Study: Sell ZEEL 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 ZEEL 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 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
1-6469.3196494751.044851.0418966.02-5195.11-21300.060.930.97-0.0018-67.39
217683.0996504652.086756.7834173.89-6959.91-23668.690.971.060.0039184.2
3-13323.6796494751.047764.6530704.95-8378.54-25807.770.930.97-0.0026-138.79
4-39386.9896455146.889394.8344247.57-9061.85-39516.821.040.91-0.0064-410.28
5-21148.3996435344.7911041.549385.47-9357.22-39224.271.180.96-0.0032-220.3
618600.9496445245.8312492.6645071.79-10213-44163.661.221.040.0025193.76
722324.469648485012363.9949310.99-11898.9-53983.151.041.040.0028232.55
817463.8396445245.8314793.5253929.24-12181.75-65728.041.211.030.002181.91
9-56844.8796455146.8813899.2951429.69-13378.68-77063.781.040.92-0.0061-592.13
10-80206.69648485013681.163122.73-15352.08-90077.650.890.89-0.0078-835.49
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
atrtrail34.5399713.66118427635.5914002.3547758.81-6426.12-16287.282.181.20.014845.03
atrtrail23.9860581.89118427635.5913070.6431839.2-6426.12-16287.282.031.120.0097513.41
atrtrail-15.1453534.68118427635.5912902.8586818.7-6426.12-16287.282.011.110.007453.68
atrnil38.0859173.48114308426.3225630.7947758.81-8449.41-16287.283.031.080.0067519.07
atrnil25.1649821.87115397633.9117441.8131839.2-8294.85-16287.282.11.080.0069433.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 35.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Mar 2019 (-1.16%)
2018501 Jan 2018 (-2.12%), 25 Jan 2018 (-2.55%), 31 Jan 2018 (0.96%), 13 Apr 2018 (-2.01%), 10 May 2018 (3.31%)
2017522 Feb 2017 (0.36%), 22 Mar 2017 (-1.15%), 04 Aug 2017 (6.33%), 17 Nov 2017 (-1.96%), 08 Dec 2017 (-2.81%)
2016807 Jan 2016 (-0.26%), 06 May 2016 (-2.58%), 31 May 2016 (-2.54%), 10 Jun 2016 (2.54%), 08 Jul 2016 (-2.41%), 17 Aug 2016 (-2.44%), 26 Aug 2016 (-2.32%), 12 Sep 2016 (-2.43%)
2015509 Jul 2015 (-2.68%), 10 Jul 2015 (-2.68%), 12 Aug 2015 (-2.55%), 29 Oct 2015 (8.43%), 10 Dec 2015 (-1.54%)
2014609 Jul 2014 (-2.99%), 18 Jul 2014 (-3.3%), 24 Jul 2014 (9.01%), 21 Nov 2014 (-2.98%), 24 Nov 2014 (-2.91%), 27 Nov 2014 (-3.3%)
2013807 Jan 2013 (-3.15%), 11 Feb 2013 (3.59%), 21 May 2013 (4.15%), 16 Jul 2013 (-3.25%), 08 Nov 2013 (-3.21%), 18 Nov 2013 (9.36%), 24 Dec 2013 (-2.87%), 26 Dec 2013 (-0.98%)
2012815 Mar 2012 (12.69%), 10 Jul 2012 (-3.01%), 09 Aug 2012 (-3.25%), 21 Aug 2012 (2.93%), 11 Oct 2012 (-3.94%), 13 Nov 2012 (-3.69%), 19 Nov 2012 (-2.52%), 13 Dec 2012 (-3.72%)
2011418 Apr 2011 (-3.29%), 06 May 2011 (-1.62%), 13 Jun 2011 (9.89%), 13 Dec 2011 (1.02%)
2010425 Jan 2010 (-4.55%), 30 Apr 2010 (4.86%), 28 Jun 2010 (-3.36%), 05 Jul 2010 (-3.55%)
2009502 Jun 2009 (-8.14%), 10 Jun 2009 (6.17%), 10 Sep 2009 (-3.6%), 20 Oct 2009 (2.24%), 27 Nov 2009 (-2.58%)
2008115 Sep 2008 (4.9%)
2007509 May 2007 (-1.71%), 01 Jun 2007 (5.16%), 30 Jul 2007 (8.46%), 17 Oct 2007 (2.86%), 31 Oct 2007 (4.49%)
2006716 Jan 2006 (-2.27%), 05 Apr 2006 (-5.0%), 07 Apr 2006 (-0.65%), 12 May 2006 (18.32%), 21 Jul 2006 (-3.72%), 11 Sep 2006 (-5.04%), 06 Dec 2006 (11.26%)
2005222 Jul 2005 (-4.99%), 03 Aug 2005 (0.71%)
2004414 Jan 2004 (-5.13%), 15 Jan 2004 (-2.25%), 10 Sep 2004 (-0.49%), 29 Dec 2004 (-3.1%)
2003510 Jan 2003 (9.87%), 19 May 2003 (-5.34%), 18 Jun 2003 (-1.06%), 04 Aug 2003 (-4.51%), 27 Oct 2003 (-2.15%)
2002724 Jan 2002 (-3.94%), 28 Feb 2002 (-6.68%), 01 Mar 2002 (-3.02%), 22 Mar 2002 (-5.37%), 16 Apr 2002 (-4.56%), 05 Dec 2002 (-4.32%), 18 Dec 2002 (0.17%)
2001113 Dec 2001 (23.88%)
2000201 Mar 2000 (-7.99%), 15 Sep 2000 (15.59%)
1999724 Mar 1999 (-0.61%), 26 May 1999 (2.5%), 09 Aug 1999 (-4.55%), 03 Sep 1999 (-5.14%), 04 Oct 1999 (-5.69%), 13 Oct 1999 (3.02%), 26 Oct 1999 (17.97%)
1998828 Jan 1998 (-0.68%), 12 Mar 1998 (-4.73%), 12 May 1998 (0.31%), 02 Jun 1998 (19.32%), 12 Aug 1998 (8.62%), 30 Sep 1998 (2.11%), 06 Nov 1998 (-4.25%), 12 Nov 1998 (0.82%)
1997318 Mar 1997 (-4.17%), 19 Mar 1997 (6.12%), 28 May 1997 (-1.94%)
1996501 Mar 1996 (6.15%), 25 Apr 1996 (12.95%), 25 Sep 1996 (-4.08%), 08 Oct 1996 (-4.74%), 25 Oct 1996 (13.59%)
1995229 Jun 1995 (-2.38%), 30 Jun 1995 (7.07%)



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