Study: Sell GMRINFRA 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 GMRINFRA 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 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
17847.323121152.175330.9412992-5102.18-10555.561.041.140.015341.19
2-5939.7223111247.837190.4122683.61-7086.18-18095.241.010.93-0.0076-258.25
3-8966.5923111247.838810.4720450.61-8823.48-16666.6710.92-0.01-389.85
4-21274.1723101343.486929.3217171.72-6966.72-16566.310.990.77-0.03-924.96
512085.3823131056.526776.1313296.4-7600.43-14980.170.891.160.018525.45
618871.352315865.225986.8526516.85-8866.43-16666.670.681.270.024820.49
763333.5623121152.1712405.3133258.43-7775.47-18358.061.61.740.062753.63
882146.4223131056.5214365.3839036.76-10460.35-20555.561.371.790.0653571.58
984970.732314960.8713933.0834157.3-12232.5-27765.731.141.770.0643694.38
1098090.9823121152.1717604.5942247.19-10287.65-26666.671.711.870.0664264.83
Although, strategy looks good but profit factor on day 4 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
atrtrail35.2427388.022511144412666.7734768.82-7996.17-14995.271.581.240.0231095.52
atrtrail24.6231356.9426111542.3114544.9326229.18-8575.82-16690.91.71.240.0261206.04
atrtrail-15.89949.382511144411081.4339366.21-7996.17-14995.271.391.090.0087397.98
atrnil26.65-43747.682691734.6218642.4926229.18-12442.95-21525.531.50.79-0.031-1682.6
atrnil39.83-45678246182528381.7934768.82-11998.26-21525.532.370.79-0.03-1903.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Jun 2019 (-2.93%)
2018101 Jun 2018 (-1.33%)
2017105 May 2017 (-4.72%)
2016211 Feb 2016 (-7.5%), 20 Sep 2016 (5.94%)
2014313 Aug 2014 (-5.88%), 16 Sep 2014 (17.38%), 12 Dec 2014 (14.22%)
2013318 Jan 2013 (4.28%), 17 Jul 2013 (-4.69%), 26 Jul 2013 (15.64%)
2012222 Feb 2012 (2.88%), 10 Oct 2012 (-5.82%)
2011711 Jan 2011 (-4.61%), 28 Jan 2011 (-0.83%), 08 Feb 2011 (4.31%), 14 Mar 2011 (0.87%), 03 Jun 2011 (2.21%), 18 Jul 2011 (1.86%), 12 Dec 2011 (-7.41%)
2010107 Jun 2010 (-3.2%)
2008208 Feb 2008 (0.06%), 05 Mar 2008 (-1.84%)
2007210 Jan 2007 (-4.92%), 28 Mar 2007 (-0.29%)



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