Study: Sell JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
160845.18251213488511.120747.21-3176-11018.362.682.470.0792433.81
241426.07251213488284.822570.29-4460.89-9472.261.861.710.0511657.04
380302.442513125212526.0448658.36-6878-16508.81.821.970.0563212.1
485394.962513125214293.964963.41-8368.81-22598.111.711.850.0473415.8
517138.472510154016294.4649993.58-9720.41-29565.221.681.120.0099685.54
6-20288.02259163616371.4138259.08-10476.92-25876.461.560.88-0.012-811.52
73949.872510154018197.3846783.93-11868.27-35726.211.531.020.0021157.99
843236.192513125216253.954333.03-14005.37-30434.781.161.260.0211729.45
945288.252512134818718.0956207.47-13794.53-36231.881.361.250.0211811.53
1013278.142512134817255.1456541.28-14906.43-35942.031.161.070.0063531.13

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.47. 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 48%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
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.
JISLJALEQS Performance, X=1, Profit Factor:2.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018401 Feb 2018 (7.73%), 05 Jun 2018 (-2.42%), 23 Jul 2018 (-5.14%), 20 Aug 2018 (-1.11%)
2016120 Dec 2016 (-1.05%)
2015103 Jun 2015 (-0.49%)
2014124 Sep 2014 (5.0%)
2013428 Feb 2013 (-5.51%), 22 Mar 2013 (1.36%), 05 Jun 2013 (1.43%), 11 Nov 2013 (-0.48%)
2011517 Mar 2011 (-0.72%), 31 Mar 2011 (-1.17%), 18 Apr 2011 (-0.03%), 08 Jun 2011 (2.18%), 03 Nov 2011 (4.22%)
2010112 Nov 2010 (2.08%)
2009103 Dec 2009 (5.16%)
2008318 Jan 2008 (3.22%), 18 Aug 2008 (7.25%), 03 Oct 2008 (10.37%)
2005105 Jan 2005 (-2.16%)
2004228 Apr 2004 (-0.37%), 17 Dec 2004 (1.05%)
2002118 Nov 2002 (-0.0%)

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-1160845.18251213488511.120747.21-3176-11018.362.682.470.0792433.81
atrtrail24.0858615.072510154018685.1828385.94-8549.12-12804.842.191.460.0392344.6
atrtrail34.8856263.682510154018450.0441694.26-8549.12-12804.842.161.440.0342250.55
atrtrail-16.1645705.342510154017394.2147668.73-8549.12-12804.842.031.360.0271828.21
atrnil25.6253643.162491537.522903.4528385.94-10165.86-15708.772.251.350.0332235.13
atrnil38.7852048.532361726.0937505.5442578.91-10175.57-15708.773.691.30.0262262.98

In the table above, row 1 shows the best exit criterion. Profit factor is 2.47. 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 48%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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