Study: Sell GMRINFRA when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell GMRINFRA when RSI is below 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 GMRINFRA 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
1-32153.3976334343.424409.3912992-4131.71-20911.131.070.82-0.02-423.07
2-85851.2976334343.425773.8922683.61-6427.67-20359.280.90.69-0.039-1129.62
3-52434.7376364047.377118.6428169.01-7717.65-31366.690.920.83-0.019-689.93
4-26948.3976344244.748010.5333802.82-7126.34-22482.441.120.91-0.0098-354.58
58634.3976433356.587967.4135010.06-10120.12-28378.380.791.030.0028113.61
69767.4876453159.218284.3830985.92-11710.63-27781.930.711.030.0029128.52
784560.4576433356.5810897.6333258.43-11637.51-30405.410.941.220.0221112.64
816023776463060.5311675.8439036.76-12561.73-43192.490.931.430.0392108.38
913731976472961.8411368.4834157.3-13689.63-41314.550.831.350.0331806.83
1012589576423455.2612853.8142247.19-12175.46-41784.041.061.30.0281656.51
Although, strategy looks good but profit factor on day 2 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
atrtrail24.8813951.6286335338.3712679.8326229.18-7631.75-26181.751.661.030.0039162.23
atrtrail35.46-3407.2485325337.6512272.6534768.82-7474.19-26181.751.640.99-0.00093-40.09
atrnil26.72-86136.5486295733.7217682.9126229.18-10507.74-29317.861.680.86-0.02-1001.59
atrtrail-15.88-86523.4885315436.4710113.9839366.21-7408.46-26181.751.370.78-0.027-1017.92
atrnil39.29-20870880176321.2525975.0334768.82-10321.97-29317.862.520.68-0.047-2608.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 38.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.081%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0039, 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.
GMRINFRA Performance, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jan 2019 (5.94%), 06 Jun 2019 (-2.93%), 22 Jul 2019 (-0.82%), 03 Sep 2019 (-2.73%)
2018307 Mar 2018 (-4.75%), 01 Jun 2018 (-1.33%), 29 Nov 2018 (8.39%)
2017505 May 2017 (-4.72%), 03 Aug 2017 (-3.45%), 22 Sep 2017 (0.39%), 08 Nov 2017 (-4.54%), 04 Dec 2017 (-2.51%)
2016711 Feb 2016 (-7.5%), 07 Apr 2016 (-4.17%), 05 May 2016 (-3.79%), 11 May 2016 (8.11%), 20 Sep 2016 (9.04%), 04 Nov 2016 (8.61%), 27 Dec 2016 (-2.44%)
2015710 Feb 2015 (-6.08%), 25 Feb 2015 (-5.13%), 02 Mar 2015 (12.78%), 21 Apr 2015 (3.78%), 22 May 2015 (8.39%), 27 Jul 2015 (-0.71%), 23 Oct 2015 (9.56%)
2014707 Jan 2014 (-0.98%), 27 Jan 2014 (1.35%), 27 Mar 2014 (-3.66%), 13 Aug 2014 (-5.88%), 16 Sep 2014 (11.59%), 12 Nov 2014 (3.84%), 12 Dec 2014 (9.48%)
2013718 Jan 2013 (8.01%), 08 Feb 2013 (2.6%), 28 Feb 2013 (-4.61%), 14 May 2013 (-4.24%), 23 May 2013 (-5.78%), 17 Jul 2013 (-4.69%), 26 Jul 2013 (10.43%)
2012522 Feb 2012 (2.88%), 23 Mar 2012 (-6.7%), 09 Apr 2012 (-4.43%), 16 Jul 2012 (-1.12%), 10 Oct 2012 (-5.82%)
20111211 Jan 2011 (-4.61%), 28 Jan 2011 (-0.83%), 08 Feb 2011 (13.11%), 09 Feb 2011 (-8.35%), 14 Mar 2011 (0.87%), 21 Apr 2011 (-1.55%), 03 Jun 2011 (8.51%), 18 Jul 2011 (6.0%), 16 Aug 2011 (9.06%), 27 Sep 2011 (1.76%), 11 Nov 2011 (-0.19%), 12 Dec 2011 (-7.41%)
20101213 Jan 2010 (-3.15%), 14 Jan 2010 (6.27%), 19 Apr 2010 (-3.35%), 04 May 2010 (7.99%), 07 Jun 2010 (-3.2%), 23 Jul 2010 (2.17%), 25 Aug 2010 (-3.12%), 22 Sep 2010 (-2.55%), 29 Sep 2010 (-0.71%), 15 Oct 2010 (-2.63%), 18 Oct 2010 (1.5%), 15 Nov 2010 (5.58%)
2009909 Jan 2009 (-9.75%), 25 Feb 2009 (3.31%), 07 Aug 2009 (-3.1%), 14 Sep 2009 (8.34%), 07 Oct 2009 (-2.81%), 23 Oct 2009 (-3.93%), 26 Oct 2009 (-4.31%), 27 Nov 2009 (-5.03%), 15 Dec 2009 (-1.21%)
2008408 Feb 2008 (0.06%), 05 Mar 2008 (-1.84%), 09 May 2008 (-3.33%), 24 Nov 2008 (-13.09%)
2007409 Jan 2007 (-1.0%), 22 Feb 2007 (9.45%), 28 Mar 2007 (-0.29%), 14 Sep 2007 (-5.41%)



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