Study: Sell VGUARD 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 VGUARD 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 VGUARD 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
1-23792.2245212446.673557.569318.29-4104.2-15270.410.870.76-0.032-528.72
2-46413.6545222348.893607.0413732.22-5468.2-17126.190.660.63-0.052-1031.41
3-11941245212446.675467.1923148.6-9759.27-53812.660.560.49-0.069-2653.59
4-13186145182740791721530.16-10161.72-68723.450.780.52-0.06-2930.23
5-10273345202544.448479.9822651.66-10893.3-53451.570.780.62-0.048-2282.95
6-18254245153033.3312249.6425146.77-12209.56-52262.1110.5-0.074-4056.5
7-24240845162935.5610346.3426483.57-14067.24-59122.40.740.41-0.093-5386.85
8-30456045162935.569977.2330234.83-16006.74-62124.250.620.34-0.11-6768
9-35499345162935.5610297.3634246.58-17922.43-66789.840.570.32-0.11-7888.73
10-3755484518274010295.1435567.51-20772.62-84896.070.50.33-0.11-8345.52

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.76. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.

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
atrtrail34.16-19400.0955183732.7310191.525827.11-5482.35-9411.651.860.9-0.012-352.73
atrtrail23.73-39296.6155183732.739086.1419350.14-5482.35-9411.651.660.81-0.027-714.48
atrnil25.45-67603.6555154027.2714779.5722593.52-7232.43-10356.932.040.77-0.037-1229.16
nilnil-11-23792.2245212446.673557.569318.29-4104.2-15270.410.870.76-0.032-528.72
atrtrail-15.11-62149.5454173731.488276.3327382.16-5482.35-9411.651.510.69-0.044-1150.92
atrnil38.53-11670155104518.1821258.2129025.21-7317.41-11296.762.910.65-0.057-2121.84

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 32.73%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
VGUARD Performance, Profit Factor:0.904

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Jan 2019 (9.33%), 25 Mar 2019 (-3.0%), 01 Apr 2019 (-1.68%)
2018303 Jan 2018 (-2.78%), 27 Apr 2018 (-1.3%), 24 Aug 2018 (-3.14%)
2017915 Feb 2017 (-3.0%), 16 Feb 2017 (-1.96%), 17 Mar 2017 (0.19%), 17 Apr 2017 (-2.76%), 18 Apr 2017 (-1.71%), 03 May 2017 (-2.62%), 19 May 2017 (10.37%), 16 Nov 2017 (-4.12%), 28 Nov 2017 (0.75%)
2016801 Jan 2016 (7.48%), 02 May 2016 (-2.9%), 03 May 2016 (-2.96%), 09 Jun 2016 (-2.71%), 16 Aug 2016 (-1.61%), 07 Sep 2016 (-3.37%), 08 Sep 2016 (0.17%), 07 Nov 2016 (12.91%)
2015229 Jul 2015 (-2.48%), 17 Aug 2015 (7.85%)
2014729 Apr 2014 (-2.32%), 30 May 2014 (-3.71%), 07 Aug 2014 (-1.24%), 13 Oct 2014 (-3.74%), 14 Oct 2014 (-0.96%), 09 Dec 2014 (-3.65%), 10 Dec 2014 (10.74%)
2013214 Aug 2013 (11.31%), 16 Aug 2013 (2.68%)
2012426 Jun 2012 (-0.89%), 25 Jul 2012 (-1.12%), 28 Aug 2012 (-1.15%), 13 Dec 2012 (4.5%)
2011428 Apr 2011 (-3.47%), 29 Apr 2011 (1.54%), 17 Jun 2011 (0.17%), 12 Jul 2011 (-3.5%)
2010620 Jan 2010 (3.63%), 23 Mar 2010 (-2.24%), 03 May 2010 (2.74%), 20 Jul 2010 (-3.27%), 23 Aug 2010 (1.0%), 23 Sep 2010 (-4.71%)
2009613 May 2009 (-3.33%), 12 Jun 2009 (4.35%), 11 Sep 2009 (-3.67%), 09 Oct 2009 (-4.56%), 24 Nov 2009 (-2.13%), 21 Dec 2009 (-4.19%)
2008126 Dec 2008 (-3.46%)



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