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

home > technical-strategy > gmrinfra > 63

In this study, we evaluate the performance of strategy "Sell GMRINFRA 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 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
1-10895644152934.094786.7421304.35-6232.99-27485.380.770.4-0.088-2476.27
2-47374.1843182541.866323.0318260.87-6447.55-28070.180.980.71-0.036-1101.73
3-15657.3643192444.198302.0128318.58-7224.82-33918.131.150.91-0.009-364.12
437389.843222151.169399.6730396.48-8066.81-31578.951.171.220.021869.53
569959.9643241955.819399.924443.34-8191.45-28070.181.151.450.0411626.98
689565.8543251858.1410878.3230000-10132.89-26851.851.071.490.0452082.93
710656443241955.8112855.9931718.06-10630.52-39814.811.211.530.0472478.23
817651343271662.7914709.8329737.75-13790.79-37962.961.071.80.0684104.95
922669743281565.1215635.9833228.84-14074.03-38425.931.112.070.0845272.02
1019974943281565.1214285.3941379.31-13349.44-34259.261.0720.0774645.33
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=9, Profit Factor:2.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-9.65%), 08 Apr 2019 (4.66%), 01 Oct 2019 (-6.12%)
2018512 Jan 2018 (-8.33%), 29 Jan 2018 (13.88%), 02 May 2018 (10.5%), 01 Aug 2018 (0.83%), 06 Sep 2018 (15.84%)
2017520 Mar 2017 (4.19%), 04 May 2017 (-2.67%), 19 May 2017 (11.8%), 30 Jun 2017 (8.65%), 09 Nov 2017 (4.49%)
2016304 Jan 2016 (16.61%), 06 May 2016 (7.29%), 21 Jul 2016 (3.2%)
2015511 Feb 2015 (0.28%), 26 Feb 2015 (8.06%), 22 Jul 2015 (3.11%), 21 Oct 2015 (7.01%), 09 Dec 2015 (-4.01%)
2014424 Jan 2014 (13.7%), 28 Mar 2014 (-19.21%), 30 Apr 2014 (-14.89%), 06 Jun 2014 (6.28%)
2013321 Jan 2013 (-0.5%), 09 Apr 2013 (-5.45%), 08 Oct 2013 (1.33%)
2012303 Feb 2012 (-8.59%), 26 Mar 2012 (2.2%), 11 Oct 2012 (12.89%)
2009512 Jan 2009 (1.83%), 24 Feb 2009 (11.07%), 28 Apr 2009 (-2.11%), 08 Jun 2009 (8.05%), 15 Sep 2009 (-2.11%)
2008125 Aug 2008 (-4.12%)
2007521 Feb 2007 (13.5%), 04 Jun 2007 (-15.55%), 20 Jul 2007 (12.94%), 09 Oct 2007 (11.8%), 07 Dec 2007 (2.91%)
2006115 Nov 2006 (-2.25%)

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
atrnil37.0975390.0347143329.7929785.3745080.56-10351.67-18602.092.881.220.0241604.04
atrtrail34.5544839.4347173036.1717608.7635291.87-8483.65-14192.222.081.180.018954.03
atrtrail23.8339151.8647173036.1717274.230053.71-8483.65-14192.222.041.150.017833.02
atrnil25.321638.6247173036.1719695.7730053.71-10439.65-18602.091.891.070.0086460.4
atrtrail-15.45-495.4547173036.1714942.0134673.01-8483.65-14192.221.761-0.00023-10.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 29.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Mar 2019 (-3.4%), 05 Apr 2019 (12.83%), 01 Oct 2019 (-4.62%), 14 Nov 2019 (-4.19%)
2018512 Jan 2018 (-5.64%), 25 Jan 2018 (17.3%), 02 May 2018 (13.23%), 01 Aug 2018 (-4.01%), 06 Sep 2018 (13.96%)
2017520 Mar 2017 (-4.18%), 04 May 2017 (-4.46%), 19 May 2017 (12.84%), 30 Jun 2017 (-6.8%), 09 Nov 2017 (-4.38%)
2016304 Jan 2016 (14.44%), 06 May 2016 (-3.87%), 21 Jul 2016 (-4.38%)
2015511 Feb 2015 (-5.81%), 26 Feb 2015 (-4.95%), 22 Jul 2015 (-4.13%), 21 Oct 2015 (14.05%), 09 Dec 2015 (-7.1%)
2014524 Jan 2014 (10.94%), 28 Mar 2014 (-3.51%), 30 Apr 2014 (-4.5%), 06 Jun 2014 (-5.38%), 11 Jun 2014 (17.37%)
2013321 Jan 2013 (11.77%), 09 Apr 2013 (-5.34%), 08 Oct 2013 (-4.54%)
2012303 Feb 2012 (-5.42%), 26 Mar 2012 (-6.54%), 11 Oct 2012 (-5.79%)
2009512 Jan 2009 (-9.3%), 24 Feb 2009 (-6.47%), 28 Apr 2009 (-7.04%), 08 Jun 2009 (22.54%), 15 Sep 2009 (-4.6%)
2008225 Aug 2008 (-5.48%), 08 Sep 2008 (17.65%)
2007621 Feb 2007 (13.64%), 04 Jun 2007 (-4.16%), 20 Jul 2007 (-4.96%), 25 Jul 2007 (15.94%), 09 Oct 2007 (-6.27%), 07 Dec 2007 (-6.02%)
2006115 Nov 2006 (-3.56%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play