Study: Sell GRANULES 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 GRANULES 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 GRANULES 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
118404.9951292256.864000.5614780.85-4436.88-15834.590.91.190.017360.88
2-2512.5951292256.865326.3920671.83-7135.35-23298.030.750.98-0.0016-49.27
335399.0551302158.826806.0617536.31-8037.28-30458.90.851.210.02694.1
423025.1151272452.948345.0829800.97-8428.84-28827.430.991.110.011451.47
5-78280.7551252649.027981.0924852.07-10684.92-52043.60.750.72-0.032-1534.92
6-86981.6251262550.987597.9823238.3-11381.16-38396.920.670.69-0.036-1705.52
7-12801351242747.066777.7719688-10765.91-31743.870.630.56-0.059-2510.06
8-12905251183335.297081.1622005.07-7773.12-29564.030.910.5-0.072-2530.43
9-99745.4351252649.026991.325696.71-10558.77-28143.020.660.64-0.048-1955.79
10-54735.1151242747.068530.0129716.34-9609.46-29721.140.890.79-0.026-1073.24
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
atrnil38.57-1306566513522027186.5136279.01-9309.24-16356.182.920.73-0.037-2010.09
atrtrail23.86-93477.2365214432.3110759.6723113.17-7259.78-16356.181.480.71-0.04-1438.11
atrnil26.14-13061565184727.6917454.5924186.01-9463.77-16356.181.840.71-0.045-2009.46
atrtrail34.17-13922265214432.318581.3434669.75-7259.78-16356.181.180.56-0.064-2141.88
atrtrail-14.35-16203265214432.317495.1522278.3-7259.78-16356.181.030.49-0.084-2492.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
GRANULES Performance, Profit Factor:0.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018314 Aug 2018 (-4.49%), 29 Aug 2018 (-3.7%), 11 Sep 2018 (-4.0%)
2017502 Mar 2017 (-4.03%), 07 Apr 2017 (-2.62%), 22 May 2017 (12.25%), 01 Nov 2017 (-3.44%), 02 Nov 2017 (10.1%)
2016530 Mar 2016 (-4.15%), 04 May 2016 (-3.18%), 17 Jun 2016 (-2.56%), 19 Jul 2016 (-2.58%), 22 Jul 2016 (7.89%)
2015727 Jan 2015 (-3.3%), 28 Jan 2015 (10.55%), 22 Apr 2015 (17.33%), 10 Aug 2015 (-4.1%), 25 Aug 2015 (-8.18%), 19 Oct 2015 (-4.25%), 08 Dec 2015 (-3.61%)
2014701 Jan 2014 (-4.19%), 19 Feb 2014 (-4.77%), 16 May 2014 (-5.37%), 28 Jul 2014 (-6.29%), 11 Sep 2014 (-3.76%), 26 Sep 2014 (-5.86%), 08 Oct 2014 (16.84%)
2013521 May 2013 (16.0%), 30 Jul 2013 (-6.09%), 24 Sep 2013 (-4.3%), 01 Nov 2013 (-4.1%), 03 Nov 2013 (-4.07%)
2012509 Feb 2012 (-4.23%), 05 Mar 2012 (-5.01%), 12 Jul 2012 (-4.27%), 25 Jul 2012 (-4.98%), 18 Sep 2012 (18.14%)
2011317 Mar 2011 (-2.56%), 30 Mar 2011 (-2.9%), 19 Apr 2011 (-2.83%)
2010726 Mar 2010 (-3.52%), 29 Apr 2010 (-4.19%), 30 Apr 2010 (-4.27%), 05 May 2010 (-4.77%), 06 May 2010 (14.09%), 23 Sep 2010 (-3.95%), 22 Oct 2010 (12.74%)
20091104 May 2009 (-5.55%), 05 May 2009 (-5.44%), 11 Jun 2009 (-6.76%), 19 Aug 2009 (-4.72%), 20 Aug 2009 (-4.88%), 03 Sep 2009 (-5.89%), 04 Sep 2009 (-6.27%), 06 Oct 2009 (-6.2%), 04 Nov 2009 (-7.65%), 25 Nov 2009 (-6.08%), 10 Dec 2009 (-4.57%)
2007302 Feb 2007 (-4.46%), 13 Feb 2007 (-6.01%), 17 May 2007 (12.79%)
2006330 Jan 2006 (14.51%), 06 Sep 2006 (-6.53%), 03 Oct 2006 (-6.58%)
2005116 Sep 2005 (13.48%)



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