Study: Sell GRASIM 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 GRASIM 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 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
1-21953.0898455345.923138.2115985.63-3078.73-14322.211.020.87-0.01-224.01
2-3244.8498455345.925072.8318548.27-4368.34-16311.651.160.99-0.0011-33.11
324655.4198485048.986703.6125146.8-5942.36-23211.021.131.080.006251.59
475831.6898455345.928952.1445384.07-6170.08-29828.771.451.230.015773.79
56150.9998465246.9410086.4463932.35-8804.33-53388.431.151.010.0009262.77
6-54048.9498465246.949971.8663565.89-9860.66-63988.671.010.89-0.0078-551.52
7-11576198475147.9610767.371853.42-12192.63-60480.310.880.81-0.014-1181.24
8-96831.2998485048.9811226.4371937.98-12714-62369.340.880.85-0.011-988.07
9-1743999849495011172.9475912.61-14732.1-83362.370.760.76-0.018-1779.58
10-182814984949501152775687.1-15257.91-1060540.760.76-0.018-1865.45
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
atrnil24.7192031.58114427236.8413889.7728421.19-6824.15-13956.072.041.190.015807.29
atrtrail23.5123735.05114417335.9610445.6128421.19-5541.58-13115.891.881.060.0046208.2
atrnil37.3726203.02114308426.3220230.6742631.78-6913.3-13956.072.931.050.0037229.85
atrtrail34.08-18213.16114417335.969422.4942631.78-5541.58-13115.891.70.95-0.0033-159.76
atrtrail-14.43-34668.82114417335.969021.1361920.48-5541.58-13115.891.630.91-0.0062-304.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Mar 2019 (-2.44%), 28 Mar 2019 (-2.4%), 03 Apr 2019 (-2.53%), 07 May 2019 (5.74%), 09 Jul 2019 (-2.86%)
2018224 Jan 2018 (5.81%), 25 Sep 2018 (6.46%)
2017527 Feb 2017 (-2.76%), 28 Mar 2017 (-2.58%), 10 May 2017 (5.53%), 21 Sep 2017 (5.69%), 13 Nov 2017 (5.68%)
2016525 Apr 2016 (-2.02%), 18 May 2016 (-1.81%), 29 Jul 2016 (-1.72%), 30 Sep 2016 (-2.53%), 18 Oct 2016 (4.9%)
2015406 Feb 2015 (-2.35%), 29 Jul 2015 (-2.11%), 11 Aug 2015 (4.25%), 09 Dec 2015 (3.08%)
2014603 Apr 2014 (-2.21%), 19 Jun 2014 (6.74%), 17 Sep 2014 (-2.27%), 18 Sep 2014 (-2.27%), 24 Sep 2014 (4.86%), 21 Nov 2014 (4.25%)
2013206 Nov 2013 (5.42%), 18 Dec 2013 (-2.36%)
2012222 Feb 2012 (5.3%), 10 Oct 2012 (-3.0%)
2011624 Jan 2011 (5.32%), 15 Apr 2011 (4.97%), 03 Oct 2011 (-3.47%), 18 Oct 2011 (-3.06%), 11 Nov 2011 (5.49%), 19 Dec 2011 (-3.23%)
2010420 Jan 2010 (5.53%), 23 Feb 2010 (-2.95%), 31 Aug 2010 (-2.7%), 23 Sep 2010 (-2.44%)
20091016 Jan 2009 (11.61%), 20 Feb 2009 (-4.72%), 03 Mar 2009 (-5.27%), 08 Apr 2009 (-4.19%), 09 Apr 2009 (-4.13%), 11 May 2009 (-4.64%), 01 Jun 2009 (-5.32%), 12 Jun 2009 (11.42%), 31 Jul 2009 (8.72%), 21 Dec 2009 (-2.58%)
2008125 Aug 2008 (-4.1%)
2007725 Jan 2007 (5.73%), 11 May 2007 (-3.49%), 27 Jul 2007 (-3.25%), 30 Jul 2007 (6.67%), 08 Oct 2007 (-3.49%), 09 Oct 2007 (-3.66%), 18 Oct 2007 (-4.57%)
20061225 Jan 2006 (-3.27%), 24 Feb 2006 (-3.29%), 27 Feb 2006 (-3.25%), 27 Mar 2006 (-2.95%), 28 Apr 2006 (-4.18%), 04 May 2006 (9.16%), 11 Sep 2006 (-2.46%), 28 Sep 2006 (-2.46%), 29 Sep 2006 (-2.42%), 18 Oct 2006 (-2.57%), 09 Nov 2006 (-2.26%), 07 Dec 2006 (4.3%)
2005605 Jan 2005 (5.36%), 18 Feb 2005 (-2.15%), 15 Mar 2005 (4.22%), 24 Aug 2005 (-2.79%), 23 Sep 2005 (6.32%), 08 Dec 2005 (-3.2%)
2004421 Jan 2004 (-5.21%), 19 Feb 2004 (-4.87%), 05 May 2004 (9.34%), 21 Sep 2004 (-2.84%)
2003710 Feb 2003 (-3.06%), 09 Jun 2003 (-2.79%), 09 Jul 2003 (-3.73%), 26 Aug 2003 (8.21%), 23 Oct 2003 (-5.3%), 24 Oct 2003 (-5.05%), 15 Nov 2003 (9.14%)
2002422 Feb 2002 (-3.38%), 21 May 2002 (-2.96%), 26 Jun 2002 (-2.3%), 17 Jul 2002 (5.32%)
2001505 Jan 2001 (-4.86%), 12 Feb 2001 (8.82%), 16 May 2001 (-5.94%), 06 Jun 2001 (8.7%), 14 Dec 2001 (8.35%)
2000328 Apr 2000 (14.21%), 17 Jul 2000 (8.81%), 21 Dec 2000 (-5.07%)
1999715 Jan 1999 (9.82%), 27 May 1999 (-6.98%), 28 Jun 1999 (-6.12%), 23 Jul 1999 (10.63%), 02 Sep 1999 (-6.56%), 21 Sep 1999 (-6.08%), 22 Sep 1999 (12.09%)
1998206 Jan 1998 (5.13%), 29 Apr 1998 (-5.07%)
1997310 Jun 1997 (-1.84%), 20 Jun 1997 (-1.51%), 12 Aug 1997 (4.6%)
1996112 Mar 1996 (-3.21%)
1995112 Jun 1995 (-2.22%)



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