Study: Sell WOCKPHARMA 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 WOCKPHARMA 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 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
1-13854.7872383452.782908.611274.47-3658.28-11712.310.80.89-0.011-192.43
2-18777972353748.614622.4313078.27-9447.68-1244620.490.46-0.038-2608.04
3-27486472373551.394375.7615291.19-12479.06-1145510.350.37-0.055-3817.56
4-27192472343847.226045.4625826.62-12564.98-1215530.480.43-0.049-3776.72
5-235737723636506811.1945521.22-13359.45-1285470.510.51-0.04-3274.13
6-31528772383452.786670.4233521.7-16728.31-1424760.40.45-0.049-4378.98
7-32517872333945.838554.6142587.47-15576.42-1477810.550.46-0.048-4516.36
8-39533372343847.228442.3226656.66-17957.17-1536820.470.42-0.056-5490.74
9-45782572324044.449417.4628657.16-18979.6-1563380.50.4-0.062-6358.68
10-57380472294340.289463.2331463.2-19726.46-1366340.480.32-0.081-7969.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. 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 52.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.096%, 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
nilnil-11-13854.7872383452.782908.611274.47-3658.28-11712.310.80.89-0.011-192.43
atrnil37.22-30244581136816.0522050.7735995.58-8663.3-18147.972.550.49-0.075-3733.88
atrnil25.75-28313681186322.2214871.1923997.05-8743.13-18147.971.70.49-0.081-3495.5
atrtrail24.15-24817082176520.739892.0423997.05-6405.15-16583.381.540.4-0.09-3026.47
atrtrail34.37-28085482166619.518719.6725925.9-6369.21-16583.381.370.33-0.11-3425.04
atrtrail-14.49-29359082166619.517923.6132894.67-6369.21-16583.381.240.3-0.11-3580.37

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 52.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.096%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WOCKPHARMA Performance, X=1, Profit Factor:0.889

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Jan 2018 (1.07%)
2017616 Feb 2017 (-2.32%), 22 Mar 2017 (0.5%), 18 Apr 2017 (0.27%), 26 Sep 2017 (5.64%), 13 Oct 2017 (-0.58%), 24 Nov 2017 (-0.37%)
2016129 Apr 2016 (-1.59%)
2015406 Jan 2015 (-1.85%), 20 Mar 2015 (-0.93%), 24 Jul 2015 (-0.28%), 02 Nov 2015 (1.47%)
2014519 Mar 2014 (1.05%), 12 May 2014 (-0.61%), 14 Aug 2014 (-0.55%), 22 Sep 2014 (1.68%), 18 Dec 2014 (2.88%)
2013119 Mar 2013 (-1.58%)
2012827 Feb 2012 (-3.48%), 27 Mar 2012 (-1.27%), 13 Apr 2012 (0.22%), 04 May 2012 (0.22%), 14 Jun 2012 (-2.0%), 04 Jul 2012 (1.15%), 27 Jul 2012 (-4.1%), 29 Aug 2012 (-3.19%)
2011204 Aug 2011 (0.88%), 01 Nov 2011 (0.33%)
2010601 Jul 2010 (0.81%), 30 Jul 2010 (-4.53%), 02 Sep 2010 (-5.86%), 20 Sep 2010 (-1.99%), 14 Oct 2010 (2.62%), 24 Nov 2010 (3.25%)
2009505 May 2009 (2.33%), 17 Jun 2009 (0.77%), 11 Aug 2009 (-3.39%), 31 Aug 2009 (1.02%), 15 Oct 2009 (-1.86%)
2008115 Jan 2008 (1.91%)
2007419 Mar 2007 (-0.62%), 27 Apr 2007 (-2.35%), 08 Oct 2007 (-0.65%), 28 Dec 2007 (-3.25%)
2006316 Feb 2006 (3.07%), 10 Mar 2006 (2.26%), 20 Sep 2006 (-1.97%)
2005616 Mar 2005 (0.45%), 08 Apr 2005 (2.44%), 22 Jun 2005 (0.72%), 01 Aug 2005 (-3.35%), 24 Aug 2005 (1.16%), 21 Dec 2005 (-0.14%)
2004424 Feb 2004 (2.06%), 05 Oct 2004 (1.36%), 08 Nov 2004 (-0.64%), 29 Dec 2004 (-0.8%)
2003521 Jan 2003 (0.71%), 17 Jul 2003 (-0.16%), 26 Aug 2003 (0.2%), 21 Oct 2003 (1.86%), 29 Dec 2003 (0.5%)
2002208 Mar 2002 (-1.21%), 11 Apr 2002 (1.41%)
2001509 Jan 2001 (-0.64%), 15 Feb 2001 (2.17%), 18 Sep 2001 (-3.03%), 30 Oct 2001 (1.16%), 21 Dec 2001 (0.8%)
2000318 Jul 2000 (1.49%), 21 Nov 2000 (-1.03%), 22 Dec 2000 (1.4%)



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