Study: Sell GRASIM 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 GRASIM 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 GRASIM 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
1-22175.541205466453247.0913991.42-2992.7-13258.111.090.89-0.009-184.8
2-8374.72119566347.064356.9613385.84-4005.78-14457.831.090.97-0.0027-70.38
317410.82119506942.025604.3519481.37-3808.79-15570.211.471.070.0047146.31
443296.69119586148.746076.3729004.95-5067.75-26243.041.21.140.0096363.84
517580.71119536644.547692.9239125.97-5911.28-48824.271.31.050.003147.74
692813.16119566347.069016.5758424.99-6541.5-35038.591.381.230.014779.94
724490.52119566347.069621.6458043.7-8163.83-40172.321.181.050.0033205.8
868528.96119605950.4210767.3366666.67-9788.32-35828.41.11.120.0083575.87
9109768119635652.9410996.5166754.66-10410.94-26002.771.061.190.013922.42
10106707119645553.7811086.5970890.16-10960.64-32125.271.011.180.013896.7
Although, strategy looks good but profit factor on day 1 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
atrnil39.87105811114367831.5818957.544811.7-7393.06-171162.561.180.014928.17
atrnil26.971525.7127497838.5812921.2729874.47-7200.21-171161.791.130.011563.19
atrtrail-16.1353155.6129448534.1111745.7587661.9-5454.79-14210.732.151.110.0069412.06
atrtrail24.817586.29135478834.8110566.4829874.47-5443.62-14210.731.941.040.0029130.27
atrtrail35.391347.61131448733.5910789.1240721.01-5441.08-14210.731.9810.0002210.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
GRASIM Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019522 Jan 2019 (7.47%), 06 Jun 2019 (-3.35%), 08 Jul 2019 (-2.89%), 03 Oct 2019 (-4.08%), 14 Nov 2019 (-3.9%)
2018825 Jan 2018 (8.64%), 09 Mar 2018 (9.37%), 19 Jun 2018 (-2.52%), 10 Aug 2018 (-2.88%), 04 Sep 2018 (-2.89%), 24 Sep 2018 (-3.28%), 06 Dec 2018 (-3.61%), 27 Dec 2018 (-3.09%)
2017408 Jun 2017 (-2.55%), 19 Jul 2017 (-5.42%), 22 Sep 2017 (-2.88%), 14 Nov 2017 (8.89%)
2016504 Jan 2016 (5.41%), 25 Feb 2016 (-2.58%), 10 Aug 2016 (7.81%), 17 Oct 2016 (7.68%), 16 Dec 2016 (-2.97%)
2015309 Feb 2015 (-2.47%), 09 Mar 2015 (9.44%), 12 Aug 2015 (-2.27%)
2014302 Jan 2014 (7.4%), 14 Feb 2014 (-2.21%), 25 Sep 2014 (7.69%)
2013628 Feb 2013 (-2.19%), 18 Mar 2013 (6.59%), 23 May 2013 (7.24%), 25 Jul 2013 (6.73%), 07 Nov 2013 (-2.78%), 17 Dec 2013 (-2.39%)
2012404 Jan 2012 (-2.93%), 24 Apr 2012 (7.45%), 01 Jun 2012 (-3.21%), 10 Dec 2012 (6.62%)
2011511 Jan 2011 (-2.66%), 25 Jan 2011 (-2.69%), 15 Jun 2011 (6.92%), 05 Aug 2011 (-2.48%), 16 Dec 2011 (-3.22%)
2010322 Feb 2010 (-3.04%), 12 Nov 2010 (-2.75%), 16 Dec 2010 (-2.82%)
2009502 Mar 2009 (-5.32%), 02 Sep 2009 (-3.4%), 14 Sep 2009 (-3.06%), 01 Oct 2009 (9.28%), 22 Dec 2009 (-2.59%)
2008604 Jan 2008 (10.81%), 07 Feb 2008 (-6.5%), 18 Mar 2008 (16.06%), 25 Jun 2008 (12.33%), 22 Aug 2008 (-4.28%), 15 Sep 2008 (12.39%)
2007324 Jan 2007 (-2.66%), 22 Nov 2007 (-4.81%), 06 Dec 2007 (-4.12%)
2006121 Jul 2006 (-5.19%)
2005416 Mar 2005 (6.65%), 18 Apr 2005 (-3.59%), 03 May 2005 (9.42%), 22 Sep 2005 (-3.19%)
2004512 Mar 2004 (-4.82%), 04 May 2004 (-4.83%), 04 Jun 2004 (-7.82%), 18 Nov 2004 (-2.56%), 29 Nov 2004 (-2.73%)
2003209 Apr 2003 (-3.07%), 12 May 2003 (-2.95%)
2002522 Apr 2002 (-2.12%), 27 Jun 2002 (-2.25%), 19 Sep 2002 (-2.51%), 30 Oct 2002 (-2.72%), 21 Nov 2002 (7.94%)
2001713 Feb 2001 (-4.64%), 23 Jul 2001 (-3.74%), 09 Aug 2001 (-3.44%), 20 Aug 2001 (9.44%), 21 Sep 2001 (-5.43%), 19 Nov 2001 (-4.21%), 18 Dec 2001 (-4.49%)
2000518 Jan 2000 (22.41%), 21 Mar 2000 (-8.56%), 27 Apr 2000 (-7.11%), 17 Aug 2000 (-6.96%), 06 Sep 2000 (15.67%)
1999316 Mar 1999 (-6.66%), 17 Mar 1999 (19.34%), 26 Oct 1999 (-7.14%)
1998622 Jun 1998 (-5.86%), 09 Jul 1998 (18.29%), 28 Aug 1998 (-5.79%), 13 Oct 1998 (-6.99%), 14 Oct 1998 (-6.59%), 26 Nov 1998 (-5.16%)
1997411 Mar 1997 (10.35%), 11 Aug 1997 (7.18%), 03 Nov 1997 (-2.43%), 13 Nov 1997 (-2.74%)
1996516 Jan 1996 (-2.09%), 03 May 1996 (7.47%), 13 Aug 1996 (-2.67%), 30 Sep 1996 (7.32%), 04 Nov 1996 (9.06%)
1995721 Apr 1995 (-2.22%), 11 Aug 1995 (-2.03%), 27 Sep 1995 (2.82%), 23 Oct 1995 (-1.26%), 24 Oct 1995 (-1.32%), 10 Nov 1995 (5.67%), 13 Nov 1995 (-2.73%)



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