Study: Sell GMRINFRA 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 GMRINFRA 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 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
1-4774.894544.444604.56492.07-4638.56-8086.250.990.79-0.028-530.53
230215.1497277.785172.9913648.1-2997.88-5144.691.736.040.183357.24
322907.8994544.449694.9714084.51-3174.4-6196.983.052.440.0962545.32
4-13694.2293633.337273.48086.25-5919.07-14680.931.230.61-0.056-1521.58
5-48755.3492722.227311.4812363.07-9054.04-21689.410.810.23-0.16-5417.26
6-47582.6493633.336050.119389.67-10955.5-30837.330.550.28-0.12-5286.96
7-29433.2693633.3312540.5219209.04-11175.8-26954.181.120.56-0.065-3270.36
8-52169.2393633.331233517514.12-14862.37-35579.510.830.41-0.099-5796.58
9-42828.4594544.4412320.8827230.05-18422.39-36657.680.670.54-0.07-4758.72
10-39527.9492722.2220791.2335367.76-11587.2-37735.851.790.51-0.066-4391.99
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GMRINFRA Performance, X=2, Profit Factor:6.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 Jun 2019 (1.66%)
2018119 Jun 2018 (-2.57%)
2016223 Feb 2016 (0.44%), 07 Dec 2016 (-0.43%)
2014125 Sep 2014 (0.54%)
2013108 Jul 2013 (1.13%)
2012131 May 2012 (4.61%)
2010121 Jan 2010 (2.9%)
2008118 Mar 2008 (6.82%)

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
atrtrail25.2-11563.361055506920.0918679.29-9232.77-13713.660.750.75-0.032-1156.34
atrnil310.4-52346.2310282024056.9328018.93-12557.51-20068.91.920.48-0.096-5234.62
atrtrail35.6-25609.071055504110.9510733.66-9232.77-13713.660.450.45-0.091-2560.91
atrtrail-15.6-25609.071055504110.9510733.66-9232.77-13713.660.450.45-0.091-2560.91
atrnil29-68384.1810282016037.9518679.29-12557.51-20068.91.280.32-0.16-6838.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GMRINFRA Performance, Profit Factor:0.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 Jun 2019 (-2.47%)
2018119 Jun 2018 (-5.25%)
2016323 Feb 2016 (-6.39%), 24 Feb 2016 (0.08%), 07 Dec 2016 (0.61%)
2014125 Sep 2014 (-2.12%)
2013108 Jul 2013 (9.34%)
2012131 May 2012 (0.57%)
2010121 Jan 2010 (6.7%)
2008118 Mar 2008 (-6.86%)



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