Study: Sell SBIN when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell SBIN when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SBIN 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
142562.431210283.335016.6813110.47-3802.17-6966.481.326.60.163546.87
242561.37127558.338020.821990.08-2716.85-5540.962.954.130.13546.78
314603.49127558.336934.9928310.26-6788.29-13661.331.021.430.0261216.96
4-18784.58127558.335252.6414573-11110.62-27083.830.470.66-0.032-1565.38
5-40799.39124833.335341.337624.73-7770.59-17005.020.690.34-0.092-3399.95
6-46486.731266505462.2812653.56-13210.07-21972.770.410.41-0.079-3873.89
7-71236.61125741.675575.557373.54-14159.2-26436.660.390.28-0.11-5936.38
8-52786.15125741.678753.2314905.81-13793.19-23687.120.630.45-0.072-4398.85
9-19784.61127558.339104.6829484.03-16703.48-33152.490.550.76-0.023-1648.72
10-5637.9512665011243.7626289.93-12183.42-31577.560.920.92-0.0069-469.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 6.6. Strategy is very good and impressively bearish. Percentage of profitable trades is 83.33%, which is excellent. Average return per trade is 1.77%, 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.
SBIN Performance, X=1, Profit Factor:6.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014102 Dec 2014 (0.24%)
2013130 May 2013 (2.0%)
2012108 Sep 2012 (1.97%)
2011109 Feb 2011 (3.37%)
2008110 Apr 2008 (-0.32%)
2006119 Jun 2006 (2.2%)
2004125 Jun 2004 (-3.48%)
2001120 Aug 2001 (2.26%)
2000221 Feb 2000 (2.91%), 08 Mar 2000 (6.56%)
1998118 Jun 1998 (3.26%)
1996116 Oct 1996 (0.33%)

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-1142562.431210283.335016.6813110.47-3802.17-6966.481.326.60.163546.87
atrtrail27.67-18720.961266503300.3812364.36-6420.54-11137.840.510.51-0.053-1560.08
atrtrail37.67-18720.961266503300.3812364.36-6420.54-11137.840.510.51-0.053-1560.08
atrtrail-17.67-18720.961266503300.3812364.36-6420.54-11137.840.510.51-0.053-1560.08
atrnil37.73-78616.32111109.0918194.4818194.48-9681.08-15887.121.880.19-0.18-7146.94
atrnil27.55-84681.14111109.0912129.6512129.65-9681.08-15887.121.250.13-0.24-7698.29

In the table above, row 1 shows the best exit criterion. Profit factor is 6.6. Strategy is very good and impressively bearish. Percentage of profitable trades is 83.33%, which is excellent. Average return per trade is 1.77%, 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.