059-1923.76
5-18094372274537.57181.1115406.68-8329.63-20893.910.860.52-0.07-2513.1
6-22961372274537.57627.4316799.84-9678.97-32280.10.790.47-0.078-3189.07
7-28542672254734.729394.0720687.51-11069.74-32029.020.850.45-0.083-3964.25
8-23208872284438.898878.4830359.92-10924.67-29830.730.810.52-0.068-3223.44
9-22748672333945.837791.7825870.34-12426.03-37522.890.630.53-0.064-3159.53
10-22427472333945.838163.328788.83-12658.02-34642.450.640.55-0.062-3114.92
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
atrnil26.0247906.0388305834.0913779.926301.61-6301.57-13811.662.191.130.014544.39
atrnil39.7937251.4786226425.5820208.7538215.26-6364.7-13811.663.181.090.0091433.16
atrtrail24.126518.9488315735.2310559.0226301.61-5277.38-13811.6621.090.0088301.35
atrtrail34.71-85410.4886285832.567976.0228036.86-5323.09-13811.661.50.72-0.034-993.15
atrtrail-14.87-94505.8486285832.567651.1923140.25-5323.09-13811.661.440.69-0.039-1098.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 34.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
ULTRACEMCO Performance, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Mar 2019 (-2.45%), 09 May 2019 (-2.12%), 03 Jun 2019 (4.99%)
2018803 Jan 2018 (-1.84%), 07 May 2018 (-2.14%), 19 Jul 2018 (-2.56%), 16 Aug 2018 (-2.39%), 24 Aug 2018 (-2.28%), 03 Sep 2018 (4.3%), 07 Dec 2018 (5.21%), 26 Dec 2018 (5.48%)
2017614 Feb 2017 (-2.04%), 24 Mar 2017 (-1.74%), 10 Apr 2017 (-1.77%), 18 May 2017 (3.97%), 09 Nov 2017 (-2.09%), 10 Nov 2017 (4.28%)
20161105 Apr 2016 (-2.41%), 06 Apr 2016 (-2.41%), 25 Apr 2016 (5.73%), 22 Jun 2016 (-2.07%), 07 Jul 2016 (-2.15%), 04 Aug 2016 (-1.89%), 11 Aug 2016 (-2.23%), 24 Aug 2016 (-2.29%), 12 Sep 2016 (-2.43%), 14 Sep 2016 (-2.45%), 21 Oct 2016 (4.02%)
2015203 Feb 2015 (-2.72%), 27 Jul 2015 (-2.79%)
2014521 Mar 2014 (-2.34%), 17 Apr 2014 (4.76%), 20 Jun 2014 (6.7%), 01 Sep 2014 (-2.61%), 12 Sep 2014 (5.09%)
2013322 May 2013 (-2.5%), 24 Jul 2013 (5.02%), 22 Oct 2013 (6.48%)
2012823 Mar 2012 (6.06%), 18 Jul 2012 (-2.32%), 03 Aug 2012 (-1.82%), 29 Aug 2012 (3.86%), 13 Sep 2012 (-2.12%), 14 Sep 2012 (-2.11%), 17 Oct 2012 (5.47%), 28 Dec 2012 (-2.4%)
2011311 Apr 2011 (6.44%), 27 Sep 2011 (-3.16%), 17 Nov 2011 (-2.7%)
2010620 Jan 2010 (6.64%), 17 Mar 2010 (5.6%), 18 Mar 2010 (-3.15%), 01 Sep 2010 (-2.79%), 08 Oct 2010 (-3.32%), 19 Oct 2010 (-2.94%)
20091002 Feb 2009 (-6.91%), 17 Feb 2009 (-5.11%), 18 Mar 2009 (-6.34%), 13 Apr 2009 (-5.49%), 23 Apr 2009 (-5.36%), 11 Jun 2009 (13.15%), 06 Aug 2009 (9.22%), 07 Aug 2009 (-5.18%), 20 Oct 2009 (9.15%), 29 Dec 2009 (-3.35%)
2007709 Jan 2007 (-3.74%), 22 Jan 2007 (9.58%), 16 May 2007 (-4.07%), 22 May 2007 (-4.58%), 26 Jul 2007 (7.7%), 08 Oct 2007 (-4.13%), 18 Oct 2007 (12.36%)
2006523 Mar 2006 (-3.64%), 03 May 2006 (12.74%), 25 Aug 2006 (-3.41%), 12 Sep 2006 (-2.92%), 05 Oct 2006 (-3.42%)
20051111 Jan 2005 (-4.74%), 17 Feb 2005 (9.08%), 15 Mar 2005 (7.52%), 21 Jul 2005 (-4.09%), 01 Aug 2005 (-4.22%), 08 Aug 2005 (-4.05%), 25 Aug 2005 (-3.95%), 09 Sep 2005 (-3.57%), 26 Sep 2005 (-4.94%), 29 Sep 2005 (9.35%), 30 Nov 2005 (6.76%)



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