Study: Sell VEDL when RSI is below 50 and there is Bearish Crossover in MACD
home > technical-strategy > vedl > 26In this study, we evaluate the performance of strategy "Sell VEDL 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 VEDL 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 Days | Net Profit | Total Trades | Winning Trades | Losing Trades | % Profitable | Avg Winning Trade | Max Winning Trade | Avg Losing Trade | Max Losing Trade | Win/Loss Ratio | Profit Factor | Sharpe Ratio | Avg Trade |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | 5.61055e+06 | 138 | 99 | 39 | 71.74 | 58541.26 | 161956 | -4744.4 | -19789.13 | 12.34 | 31.32 | 0.12 | 40656.18 |
2 | -4.26191e+06 | 138 | 68 | 70 | 49.28 | 4449.5 | 22402.89 | -65206.86 | -697695 | 0.068 | 0.066 | -0.045 | -30883.44 |
3 | 4.37197e+06 | 138 | 92 | 46 | 66.67 | 51260.95 | 162186 | -7479.05 | -32603.41 | 6.85 | 13.71 | 0.1 | 31680.95 |
4 | -1.46283e+07 | 138 | 66 | 72 | 47.83 | 8093.43 | 38427.24 | -210590 | -2.62887e+06 | 0.038 | 0.035 | -0.047 | -106002 |
5 | 1.10264e+06 | 138 | 86 | 52 | 62.32 | 47790.55 | 160324 | -57833.52 | -597651 | 0.83 | 1.37 | 0.013 | 7990.18 |
6 | -4.30832e+07 | 138 | 60 | 78 | 43.48 | 11598.93 | 52556.63 | -561271 | -9.913e+06 | 0.021 | 0.016 | -0.042 | -312197 |
7 | -7.46558e+06 | 138 | 83 | 55 | 60.14 | 45942.26 | 160244 | -205069 | -2.50843e+06 | 0.22 | 0.34 | -0.026 | -54098.42 |
8 | -8.82349e+07 | 138 | 61 | 77 | 44.2 | 12991.33 | 59320.39 | -1.1562e+06 | -2.75407e+07 | 0.011 | 0.0089 | -0.035 | -639383 |
9 | -2.17138e+07 | 138 | 76 | 62 | 55.07 | 46180.41 | 160637 | -406830 | -7.83255e+06 | 0.11 | 0.14 | -0.029 | -157346 |
10 | -2.63512e+08 | 138 | 62 | 76 | 44.93 | 14875.97 | 76472.49 | -3.4794e+06 | -9.56836e+07 | 0.0043 | 0.0035 | -0.032 | -1.90951e+06 |
From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 31.32. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.74%, which is good. Average return per trade is 20.33%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.

Yearwise Summary of trades in above chart
Year | Number of Trades | Trade Dates |
---|---|---|
2020 | 3 | 21 Jan 2020 (0.45%), 24 Feb 2020 (0.38%), 07 Oct 2020 (4.42%) |
2019 | 6 | 24 Jan 2019 (-0.62%), 05 Jul 2019 (1.04%), 29 Jul 2019 (3.24%), 22 Aug 2019 (-6.47%), 03 Oct 2019 (0.76%), 14 Nov 2019 (1.32%) |
2018 | 10 | 05 Mar 2018 (0.78%), 03 May 2018 (1.59%), 18 Jun 2018 (3.4%), 12 Jul 2018 (0.45%), 16 Aug 2018 (-3.07%), 11 Sep 2018 (-1.8%), 08 Oct 2018 (-2.59%), 12 Nov 2018 (-1.21%), 10 Dec 2018 (-0.52%), 27 Dec 2018 (-1.81%) |
2017 | 4 | 11 Apr 2017 (-2.18%), 05 May 2017 (0.85%), 06 Jun 2017 (-1.66%), 14 Dec 2017 (-4.73%) |
2016 | 2 | 07 Jan 2016 (0.12%), 03 Feb 2016 (-9.89%) |
2015 | 7 | 14 Jan 2015 (-0.85%), 05 Mar 2015 (5.26%), 06 Jul 2015 (2.97%), 13 Aug 2015 (-3.58%), 30 Sep 2015 (1.53%), 02 Nov 2015 (-1.5%), 09 Dec 2015 (-1.03%) |
2014 | 7 | 27 Jan 2014 (-2.49%), 20 Feb 2014 (-0.4%), 13 Mar 2014 (0.75%), 26 Aug 2014 (1.6%), 23 Sep 2014 (-0.45%), 13 Nov 2014 (-1.97%), 01 Dec 2014 (-1.04%) |
2013 | 3 | 12 Mar 2013 (39.85%), 03 Jul 2013 (41.4%), 16 Aug 2013 (41.8%) |
2012 | 4 | 17 Jan 2012 (43.15%), 26 Jun 2012 (46.93%), 20 Sep 2012 (42.1%), 04 Dec 2012 (40.57%) |
2011 | 3 | 19 Jan 2011 (43.73%), 25 Feb 2011 (43.65%), 08 Sep 2011 (40.46%) |
2010 | 3 | 08 Jan 2010 (55.4%), 21 Jan 2010 (52.84%), 21 Apr 2010 (42.53%) |
2008 | 5 | 04 Jan 2008 (72.08%), 25 Feb 2008 (74.28%), 02 May 2008 (80.98%), 09 Jun 2008 (77.23%), 11 Jul 2008 (78.01%) |
2007 | 16 | 10 Jan 2007 (69.25%), 23 Feb 2007 (73.43%), 21 Mar 2007 (73.87%), 02 Apr 2007 (73.86%), 25 Apr 2007 (70.01%), 10 May 2007 (67.33%), 14 Jun 2007 (69.31%), 26 Jul 2007 (63.79%), 06 Aug 2007 (66.17%), 10 Sep 2007 (69.79%), 20 Sep 2007 (69.8%), 11 Oct 2007 (71.19%), 21 Nov 2007 (73.4%), 29 Nov 2007 (71.84%), 07 Dec 2007 (69.11%), 20 Dec 2007 (73.64%) |
2006 | 9 | 11 May 2006 (61.05%), 22 May 2006 (71.16%), 26 Jun 2006 (66.62%), 05 Jul 2006 (62.22%), 31 Aug 2006 (56.56%), 18 Sep 2006 (53.77%), 20 Oct 2006 (55.44%), 10 Nov 2006 (56.81%), 30 Nov 2006 (57.43%) |
2005 | 8 | 08 Apr 2005 (4.23%), 28 Apr 2005 (13.35%), 16 May 2005 (8.0%), 03 Jun 2005 (4.53%), 29 Jul 2005 (8.23%), 22 Sep 2005 (17.46%), 16 Nov 2005 (17.95%), 30 Nov 2005 (17.34%) |
2004 | 6 | 24 Feb 2004 (1.7%), 19 Apr 2004 (2.36%), 03 Aug 2004 (16.2%), 15 Sep 2004 (13.48%), 08 Oct 2004 (14.82%), 09 Nov 2004 (29.0%) |
2003 | 3 | 03 Jan 2003 (0.66%), 27 Jan 2003 (-3.79%), 04 Mar 2003 (1.92%) |
2002 | 7 | 11 Jan 2002 (-4.04%), 28 Jan 2002 (2.2%), 01 Mar 2002 (0.31%), 03 Apr 2002 (-2.32%), 20 May 2002 (2.88%), 24 Sep 2002 (1.83%), 17 Dec 2002 (0.76%) |
2001 | 6 | 14 May 2001 (4.02%), 06 Jun 2001 (5.44%), 20 Jun 2001 (3.88%), 27 Jul 2001 (-1.76%), 14 Sep 2001 (11.1%), 13 Dec 2001 (-2.72%) |
2000 | 6 | 25 Jan 2000 (-0.6%), 25 Apr 2000 (-6.17%), 19 May 2000 (-0.43%), 27 Jun 2000 (-0.99%), 21 Jul 2000 (6.97%), 19 Sep 2000 (-3.46%) |
1999 | 4 | 15 Jan 1999 (2.02%), 11 Mar 1999 (1.95%), 25 Oct 1999 (1.58%), 17 Dec 1999 (-1.03%) |
1998 | 3 | 18 Aug 1998 (1.08%), 08 Oct 1998 (0.96%), 28 Nov 1998 (1.73%) |
1997 | 3 | 17 Jan 1997 (-0.39%), 10 Mar 1997 (6.65%), 12 May 1997 (5.88%) |
1996 | 5 | 11 Mar 1996 (2.6%), 30 Apr 1996 (0.69%), 12 Jul 1996 (-0.38%), 12 Sep 1996 (6.99%), 27 Nov 1996 (-0.23%) |
1995 | 5 | 16 Jun 1995 (-7.64%), 05 Jul 1995 (0.27%), 28 Jul 1995 (-3.67%), 26 Sep 1995 (-0.72%), 20 Nov 1995 (-2.31%) |
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.- Stop Loss: When you enter a trade and the trade goes against you, a stop loss determines the maximum loss
you want to take in that trade and you will exit/cover/close positions at predetermined stop loss price.
There are many ways to determine a stop loss price, to analyse this strategy we use 4 following ways of
putting stop loss:
- atr: Fix the stop loss at average true range. If you are long i.e you have bought the stock/futures, use average true range lower band as stop loss and vice-versa if we had sold short.
- nil: No stop loss. We don't exit positions unless we reach the target or predetermined number of trading days have passed.
- 200: This is a special stop loss for strategies designed using 200 Simple Moving Average. If we are long, we set the stop loss at 1 percent below 200SMA and vice-versa.
- 50: This is a special stop loss for strategies developed using 50 Simple Moving Average.
- Adjusting Stop Loss: After entering a trade and calculating a stop loss, we can adjust stop loss
daily to make sure that we get partial returns even if price goes against us after moving in a favorable
direction initially. In the backtesting below, we use 2 adjustment techniques:
- trail: It is a widely used technique. It means that if stock has moved in a favorable direction, we also adjust/move stop loss in the favorable direction. For example, if we are long NIFTY futures, and NIFTY has moved up 2 percent today, then we also move up the stop loss. Important thing to note here is that stop loss never goes down when we are long and it never goes up when we are short.
- nil: No adjustment of stop loss on daily basis. Use the stop loss which was determined while entering the trade, if any.
- Target Price: When entering a trade, we can also define a target price. In the backtesting, we have used following
3 cases:
- 2: Target price is set such that reward to risk ratio is 2. That means we are taking x rupees of loss then we are setting target such that profit should be as low as 2x.
- 2: Target price is set such that reward to risk ratio is 3.
- -1: This means that we don't set any stop target price. Exit positions only if stop loss gets hit or predetermined number of trading days have passed
Stop Loss | Adjust Stop Loss | Target | Avg Holding Period | Net Profit | Total Trades | Winning Trades | Losing Trades | % Profitable | Avg Winning Trade | Max Winning Trade | Avg Losing Trade | Max Losing Trade | Win/Loss Ratio | Profit Factor | Sharpe Ratio | Avg Trade |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
nil | nil | -1 | 1 | 5.61055e+06 | 138 | 99 | 39 | 71.74 | 58541.26 | 161956 | -4744.4 | -19789.13 | 12.34 | 31.32 | 0.12 | 40656.18 |
atr | trail | -1 | 4.61 | 1.57085e+06 | 155 | 78 | 77 | 50.32 | 26381.39 | 87324.31 | -6323.37 | -22010.73 | 4.17 | 4.23 | 0.079 | 10134.51 |
atr | nil | 3 | 5.44 | -2.45987e+06 | 181 | 83 | 98 | 45.86 | 44270.2 | 143856 | -62594.85 | -391232 | 0.71 | 0.6 | -0.026 | -13590.44 |
atr | trail | 3 | 3.41 | -2.54193e+06 | 191 | 88 | 103 | 46.07 | 38944.08 | 143856 | -57951.54 | -391232 | 0.67 | 0.57 | -0.027 | -13308.54 |
atr | nil | 2 | 3.67 | -8.15509e+06 | 211 | 89 | 122 | 42.18 | 43329.21 | 144413 | -98454.05 | -471822 | 0.44 | 0.32 | -0.054 | -38649.74 |
atr | trail | 2 | 2.8 | -8.09769e+06 | 212 | 91 | 121 | 42.92 | 40716.13 | 144413 | -97544.3 | -471822 | 0.42 | 0.31 | -0.054 | -38196.66 |
In the table above, row 1 shows the best exit criterion. Profit factor is 31.32. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.74%, which is good. Average return per trade is 20.33%, which is very good.
Performance of strategy chart over time is same as above.
View performance of other stocks for this trading system.