Study: Sell ZEEL 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 ZEEL 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 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
175442.0837211656.766584.2217922.85-3926.66-16953.371.682.20.0582038.98
223273.7537201754.057038.7330557.86-6911.82-15387.211.021.20.014629.02
3-17493.2637142337.849878.8627561.27-6773.79-18991.11.460.89-0.0092-472.79
4-13443337142337.848777.8137525.11-11187.94-53056.380.780.48-0.047-3633.33
5-14874137152240.5410171.9535534.44-13696.36-1104080.740.51-0.036-4020.02
6-89224.8737172045.9512005.6451591.45-14666.04-1025510.820.7-0.02-2411.48
7-12797537172045.9513449.9842426.68-17831.21-1188780.750.64-0.027-3458.77
8-12170437172045.9512028.4546903.96-16309.36-1112240.740.63-0.027-3289.29
9-13756037181948.6510695.5229739.92-17372.62-1005100.620.58-0.034-3717.85
10-88403.6237181948.6511828.2429823.83-15858.53-1010200.750.71-0.022-2389.29

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.2. 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 56.76%, 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 0.058, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ZEEL Performance, X=1, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Oct 2018 (2.49%)
2017113 Apr 2017 (0.07%)
2016114 Oct 2016 (4.89%)
2015130 Mar 2015 (0.18%)
2014315 Jan 2014 (0.96%), 27 Mar 2014 (-0.07%), 25 Jul 2014 (0.57%)
2013108 Apr 2013 (-1.77%)
2012222 Feb 2012 (0.68%), 16 Mar 2012 (1.55%)
2011115 Nov 2011 (-0.4%)
2010223 Jul 2010 (-0.39%), 16 Aug 2010 (-0.49%)
2009324 Apr 2009 (3.32%), 11 Aug 2009 (-0.64%), 31 Dec 2009 (1.79%)
2008308 Feb 2008 (-2.42%), 16 Sep 2008 (3.14%), 14 Nov 2008 (3.22%)
2007112 Feb 2007 (-3.72%)
2005215 Mar 2005 (-1.22%), 23 Dec 2005 (-2.88%)
2004113 Sep 2004 (-2.51%)
2003227 Mar 2003 (1.9%), 10 Sep 2003 (4.05%)
2001312 Apr 2001 (8.96%), 07 Sep 2001 (1.14%), 14 Dec 2001 (4.1%)
2000419 Apr 2000 (7.92%), 12 May 2000 (-8.48%), 27 Jun 2000 (1.49%), 18 Sep 2000 (8.4%)
1998105 Oct 1998 (-1.69%)
1996310 Jan 1996 (8.32%), 25 Jan 1996 (-0.31%), 11 Mar 1996 (-0.78%)
1995116 May 1995 (-3.65%)

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-1175442.0837211656.766584.2217922.85-3926.66-16953.371.682.20.0582038.98
atrtrail24.88-23833.8240132732.514788.2134716.97-8002.98-20618.361.850.89-0.0093-595.85
atrtrail35.38-70949.6939132633.3310392.0746568.93-7924.87-20618.361.310.66-0.031-1819.22
atrnil27.33-1317964010302524051.652644-12410.4-38053.751.940.65-0.036-3294.9
atrtrail-15.41-80728.2439132633.339639.8736790.38-7924.87-20618.361.220.61-0.039-2069.95
atrnil39.72-1927823953412.8243138.578966-12013.97-38053.753.590.53-0.048-4943.14

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. 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 56.76%, 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 0.058, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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