Study: Sell GRASIM 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 GRASIM 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 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
126191.5220155752754.3815901.95-3024.83-6909.790.912.730.061309.58
213115.620812406203.7619704.59-3042.87-8109.252.041.360.021655.78
3-13521.3720812407611.5725612.82-6201.16-24230.561.230.82-0.014-676.07
4-77079.4920614309684.5929918.29-9656.22-46610.9210.43-0.056-3853.97
5-66980.9720614307617.1725518.54-8048.86-32947.870.950.41-0.063-3349.05
6-65805.4420812406912.3923381.52-10092.05-38035.940.680.46-0.057-3290.27
7-61232.6920713358517.3119578.88-9296.45-33730.650.920.49-0.053-3061.63
8-47736.220713359900.8720427.4-9003.25-26026.971.10.59-0.042-2386.81
9-54437.7220812407118.4318582.27-9282.1-25741.540.770.51-0.053-2721.89
10-71260.9620614309244.4818397.19-9051.99-22877.671.020.44-0.07-3563.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.73. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 75%, which is good. Average return per trade is 0.65%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GRASIM Performance, X=1, Profit Factor:2.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Sep 2019 (0.32%)
2018106 Feb 2018 (0.7%)
2016216 Feb 2016 (-0.43%), 27 Dec 2016 (0.04%)
2015216 Jun 2015 (0.13%), 23 Sep 2015 (0.25%)
2013121 Mar 2013 (0.12%)
2012111 Jun 2012 (-1.76%)
2011122 Jun 2011 (1.16%)
2010107 Jun 2010 (0.11%)
2008129 Feb 2008 (3.52%)
2007103 Apr 2007 (1.95%)
2005123 May 2005 (0.28%)
2004120 Jul 2004 (1.46%)
2002126 Nov 2002 (-0.35%)
2001112 Sep 2001 (1.57%)
2000116 Mar 2000 (7.95%)
1998123 Jun 1998 (-1.57%)
1996104 Jul 1996 (1.1%)
1995120 Dec 1995 (-3.45%)

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
nilnil-1126191.5220155752754.3815901.95-3024.83-6909.790.912.730.061309.58
atrtrail24.52216.39206143013042.6531473.12-5431.39-11212.312.41.030.0022110.82
atrnil26.11927.7206143016133.1931473.12-6776.53-11212.312.381.020.001796.39
atrnil38.6-31963.26204162020870.230183.95-7215.25-15736.562.890.72-0.027-1598.16
atrtrail-15.25-24648.7820614308565.1215365.05-5431.39-11212.311.580.68-0.034-1232.44
atrtrail35.05-24763.920614308545.9415365.05-5431.39-11212.311.570.67-0.034-1238.2

In the table above, row 1 shows the best exit criterion. Profit factor is 2.73. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 75%, which is good. Average return per trade is 0.65%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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