Study: Sell GRASIM 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 GRASIM 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 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
14721.67321616503956.0912858.22-3660.98-13258.111.081.080.0057147.55
211473.8732122037.56934.5212276.04-3587.02-9827.861.931.160.012358.56
364955.8732151746.887849.319481.37-3104.92-7653.612.532.230.0572029.87
480436.1132151746.889094.3929004.95-3292.93-8167.722.762.440.0652513.63
530954.1932131940.628961.5328360.94-4502.41-10926.31.991.360.024967.32
632692.2932141843.758643.5935962.24-4906.56-13478.631.761.370.0221021.63
714354.2432151746.887981.1235010.86-6197.8-18239.171.291.140.0096448.57
825885.1432151746.889413.430834.53-6783.28-19845.141.391.220.016808.91
923900.6632171553.127725.2336674.55-7161.88-20848.871.081.220.015746.9
101325.2732171553.128012.2729117.17-8992.23-22139.370.891.010.0007741.41
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GRASIM Performance, X=4, Profit Factor:2.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Jun 2019 (-2.16%)
2018113 Apr 2018 (-3.81%)
2017219 Jul 2017 (-2.43%), 22 Sep 2017 (4.14%)
2016210 Aug 2016 (6.68%), 16 Dec 2016 (-0.14%)
2015209 Feb 2015 (-4.08%), 12 Aug 2015 (-1.36%)
2014125 Sep 2014 (1.39%)
2013123 May 2013 (1.28%)
2012225 Apr 2012 (-1.69%), 01 Jun 2012 (-2.85%)
2011115 Jun 2011 (7.24%)
2010112 Nov 2010 (3.6%)
2008307 Feb 2008 (3.01%), 25 Jun 2008 (14.5%), 22 Aug 2008 (-0.24%)
2005518 Apr 2005 (-2.51%), 03 May 2005 (-1.08%), 07 Jun 2005 (-0.21%), 30 Jun 2005 (-0.31%), 22 Sep 2005 (-2.31%)
2004111 Jun 2004 (6.72%)
2003112 May 2003 (-1.62%)
2001113 Feb 2001 (-0.05%)
1999126 Oct 1999 (3.35%)
1998228 Aug 1998 (2.16%), 13 Oct 1998 (1.34%)
1997103 Nov 1997 (-1.15%)
1996213 Aug 1996 (5.57%), 30 Sep 1996 (5.0%)
1995121 Apr 1995 (2.23%)

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
atrnil26.88-9515.9734132138.2412238.7826355.51-8029.53-14274.871.520.94-0.0054-279.88
atrtrail24.09-9520.3535112431.4311232.5926355.51-5544.95-13987.562.030.93-0.0063-272.01
atrtrail34.65-38789.0234102429.419428.9824665.8-5544.95-13987.561.70.71-0.029-1140.85
atrtrail-14.97-45534.5934102429.418754.4227537.7-5544.95-13987.561.580.66-0.035-1339.25
atrnil39.53-80571.313272521.8816782.0524665.8-7921.83-14274.872.120.59-0.048-2517.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 38.24%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:0.944

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Jun 2019 (-3.35%)
2018113 Apr 2018 (-2.61%)
2017219 Jul 2017 (-5.42%), 22 Sep 2017 (5.75%)
2016310 Aug 2016 (5.21%), 11 Aug 2016 (6.2%), 16 Dec 2016 (-2.97%)
2015209 Feb 2015 (-2.47%), 12 Aug 2015 (-2.27%)
2014125 Sep 2014 (5.13%)
2013123 May 2013 (4.82%)
2012225 Apr 2012 (-2.53%), 01 Jun 2012 (-3.21%)
2011115 Jun 2011 (4.61%)
2010112 Nov 2010 (5.5%)
2008307 Feb 2008 (-6.5%), 25 Jun 2008 (8.22%), 22 Aug 2008 (-4.28%)
2005418 Apr 2005 (-3.59%), 03 May 2005 (6.28%), 30 Jun 2005 (-2.38%), 22 Sep 2005 (-3.19%)
2004111 Jun 2004 (-6.88%)
2003112 May 2003 (-2.95%)
2001113 Feb 2001 (-4.64%)
1999126 Oct 1999 (-7.14%)
1998328 Aug 1998 (-5.79%), 13 Oct 1998 (-6.99%), 14 Oct 1998 (13.18%)
1997203 Nov 1997 (-2.43%), 13 Nov 1997 (-2.74%)
1996213 Aug 1996 (5.33%), 30 Sep 1996 (4.88%)
1995121 Apr 1995 (4.43%)



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