Study: Sell TATAGLOBAL 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 TATAGLOBAL 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 TATAGLOBAL 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
126131.9720164802124.916679.21-1966.65-4778.161.084.320.211306.6
234133.2220119555323.0110902.59-2713.32-6200.121.962.40.151706.66
367940.2920155755731.7815370.87-3607.27-8336.641.594.770.243397.01
442699.6120128607301.4514775.1-5614.73-14211.991.31.950.112134.98
571432.8520137659977.8123540.2-8325.53-14249.151.22.230.133571.64
661813.9720128609988.9723968.21-7256.7-12624.061.382.060.113090.7
751292.66201195511022.2233301.98-7772.42-29499.471.421.730.0772564.63
833832.75201195511352.8335183.44-10116.49-32481.361.121.370.0461691.64
924267.07201195510183.5929539.04-9750.27-34291.81.041.280.0351213.35
10-16576.17209114512204.2926716.84-11492.26-55058.571.060.87-0.019-828.81

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 4.77. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.7%, 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.
TATAGLOBAL Performance, X=3, Profit Factor:4.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017116 Feb 2017 (-1.07%)
2016507 Apr 2016 (0.29%), 28 Apr 2016 (0.71%), 27 Jun 2016 (-4.17%), 14 Jul 2016 (1.92%), 11 Aug 2016 (-0.25%)
2015129 Oct 2015 (3.05%)
2014410 Jan 2014 (2.5%), 28 Apr 2014 (2.94%), 19 Jun 2014 (-2.7%), 04 Jul 2014 (7.69%)
2013106 Nov 2013 (4.28%)
2012619 Jan 2012 (0.64%), 22 Feb 2012 (3.54%), 12 Jul 2012 (-0.82%), 22 Aug 2012 (2.54%), 13 Sep 2012 (3.1%), 23 Oct 2012 (5.7%)
2011108 Aug 2011 (3.15%)
2010119 Oct 2010 (0.92%)

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-1367940.2920155755731.7815370.87-3607.27-8336.641.594.770.243397.01
atrtrail24.2931945.3321101147.628430.4713740.7-4759.94-9524.891.771.610.081521.21
atrtrail3521582.1421101147.627394.1517498.91-4759.94-9524.891.551.410.0561027.72
atrtrail-15.5718657.4721101147.627101.6820108.29-4759.94-9524.891.491.360.049888.45
atrnil37.7122879.452161528.5719483.5527706.95-6268.12-9524.893.111.240.0361089.5
atrnil26.05-772.22171433.3312592.0718471.3-6351.19-9524.891.980.99-0.0016-36.77

In the table above, row 1 shows the best exit criterion. Profit factor is 4.77. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.7%, 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.