Study: Sell GSFC 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 GSFC 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 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
123945.3648262254.174276.4413664.12-3965.55-16189.291.081.270.019498.86
2-2913.3448252352.086192.1419007.63-6857.26-20676.330.90.98-0.0015-60.69
334290.4348252352.088433.7826475.85-7676.26-29758.451.11.190.014714.38
424425.7948252352.088736.137209.3-8433.77-30386.051.041.130.0091508.87
53579.4248272156.258820.4831238.78-11170.17-29140.720.791.020.001274.57
67558.1648291960.429431.5334829.44-13997.69-43586.550.671.030.0022157.46
721739.3648272156.2512047.3238998.21-14454.2-47820.670.831.070.0054452.9
859421.5148282058.3311775.5640429.34-13514.71-40831.870.871.220.0161237.95
959245.174824245013909.9652951.7-11441.41-43936.731.221.220.0151234.27
10-2716.248212743.7514458.3543066.78-11345.98-53368.481.270.99-0.00066-56.59

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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-1123945.3648262254.174276.4413664.12-3965.55-16189.291.081.270.019498.86
atrnil38.27-1735815294317.3131927.6348062.15-10719.3-23802.762.980.62-0.041-3338.1
atrnil26.15-23162152104219.2321672.7632041.43-10674.98-23802.762.030.48-0.068-4454.26
atrtrail23.75-19590853134024.5310787.8932041.43-8403.77-20018.371.280.42-0.069-3696.38
atrtrail34.06-22681753134024.538410.2933217.76-8403.77-20018.3710.33-0.088-4279.57
atrtrail-14.08-23478653134024.537797.2733217.76-8403.77-20018.370.930.3-0.096-4429.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018307 Mar 2018 (-1.46%), 26 Mar 2018 (-0.43%), 27 Jun 2018 (4.75%)
2017306 Apr 2017 (1.97%), 19 May 2017 (6.83%), 09 Nov 2017 (0.71%)
2016115 Jan 2016 (5.42%)
2015329 Jul 2015 (0.07%), 05 Nov 2015 (1.7%), 08 Dec 2015 (2.73%)
2013110 Jul 2013 (-2.03%)
2012212 Jun 2012 (0.59%), 24 Aug 2012 (0.76%)
2011210 Jun 2011 (-0.59%), 09 Aug 2011 (-0.58%)
2010127 Jan 2010 (-1.97%)
2008109 Jan 2008 (-1.47%)
2007623 Jan 2007 (-0.39%), 23 Feb 2007 (1.62%), 14 Jun 2007 (-0.29%), 05 Jul 2007 (0.15%), 08 Oct 2007 (-3.13%), 22 Nov 2007 (-1.76%)
2006117 Jul 2006 (1.91%)
2005216 Jun 2005 (3.49%), 14 Oct 2005 (2.25%)
2004221 Jan 2004 (1.93%), 15 Oct 2004 (0.81%)
2003225 Apr 2003 (0.98%), 15 Sep 2003 (-0.56%)
2002229 Aug 2002 (0.5%), 28 Oct 2002 (-3.38%)
2001327 Feb 2001 (3.4%), 20 Jul 2001 (-3.1%), 12 Sep 2001 (-0.46%)
2000318 Jan 2000 (-0.78%), 03 May 2000 (-1.56%), 06 Oct 2000 (-2.37%)
1999414 Jan 1999 (3.41%), 28 May 1999 (-8.09%), 14 Jun 1999 (1.5%), 29 Dec 1999 (0.21%)
1998112 Jan 1998 (-1.17%)
1997221 Jan 1997 (-4.79%), 28 Oct 1997 (-3.28%)
1996324 Jun 1996 (3.31%), 16 Jul 1996 (0.4%), 20 Aug 1996 (4.2%)



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