Study: Sell UNIONBANK 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 UNIONBANK 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 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
1-49578.6534151944.124231.9910920.9-5950.45-20498.080.710.56-0.051-1458.2
27924.9634181652.947185.3818246.36-7588.24-18007.660.951.070.0065233.09
3-36682.9334191555.886323.2513134.54-10454.98-24904.210.60.77-0.028-1078.91
4-34386.534151944.1211104.4124175.82-10576.45-28130.561.050.83-0.019-1011.37
5-64427.7534161847.0611485.5731751.64-13788.71-41979.250.830.74-0.029-1894.93
6-53308.143417175010982.3924078.75-14118.16-44692.740.780.78-0.024-1567.89
73183.8534161847.0613844.7128480-12129.53-46927.371.141.010.001393.64
837273.053417175014987.7141483.04-12795.18-44629.081.171.170.0151096.27
949297.3934191555.8816313.1242392.44-17376.79-53631.280.941.190.0171449.92
1047703.893417175018281.3140083.95-15475.2-52035.121.181.180.0161403.06
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
atrnil24.7951012.6439162341.0319601.7230256.94-11418.04-20134.161.721.190.021308.02
atrnil311.47-26442.7236102627.7827320.7536613.75-11525.01-20134.162.370.91-0.01-734.52
atrtrail23.63-34568.1841132831.7116166.2430256.94-8740.33-20134.161.850.86-0.015-843.13
atrtrail34.24-82279.3341132831.7112496.1536613.75-8740.33-20134.161.430.66-0.038-2006.81
atrtrail-14.66-92086.5341132831.7111741.7536441.68-8740.33-20134.161.340.62-0.045-2246.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 41.03%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Jan 2019 (8.64%), 03 Sep 2019 (-6.09%), 01 Oct 2019 (-6.34%)
2018511 Jan 2018 (-3.48%), 01 Feb 2018 (8.2%), 23 Apr 2018 (9.34%), 16 Aug 2018 (-4.34%), 23 Oct 2018 (-6.41%)
2017113 Feb 2017 (-4.73%)
2016305 Jan 2016 (6.32%), 12 Feb 2016 (-7.24%), 17 Feb 2016 (-7.34%)
2015324 Apr 2015 (7.89%), 04 Jun 2015 (9.32%), 24 Aug 2015 (-6.85%)
2013322 Feb 2013 (7.8%), 22 Mar 2013 (-4.4%), 17 Jul 2013 (12.2%)
2012204 Jun 2012 (-4.42%), 29 Aug 2012 (-3.63%)
2011510 Jan 2011 (-4.12%), 14 Jan 2011 (-4.18%), 05 Oct 2011 (-5.61%), 07 Oct 2011 (-5.52%), 13 Dec 2011 (10.44%)
2010107 Dec 2010 (10.41%)
2009216 Feb 2009 (10.94%), 26 Oct 2009 (-4.37%)
2008125 Jun 2008 (12.7%)
2007519 Jan 2007 (7.86%), 22 Feb 2007 (9.24%), 01 Aug 2007 (-6.26%), 08 Oct 2007 (-6.48%), 18 Oct 2007 (15.13%)
2006119 Jul 2006 (-5.8%)
2005218 Apr 2005 (10.38%), 29 Apr 2005 (-6.06%)
2004114 Jun 2004 (-10.07%)
2003110 Jun 2003 (-7.58%)



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