Study: Sell DLF 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 DLF 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 DLF 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
158894.2715123806082.2515954.61-4697.57-5273.311.295.180.23926.28
245489.81158753.3312329.0228504.67-7591.76-20541.211.621.860.0823032.65
343657.01157846.6712814.5127436.58-5755.57-10824.112.231.950.0872910.47
450295.84157846.6713325.1536849.13-5372.53-17589.182.482.170.0863353.06
58377.42158753.3311112.0124966.62-11502.66-47556.210.971.10.011558.49
6-40847.64158753.33979516443.88-17029.66-83235.580.580.66-0.038-2723.18
7-15332.03158753.3312490.8929943.9-16465.59-59677.420.760.87-0.016-1022.14
8-71269.47157846.678028.0716661.99-15933.25-66080.160.50.44-0.08-4751.3
9-83874.2215694010783.1829495.09-16508.15-74291.30.650.44-0.081-5591.61
10-107826146842.869471.3521683.03-20581.75-92179.860.460.35-0.094-7701.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 5.18. Strategy is very good and impressively bearish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 1.96%, which is not very high, but percentage of profitable trades compensates for it.
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.
DLF Performance, X=1, Profit Factor:5.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017102 Mar 2017 (-2.27%)
2016111 Feb 2016 (0.62%)
2015126 May 2015 (-2.14%)
2014223 Sep 2014 (-2.64%), 15 Dec 2014 (3.8%)
2013320 Jun 2013 (0.2%), 31 Jul 2013 (7.98%), 28 Aug 2013 (0.42%)
2011310 Jan 2011 (0.71%), 27 Jan 2011 (7.16%), 23 Feb 2011 (3.02%)
2010109 Dec 2010 (0.6%)
2008303 Mar 2008 (5.13%), 24 Oct 2008 (3.18%), 21 Nov 2008 (3.68%)

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-1158894.2715123806082.2515954.61-4697.57-5273.311.295.180.23926.28
atrtrail25.47-19894.2115694011814.0522784.48-10086.5-28720.091.170.78-0.033-1326.28
atrtrail36.13-32032.231569409791.0534176.72-10086.5-28720.090.970.65-0.052-2135.48
atrtrail-16.2-42219.141569408093.2323989.81-10086.5-28720.090.80.53-0.079-2814.61
atrnil28.5-77518.971441028.5719997.6322784.48-15750.95-33335.521.270.51-0.1-5537.07
atrnil311.43-1089591421214.2933204.6634176.72-14614.03-33335.522.270.38-0.14-7782.79

In the table above, row 1 shows the best exit criterion. Profit factor is 5.18. Strategy is very good and impressively bearish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 1.96%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.