Study: Sell WOCKPHARMA 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 WOCKPHARMA 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 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
1-21782.3530131743.335450.1239990.29-5449.06-13180.4110.76-0.019-726.08
2-12797.5830141646.676489.0245099.82-6477.74-19990.1410.88-0.0093-426.59
3-11955030141646.67936160586.2-15662.78-1458450.60.52-0.032-3985.01
4-1012293015155010448.1774519.08-17196.77-1352810.610.61-0.027-3374.3
5-63437.4830171356.6711562.7180781.6-20000.27-1427450.580.76-0.016-2114.58
6-63811.9830141646.6716224.886303.78-18184.95-1501990.890.78-0.015-2127.07
7-11786730141646.6716907.8791983.74-22161.1-1650460.760.67-0.025-3928.91
8-11686330111936.6724211.197384.55-20167.64-1707001.20.7-0.023-3895.44
9-13789830141646.6718578.36102506-24874.7-1769900.750.65-0.027-4596.6
10-1061063015155019237.57107373-26311.29-1798220.730.73-0.02-3536.86
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-15.811892430111936.6725387.799301.95-8438.98-12450.013.011.740.0373964.14
atrnil36.199928.2830102033.3328034.5246695.22-9020.85-13746.843.111.550.0423330.94
atrtrail23.8446955.3132122037.517661.4943490.59-8249.13-12450.012.141.280.0231467.35
atrtrail34.2743105.2130111936.6718495.0846695.22-8438.98-12450.012.191.270.0211436.84
atrnil27.5332588.5132112134.3820944.3143490.59-9418.99-17381.942.221.160.0151018.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 36.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Apr 2019 (12.12%)
2018105 Jun 2018 (-4.48%)
2017131 Jul 2017 (0.55%)
2016208 Aug 2016 (9.53%), 27 Dec 2016 (-3.21%)
2015209 Jun 2015 (-6.19%), 24 Aug 2015 (-6.23%)
2014213 Aug 2014 (-5.4%), 17 Dec 2014 (-5.1%)
2013123 Jul 2013 (49.65%)
2012128 Aug 2012 (-4.54%)
2011228 Apr 2011 (-4.89%), 20 Jun 2011 (-0.99%)
2010321 Jan 2010 (-2.4%), 22 Mar 2010 (-3.11%), 24 May 2010 (-4.87%)
2009114 Dec 2009 (2.33%)
2008214 Jan 2008 (15.69%), 23 May 2008 (37.8%)
2007127 Dec 2007 (-4.01%)
2006219 May 2006 (3.15%), 17 Nov 2006 (4.82%)
2004223 Feb 2004 (-4.89%), 16 Mar 2004 (2.92%)
2003205 May 2003 (-4.13%), 24 Jun 2003 (-3.11%)
2002207 Jun 2002 (-3.04%), 06 Dec 2002 (1.08%)
2001217 Sep 2001 (-6.0%), 29 Oct 2001 (-3.59%)



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