Study: Sell WOCKPHARMA 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 WOCKPHARMA 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 WOCKPHARMA 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
1-14101.3981344741.985257.3139990.29-4103.19-24979.661.280.93-0.0052-174.09
248328.7181414050.626503.6845099.82-5458.06-19990.141.191.220.015596.65
3-1753081433853.098414.1460586.2-9982.58-1458450.840.95-0.0025-216.42
41587.3981443754.329009.8774519.08-10671.53-1352810.8410.0002319.6
54844.7181423951.8510637.6580781.6-11331.7-1427450.941.010.0006459.81
65295.8781404149.3812595.8786303.78-12159.49-1501991.041.010.0006565.38
7-46666.2781404149.3813419.2391983.74-14230.14-1650460.940.92-0.0053-576.13
8-27839.0181404149.3815009.9897384.55-15322.89-1707000.980.96-0.003-343.69
9373.7581443754.3214861.08102506-17662.53-1769900.8413.9e-054.61
1038643.881443754.3216482.97107373-18556.94-1798220.891.060.0039477.08
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
atrtrail-15.4417984488325636.3617085.0199301.95-6551.36-12487.092.611.490.0272043.68
atrtrail34.611524389335637.0814609.6746695.22-6551.36-12487.092.231.310.0231294.87
atrnil39.2415336188266229.5526663.8446695.22-8708.05-49779.243.061.280.0231742.74
atrtrail24.1593261.4291345737.3613669.9843490.59-6517.86-12487.092.11.250.021024.85
atrnil28.0791036.4190335736.6718268.7443490.59-8979.51-49779.242.031.180.0161011.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
WOCKPHARMA Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Jan 2019 (0.54%), 22 Apr 2019 (12.12%)
2018909 Mar 2018 (-4.66%), 20 Mar 2018 (0.95%), 07 May 2018 (9.95%), 05 Jun 2018 (-4.48%), 26 Jun 2018 (0.28%), 11 Sep 2018 (-3.92%), 19 Sep 2018 (7.29%), 06 Dec 2018 (-0.13%), 24 Dec 2018 (-3.88%)
2017625 Jan 2017 (0.31%), 15 Feb 2017 (-3.15%), 21 Jun 2017 (-0.24%), 31 Jul 2017 (0.55%), 25 Sep 2017 (-4.29%), 19 Oct 2017 (-3.38%)
2016614 Jan 2016 (16.19%), 17 Jun 2016 (-3.09%), 19 Jul 2016 (-2.73%), 08 Aug 2016 (9.53%), 13 Oct 2016 (-2.11%), 27 Dec 2016 (-3.21%)
2015409 Jun 2015 (-6.19%), 24 Aug 2015 (-6.23%), 30 Oct 2015 (-4.18%), 09 Dec 2015 (-3.37%)
2014414 Jan 2014 (-3.51%), 14 Feb 2014 (-3.42%), 13 Aug 2014 (-5.4%), 17 Dec 2014 (-5.1%)
2013323 Jul 2013 (49.65%), 30 Sep 2013 (7.29%), 27 Nov 2013 (16.07%)
2012128 Aug 2012 (-4.54%)
2011528 Apr 2011 (-4.89%), 20 Jun 2011 (-0.99%), 14 Sep 2011 (-4.44%), 30 Sep 2011 (-4.19%), 13 Dec 2011 (21.5%)
2010421 Jan 2010 (-2.4%), 22 Mar 2010 (-3.11%), 28 Apr 2010 (3.38%), 24 May 2010 (-4.87%)
2009413 Jan 2009 (-1.21%), 04 May 2009 (-6.24%), 19 Nov 2009 (-1.64%), 14 Dec 2009 (2.33%)
2008414 Jan 2008 (15.69%), 07 Mar 2008 (3.32%), 23 May 2008 (37.8%), 12 Sep 2008 (8.76%)
2007307 Feb 2007 (-0.82%), 01 Aug 2007 (-1.05%), 27 Dec 2007 (-4.01%)
2006517 Feb 2006 (-5.0%), 12 Apr 2006 (-1.2%), 19 May 2006 (3.15%), 18 Jul 2006 (-1.11%), 17 Nov 2006 (4.82%)
2005322 Feb 2005 (-1.67%), 07 Apr 2005 (3.35%), 20 Dec 2005 (-2.5%)
2004323 Feb 2004 (-4.89%), 16 Mar 2004 (2.92%), 29 Apr 2004 (3.23%)
2003411 Mar 2003 (17.4%), 02 May 2003 (-4.31%), 24 Jun 2003 (-3.11%), 25 Jun 2003 (-3.01%)
2002907 Jun 2002 (-3.04%), 17 Jul 2002 (-2.18%), 18 Jul 2002 (-2.22%), 29 Jul 2002 (-1.74%), 13 Aug 2002 (-2.49%), 26 Aug 2002 (0.07%), 10 Oct 2002 (-2.29%), 11 Oct 2002 (2.31%), 06 Dec 2002 (1.08%)
2001703 May 2001 (-5.1%), 05 Jun 2001 (-0.69%), 25 Jun 2001 (-2.76%), 24 Jul 2001 (4.17%), 13 Aug 2001 (-3.48%), 17 Sep 2001 (-6.0%), 29 Oct 2001 (-3.59%)
2000219 Jul 2000 (6.97%), 15 Sep 2000 (0.39%)



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