Study: Sell GSFC 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 GSFC 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 GSFC 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
119147.52119586148.743993.4713664.12-3483.18-16189.291.151.090.0067160.9
2-43461.53119615851.265679.8119007.63-6722.93-26262.630.840.89-0.0091-365.22
3-29537.36119605950.427370.1926475.85-7995.74-32323.230.920.94-0.0049-248.21
4-66136.2119556446.229192.5737209.3-8933.24-43148.691.030.88-0.009-555.77
5-9343.17119645553.789234.7931238.78-10915.81-40875.360.850.98-0.0012-78.51
6-63263.85119625752.110687.4635229.52-12734.85-58686.960.840.91-0.0069-531.63
7-80010.86119605950.4212531.8547353.39-14100.37-66032.350.890.9-0.0077-672.36
824699.71119645553.7813076.758686.58-14767.44-65727.880.891.030.0023207.56
9-36984.75119605950.4213562.0261146.5-14418.75-57507.140.940.96-0.0033-310.8
10-7676.16119586148.7415222.1761146.5-14599.38-69762.131.040.99-0.00065-64.51

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 48.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.08%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1119147.52119586148.743993.4713664.12-3483.18-16189.291.151.090.0067160.9
atrnil39.08-182967119259421.0130354.4455712-10019.45-23802.763.030.81-0.018-1537.54
atrnil26.17-240482127359227.5619401.0837141.34-9994.78-23802.761.940.74-0.028-1893.56
atrtrail24.17-223982133409330.0812771.5135367.66-7901.53-20018.371.620.7-0.031-1684.08
atrtrail34.62-268106133409330.0811668.4253051.5-7901.53-20018.371.480.64-0.036-2015.83
atrtrail-14.92-297151133409330.0810942.2846672.3-7901.53-20018.371.380.6-0.042-2234.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 48.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.08%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GSFC Performance, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Apr 2019 (2.25%)
2018518 Jan 2018 (-1.46%), 07 Mar 2018 (-1.46%), 26 Mar 2018 (-0.43%), 27 Jun 2018 (4.75%), 14 Aug 2018 (0.67%)
2017606 Apr 2017 (1.97%), 19 May 2017 (6.83%), 07 Jun 2017 (-0.31%), 07 Aug 2017 (0.99%), 09 Nov 2017 (0.71%), 01 Dec 2017 (-0.22%)
2016515 Jan 2016 (5.42%), 17 Jun 2016 (-0.61%), 15 Jul 2016 (1.21%), 02 Sep 2016 (-0.42%), 29 Sep 2016 (-2.63%)
2015829 Jan 2015 (1.04%), 05 Mar 2015 (0.69%), 21 Apr 2015 (-1.32%), 28 May 2015 (-0.85%), 29 Jul 2015 (0.07%), 13 Aug 2015 (-0.75%), 05 Nov 2015 (1.7%), 08 Dec 2015 (2.73%)
2014104 Mar 2014 (0.34%)
2013716 Jan 2013 (-0.98%), 22 Feb 2013 (-0.16%), 26 Mar 2013 (0.09%), 30 Apr 2013 (1.46%), 06 Jun 2013 (-2.4%), 10 Jul 2013 (-2.03%), 12 Nov 2013 (-1.6%)
2012527 Feb 2012 (-2.05%), 28 Mar 2012 (-1.68%), 12 Jun 2012 (0.59%), 09 Jul 2012 (0.6%), 24 Aug 2012 (0.76%)
2011606 Jan 2011 (3.34%), 09 Feb 2011 (0.96%), 18 Apr 2011 (-0.4%), 03 May 2011 (-1.11%), 10 Jun 2011 (-0.59%), 09 Aug 2011 (-0.58%)
2010327 Jan 2010 (-1.97%), 22 Jun 2010 (-0.49%), 23 Sep 2010 (-0.5%)
2009222 Jan 2009 (-1.29%), 29 Jul 2009 (1.36%)
2008709 Jan 2008 (-1.47%), 05 Mar 2008 (6.5%), 08 May 2008 (0.92%), 03 Jun 2008 (3.54%), 24 Jun 2008 (-3.39%), 19 Aug 2008 (-4.54%), 05 Sep 2008 (3.59%)
2007823 Jan 2007 (-0.39%), 23 Feb 2007 (1.62%), 07 May 2007 (1.73%), 14 Jun 2007 (-0.29%), 05 Jul 2007 (0.15%), 08 Oct 2007 (-3.13%), 22 Nov 2007 (-1.76%), 19 Dec 2007 (-2.38%)
2006217 Jul 2006 (1.91%), 11 Sep 2006 (-1.91%)
2005515 Apr 2005 (0.71%), 29 Apr 2005 (3.45%), 16 Jun 2005 (3.49%), 12 Jul 2005 (-4.2%), 14 Oct 2005 (2.25%)
2004321 Jan 2004 (1.93%), 22 Mar 2004 (4.99%), 15 Oct 2004 (0.81%)
2003411 Feb 2003 (1.87%), 26 Feb 2003 (-0.0%), 25 Apr 2003 (0.98%), 15 Sep 2003 (-0.56%)
2002324 Jan 2002 (-1.86%), 29 Aug 2002 (0.5%), 28 Oct 2002 (-3.38%)
2001527 Feb 2001 (3.4%), 15 May 2001 (-4.08%), 07 Jun 2001 (0.79%), 20 Jul 2001 (-3.1%), 12 Sep 2001 (-0.46%)
2000618 Jan 2000 (-0.78%), 07 Mar 2000 (4.91%), 02 May 2000 (-2.46%), 23 Jun 2000 (4.76%), 24 Jul 2000 (-1.47%), 28 Sep 2000 (-1.56%)
1999714 Jan 1999 (3.41%), 09 Apr 1999 (-1.32%), 28 May 1999 (-8.09%), 14 Jun 1999 (1.5%), 08 Sep 1999 (0.74%), 01 Nov 1999 (-0.22%), 29 Dec 1999 (0.21%)
1998712 Jan 1998 (-1.17%), 02 Jun 1998 (2.52%), 12 Aug 1998 (0.43%), 06 Oct 1998 (-3.73%), 22 Oct 1998 (-0.63%), 05 Nov 1998 (-2.69%), 17 Dec 1998 (1.76%)
1997421 Jan 1997 (-4.79%), 12 Mar 1997 (0.52%), 30 May 1997 (-1.28%), 28 Oct 1997 (-3.28%)
1996610 Jan 1996 (-0.2%), 29 Feb 1996 (1.15%), 24 Jun 1996 (3.31%), 16 Jul 1996 (0.4%), 20 Aug 1996 (4.2%), 05 Nov 1996 (0.36%)
1995319 Jun 1995 (-1.48%), 14 Aug 1995 (-4.48%), 30 Oct 1995 (-1.43%)



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