Study: Sell ZEEL 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 ZEEL 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 ZEEL 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
1131751125685754.45037.0917922.85-3697.74-16953.371.361.630.0351054.01
265527.81125685754.46177.830557.86-6220.39-21857.430.991.180.012524.22
3-22562.71125596647.27998.6527561.27-7492.17-22886.031.070.95-0.0036-180.5
4-207283125586746.47667.1737525.11-9731.03-53056.380.790.68-0.026-1658.26
5-72386.241256560529397.0235534.44-11386.54-1104080.830.89-0.0071-579.09
6-30030.65125616448.811843.951591.45-11757.94-1025511.010.96-0.0026-240.25
7-8329.09125636250.413394.759885.24-13745.08-1188780.970.99-0.00066-66.63
8-59042.4812565605212870.8248670.83-14927.43-1112240.860.93-0.0046-472.34
9-134739125646151.212763.2242118.94-15599.75-1005100.820.86-0.01-1077.91
104231.88125646151.213804.8239991.28-14414.37-1010200.9610.0003333.86

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.63. 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 54.4%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study.

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-11131751125685754.45037.0917922.85-3697.74-16953.371.361.630.0351054.01
atrtrail24.8118104.8813554814013056.6934716.97-8480.94-1702611.541.030.0015134.11
atrnil28.02-134160127468136.2219899.5452644-12957.28-2303841.540.87-0.0083-1056.38
atrtrail35.44-87968.19133528139.111435.1346568.93-8427.1-1702611.360.87-0.0072-661.41
atrnil311.35-182298118308825.4230786.678966-12567-2303842.450.84-0.011-1544.9
atrtrail-15.74-132558133528139.110577.6347785.81-8427.1-1702611.260.81-0.011-996.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 54.4%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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.
ZEEL Performance, X=1, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019506 May 2019 (4.8%), 09 Jul 2019 (-0.3%), 01 Aug 2019 (1.54%), 22 Aug 2019 (-6.75%), 12 Sep 2019 (-1.18%)
2018512 Apr 2018 (-0.82%), 28 Jun 2018 (-0.92%), 16 Aug 2018 (-0.61%), 25 Oct 2018 (2.49%), 18 Dec 2018 (-0.53%)
2017413 Apr 2017 (0.07%), 18 May 2017 (0.69%), 13 Jun 2017 (-0.86%), 26 Sep 2017 (0.17%)
2016608 Jan 2016 (0.51%), 09 Feb 2016 (2.59%), 28 Mar 2016 (1.48%), 05 May 2016 (-0.66%), 21 Jul 2016 (-2.52%), 14 Oct 2016 (4.89%)
2015602 Feb 2015 (-0.36%), 27 Mar 2015 (-1.44%), 17 Apr 2015 (2.6%), 14 Oct 2015 (-8.32%), 30 Oct 2015 (-1.04%), 09 Dec 2015 (-1.58%)
2014615 Jan 2014 (0.96%), 27 Mar 2014 (-0.07%), 28 May 2014 (1.41%), 13 Jun 2014 (0.58%), 25 Jul 2014 (0.57%), 28 Aug 2014 (-3.95%)
2013413 Mar 2013 (-2.82%), 08 Apr 2013 (-1.77%), 01 Aug 2013 (-1.74%), 20 Aug 2013 (1.42%)
2012522 Feb 2012 (0.68%), 16 Mar 2012 (1.55%), 11 Apr 2012 (0.6%), 10 May 2012 (0.53%), 12 Nov 2012 (-1.85%)
2011606 Jan 2011 (1.67%), 17 Mar 2011 (0.88%), 01 Jul 2011 (0.94%), 04 Aug 2011 (-0.94%), 11 Oct 2011 (-1.12%), 15 Nov 2011 (-0.4%)
2010827 Jan 2010 (1.21%), 19 Mar 2010 (1.3%), 23 Jul 2010 (-0.39%), 16 Aug 2010 (-0.49%), 17 Sep 2010 (-1.48%), 07 Oct 2010 (-0.0%), 16 Nov 2010 (-3.16%), 20 Dec 2010 (1.55%)
2009502 Mar 2009 (1.65%), 24 Apr 2009 (3.32%), 28 Jul 2009 (0.57%), 11 Aug 2009 (-0.64%), 31 Dec 2009 (1.79%)
2008808 Jan 2008 (0.72%), 08 Feb 2008 (-2.42%), 18 Mar 2008 (-0.72%), 09 Apr 2008 (0.13%), 02 Jun 2008 (-1.24%), 25 Jun 2008 (-0.52%), 16 Sep 2008 (3.14%), 14 Nov 2008 (3.22%)
2007512 Feb 2007 (-3.72%), 28 Jun 2007 (-3.57%), 18 Oct 2007 (3.48%), 01 Nov 2007 (1.82%), 21 Nov 2007 (-1.47%)
2005625 Feb 2005 (1.42%), 14 Mar 2005 (2.24%), 15 Apr 2005 (1.85%), 16 Jun 2005 (0.35%), 22 Sep 2005 (-6.19%), 23 Dec 2005 (-2.88%)
2004619 Feb 2004 (2.89%), 29 Apr 2004 (6.25%), 14 Jun 2004 (-1.99%), 06 Aug 2004 (2.3%), 13 Sep 2004 (-2.51%), 30 Nov 2004 (1.45%)
2003413 Jan 2003 (-0.26%), 04 Mar 2003 (3.99%), 27 Mar 2003 (1.9%), 10 Sep 2003 (4.05%)
2002430 Apr 2002 (0.75%), 24 Jun 2002 (-0.31%), 15 Jul 2002 (-4.06%), 16 Sep 2002 (2.26%)
2001607 Feb 2001 (-0.34%), 12 Apr 2001 (8.96%), 05 Jun 2001 (-0.24%), 04 Jul 2001 (-0.0%), 07 Sep 2001 (1.14%), 14 Dec 2001 (4.1%)
2000709 Mar 2000 (7.56%), 19 Apr 2000 (7.92%), 12 May 2000 (-8.48%), 27 Jun 2000 (1.49%), 25 Jul 2000 (5.57%), 18 Sep 2000 (8.4%), 21 Dec 2000 (5.49%)
1999218 Jan 1999 (8.0%), 01 Dec 1999 (-1.06%)
1998105 Oct 1998 (-1.69%)
1997821 Jan 1997 (-2.02%), 24 Feb 1997 (0.25%), 21 Jul 1997 (0.88%), 11 Aug 1997 (2.82%), 17 Sep 1997 (1.1%), 04 Nov 1997 (-1.06%), 05 Dec 1997 (1.73%), 29 Dec 1997 (4.18%)
1996610 Jan 1996 (8.32%), 25 Jan 1996 (-0.31%), 11 Mar 1996 (-0.78%), 26 Apr 1996 (1.63%), 21 May 1996 (-3.76%), 21 Jun 1996 (2.51%)
1995216 May 1995 (-3.65%), 26 Oct 1995 (-1.43%)



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