Study: Sell VEDL 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 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 DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
15.60006e+06135963971.1160261.33161956-4744.4-19789.1312.731.270.1341481.89
2-4.26928e+06134656948.514536.4722402.89-66147.18-6976950.0690.065-0.046-31860.33
34.32459e+06134894566.4252427.29162186-7587.49-32603.416.9113.670.1132273.07
4-1.47057e+07134627246.277367.8430813.95-210590-2.62887e+060.0350.03-0.049-109744
51.00678e+06134825261.1948952.76160324-57833.52-5976510.851.330.0127513.31
6-4.31673e+07134567841.7910924.2452556.63-561271-9.913e+060.0190.014-0.043-322144
7-7.54635e+06134805459.746618.18160244-208811-2.50843e+060.220.33-0.027-56316.04
8-8.83215e+07134587643.2812144.459320.39-1.17139e+06-2.75407e+070.010.0079-0.037-659115
9-2.18067e+07134736154.4846749.12160637-413432-7.83255e+060.110.14-0.03-162736
10-2.63627e+08134597544.0313613.9476472.49-3.52573e+06-9.56836e+070.00390.003-0.033-1.96736e+06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 31.27. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.11%, which is good. Average return per trade is 20.74%, 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.
VEDL Performance, X=1, Profit Factor:31.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019624 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%)
20181005 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%)
2017411 Apr 2017 (-2.18%), 05 May 2017 (0.85%), 06 Jun 2017 (-1.66%), 14 Dec 2017 (-4.73%)
2016207 Jan 2016 (0.12%), 03 Feb 2016 (-9.89%)
2015714 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%)
2014727 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%)
2013312 Mar 2013 (39.85%), 03 Jul 2013 (41.4%), 16 Aug 2013 (41.8%)
2012417 Jan 2012 (43.15%), 26 Jun 2012 (46.93%), 20 Sep 2012 (42.1%), 04 Dec 2012 (40.57%)
2011319 Jan 2011 (43.73%), 25 Feb 2011 (43.65%), 08 Sep 2011 (40.46%)
2010308 Jan 2010 (55.4%), 21 Jan 2010 (52.84%), 21 Apr 2010 (42.53%)
2008504 Jan 2008 (72.08%), 25 Feb 2008 (74.28%), 02 May 2008 (80.98%), 09 Jun 2008 (77.23%), 11 Jul 2008 (78.01%)
20071610 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%)
2006911 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%)
2005808 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%)
2004624 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%)
2003303 Jan 2003 (0.66%), 27 Jan 2003 (-3.79%), 04 Mar 2003 (1.92%)
2002711 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%)
2001614 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%)
2000625 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%)
1999415 Jan 1999 (2.02%), 11 Mar 1999 (1.95%), 25 Oct 1999 (1.58%), 17 Dec 1999 (-1.03%)
1998318 Aug 1998 (1.08%), 08 Oct 1998 (0.96%), 28 Nov 1998 (1.73%)
1997317 Jan 1997 (-0.39%), 10 Mar 1997 (6.65%), 12 May 1997 (5.88%)
1996511 Mar 1996 (2.6%), 30 Apr 1996 (0.69%), 12 Jul 1996 (-0.38%), 12 Sep 1996 (6.99%), 27 Nov 1996 (-0.23%)
1995516 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. 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
nilnil-115.60006e+06135963971.1160261.33161956-4744.4-19789.1312.731.270.1341481.89
atrtrail-14.561.52835e+06151767550.3326494.6287324.31-6469.89-22010.734.14.150.07910121.52
atrnil35.36-2.51647e+06177809745.245117.64143856-63153.37-3912320.710.59-0.028-14217.32
atrtrail33.38-2.57885e+061878610145.9939401.21143856-59082.68-3912320.670.57-0.028-13790.63
atrnil23.61-8.17951e+062068612041.7544336.7144413-99937.24-4718220.440.32-0.056-39706.37
atrtrail22.78-8.13008e+062078811942.5141611.64144413-99091.61-4718220.420.31-0.056-39275.73

In the table above, row 1 shows the best exit criterion. Profit factor is 31.27. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.11%, which is good. Average return per trade is 20.74%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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