Study: Sell UNIONBANK 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 UNIONBANK 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 UNIONBANK 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
1-27729.17101515050.53960.6210920.9-4594.41-20498.080.860.88-0.012-274.55
237389.56101495248.516985.3122437.97-5863.28-18007.661.191.120.011370.19
3-28229.25101524951.497136.0727796.33-8149.08-24904.210.880.93-0.0073-279.5
4-30219.11101465545.549911.424874.79-8838.97-28130.561.120.94-0.0064-299.2
5-14722.34101475446.531084131751.64-9708.32-41979.251.120.97-0.0027-145.77
6-22387.35101515050.510579.7629309.2-11239.1-44692.740.940.96-0.004-221.66
78885.23101495248.5111877.2432090.05-11021.14-46927.371.081.020.001587.97
858902.96101515050.513166.9743257.56-12252.25-44629.081.071.10.0086583.2
928081.72101515050.514360.3349202.13-14085.9-53631.281.021.040.0038278.04
1045339.6910053475313545.2943191.49-14309.8-52035.120.951.070.0062453.4
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
atrnil25.56133420108426638.8918867.6835418.29-9985.19-20134.161.891.20.0211235.37
atrtrail23.963427.08111387334.2314755.2135239.8-7633.85-20134.161.931.010.0006230.87
atrnil39.46-11058.8395266927.3726967.0253127.44-10321.76-20134.162.610.98-0.0016-116.41
atrtrail34.65-69959.24111377433.3313197.2542910.7-7544.02-20134.161.750.87-0.012-630.26
atrtrail-15.12-86883.77111377433.3312739.8345699.05-7544.02-20134.161.690.84-0.016-782.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 38.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
UNIONBANK Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Jan 2019 (8.64%), 10 Jul 2019 (8.57%), 03 Sep 2019 (-6.09%)
2018911 Jan 2018 (-3.48%), 01 Feb 2018 (8.2%), 23 Apr 2018 (9.34%), 11 May 2018 (-4.67%), 20 Jun 2018 (8.05%), 16 Aug 2018 (-4.34%), 28 Aug 2018 (-4.21%), 04 Sep 2018 (9.07%), 23 Oct 2018 (-6.41%)
2017413 Feb 2017 (-4.73%), 07 Apr 2017 (-3.0%), 02 Aug 2017 (6.82%), 25 Sep 2017 (-3.24%)
2016805 Jan 2016 (6.32%), 12 Feb 2016 (-7.24%), 17 Feb 2016 (-7.34%), 07 Apr 2016 (-4.4%), 21 Jul 2016 (-3.89%), 13 Oct 2016 (-4.09%), 27 Oct 2016 (7.3%), 02 Dec 2016 (9.33%)
2015707 Jan 2015 (-3.94%), 28 Jan 2015 (8.55%), 24 Apr 2015 (7.89%), 04 Jun 2015 (9.32%), 24 Aug 2015 (-6.85%), 15 Oct 2015 (8.71%), 09 Dec 2015 (6.71%)
2014607 Jan 2014 (-4.07%), 10 Jan 2014 (8.39%), 09 Sep 2014 (-4.07%), 23 Sep 2014 (9.04%), 07 Nov 2014 (-4.04%), 15 Dec 2014 (-4.23%)
20131022 Feb 2013 (7.8%), 21 Mar 2013 (-4.42%), 09 Apr 2013 (-4.76%), 13 May 2013 (-3.97%), 21 Jun 2013 (9.73%), 17 Jul 2013 (12.2%), 30 Sep 2013 (-7.11%), 12 Nov 2013 (-5.53%), 21 Nov 2013 (-5.37%), 13 Dec 2013 (-4.2%)
2012617 Apr 2012 (8.55%), 07 May 2012 (8.23%), 04 Jun 2012 (-4.42%), 25 Jun 2012 (-3.87%), 17 Jul 2012 (5.98%), 29 Aug 2012 (-3.63%)
20111210 Jan 2011 (-4.12%), 14 Jan 2011 (-4.18%), 10 Feb 2011 (-3.61%), 24 Feb 2011 (-4.16%), 23 Mar 2011 (-3.19%), 25 May 2011 (-3.48%), 16 Jun 2011 (6.14%), 28 Jul 2011 (6.67%), 05 Oct 2011 (-5.61%), 07 Oct 2011 (-5.52%), 24 Oct 2011 (-6.62%), 13 Dec 2011 (10.44%)
2010514 Jan 2010 (-3.21%), 25 Jun 2010 (-3.44%), 29 Jul 2010 (-2.5%), 28 Oct 2010 (-3.78%), 07 Dec 2010 (10.41%)
2009407 Jan 2009 (13.37%), 17 Feb 2009 (11.45%), 24 Jul 2009 (12.14%), 26 Oct 2009 (-4.37%)
2008607 Feb 2008 (17.71%), 25 Jun 2008 (12.7%), 18 Aug 2008 (-7.88%), 15 Sep 2008 (-6.9%), 22 Oct 2008 (17.62%), 21 Nov 2008 (-8.79%)
2007619 Jan 2007 (7.86%), 22 Feb 2007 (9.24%), 01 Aug 2007 (-6.26%), 08 Oct 2007 (-6.48%), 18 Oct 2007 (15.13%), 22 Nov 2007 (-7.57%)
2006801 Feb 2006 (-5.12%), 17 Mar 2006 (-3.81%), 12 Apr 2006 (-3.94%), 26 Apr 2006 (8.44%), 15 May 2006 (-5.45%), 16 May 2006 (-5.58%), 19 Jul 2006 (-5.8%), 24 Nov 2006 (7.47%)
2005718 Feb 2005 (-4.53%), 18 Mar 2005 (9.25%), 18 Apr 2005 (10.38%), 29 Apr 2005 (-6.06%), 20 Jun 2005 (-3.33%), 21 Sep 2005 (-4.02%), 07 Oct 2005 (7.74%)
2004519 Feb 2004 (9.32%), 16 Mar 2004 (-4.32%), 14 Jun 2004 (-10.07%), 09 Jul 2004 (-6.79%), 12 Aug 2004 (-4.71%)
2003210 Jun 2003 (-7.58%), 10 Jul 2003 (-5.14%)



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