Study: Sell GSFC 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 GSFC 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 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
155077.021005149515002.0427787.02-4082.18-28076.921.231.280.018550.77
269265.541005347537159.0731114.81-6599.26-26063.351.081.220.015692.66
311225.941005446548048.8229752.07-9204.57-364040.871.030.002112.26
497293.0499554455.569774.9336198.35-10007.45-36847.950.981.220.015982.76
539551.2999584158.599793.9336033.06-12890.16-400000.761.070.0057399.51
6-11025.1199544554.5511301.5844628.1-13806.9-64423.080.820.98-0.0014-111.36
7-28997.799554455.5613032.2547933.88-16949.35-50101.240.770.96-0.0032-292.91
8-12545.6399514851.5215913.346422.63-17169.25-74230.770.930.98-0.0012-126.72
991053.8299544554.5516343.1376461.99-17588.34-1128830.931.120.0079919.74
1038718.1299475247.4717935.7866228.07-15466.6-89570.551.161.050.0035391.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.28. 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 51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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-1155077.021005149515002.0427787.02-4082.18-28076.921.231.280.018550.77
atrtrail34.56-22955.42112347830.3616722.3846393.28-7583.54-15839.852.210.96-0.0031-204.96
atrnil38.03-134042111268523.4228659.6846393.28-10343.45-19269.32.770.85-0.015-1207.59
atrtrail-15.21-95324.73112347830.3614593.8738349.76-7583.54-15839.851.920.84-0.014-851.11
atrtrail24.2-118881112347830.3613901.0230928.85-7583.54-15839.851.830.8-0.019-1061.44
atrnil25.92-197962111318027.9319991.7338538.6-10221.32-18898.771.960.76-0.026-1783.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019327 Mar 2019 (-2.82%), 18 Apr 2019 (1.59%), 11 Jun 2019 (-0.15%)
2018619 Jan 2018 (-1.67%), 14 May 2018 (0.34%), 24 Aug 2018 (-3.57%), 07 Sep 2018 (1.65%), 16 Nov 2018 (-1.99%), 27 Dec 2018 (-3.49%)
2017524 Jan 2017 (0.45%), 08 Mar 2017 (1.15%), 30 Mar 2017 (-4.97%), 18 May 2017 (1.06%), 13 Sep 2017 (-0.57%)
2016220 May 2016 (-0.64%), 28 Oct 2016 (-2.1%)
2015428 Jul 2015 (3.2%), 20 Oct 2015 (-0.43%), 04 Nov 2015 (0.7%), 30 Dec 2015 (-2.92%)
2014507 Apr 2014 (-5.87%), 28 Apr 2014 (1.3%), 11 Jun 2014 (-0.33%), 07 Jul 2014 (3.37%), 16 Oct 2014 (1.25%)
2013311 Jul 2013 (0.5%), 21 Oct 2013 (-1.61%), 13 Nov 2013 (-0.17%)
2012327 Mar 2012 (1.15%), 16 Apr 2012 (-2.5%), 10 Oct 2012 (-3.29%)
2011516 Mar 2011 (-0.72%), 02 May 2011 (1.19%), 08 Aug 2011 (2.65%), 27 Sep 2011 (2.01%), 15 Nov 2011 (-0.16%)
2010425 Jan 2010 (5.13%), 29 Apr 2010 (-1.78%), 22 Jul 2010 (-0.91%), 03 Nov 2010 (-1.95%)
2009628 Apr 2009 (-1.22%), 10 Jun 2009 (0.73%), 24 Sep 2009 (-4.4%), 12 Oct 2009 (-3.73%), 27 Oct 2009 (-0.53%), 22 Dec 2009 (-3.41%)
2008310 Jan 2008 (3.54%), 20 Aug 2008 (2.34%), 04 Sep 2008 (3.08%)
2007622 Feb 2007 (1.88%), 09 Aug 2007 (3.64%), 14 Sep 2007 (-0.64%), 09 Oct 2007 (-0.47%), 23 Nov 2007 (3.4%), 18 Dec 2007 (5.33%)
2006508 Feb 2006 (-1.3%), 01 Mar 2006 (1.22%), 18 May 2006 (0.37%), 12 Sep 2006 (-2.94%), 20 Nov 2006 (2.06%)
2005418 Feb 2005 (1.05%), 10 Aug 2005 (-1.9%), 25 Aug 2005 (-2.1%), 15 Dec 2005 (-0.13%)
2004801 Jan 2004 (-14.04%), 20 Jan 2004 (13.89%), 04 May 2004 (0.22%), 12 Aug 2004 (-0.75%), 14 Sep 2004 (1.87%), 29 Sep 2004 (1.02%), 14 Oct 2004 (1.99%), 30 Dec 2004 (-0.31%)
2003713 Jun 2003 (-1.26%), 27 Jun 2003 (0.82%), 11 Jul 2003 (1.54%), 29 Aug 2003 (-1.88%), 12 Sep 2003 (3.43%), 17 Oct 2003 (0.52%), 17 Dec 2003 (-3.22%)
2002412 Mar 2002 (0.92%), 12 Apr 2002 (4.41%), 28 Jun 2002 (3.68%), 31 Dec 2002 (-0.39%)
2001207 Nov 2001 (-1.61%), 04 Dec 2001 (-1.12%)
2000319 Jan 2000 (-0.58%), 22 Jun 2000 (0.81%), 19 Dec 2000 (-1.25%)
1999513 Jan 1999 (7.93%), 27 May 1999 (5.31%), 11 Jun 1999 (4.41%), 20 Jul 1999 (-3.12%), 07 Sep 1999 (4.59%)
1998217 Mar 1998 (-2.46%), 22 Apr 1998 (5.06%)
1997322 Jan 1997 (0.11%), 15 Jul 1997 (-0.64%), 19 Aug 1997 (1.03%)
1996228 Feb 1996 (5.37%), 08 May 1996 (1.28%)



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