Study: Sell LT 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 LT 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 LT 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
151491.0856342260.713114.7413021.61-2473.19-12711.571.261.950.058919.48
272484.2956342260.715174.6820329.93-4702.49-13132.941.11.70.0541294.36
312389156332358.937074.7430633.37-4764.16-17940.231.482.130.0712212.33
498887.8356312555.368132.1323533.93-6128.33-20159.271.331.650.0491765.85
512150456312555.369295.4332964.59-6666.17-18924.481.391.730.0532169.72
612513156292751.7911157.2729599.88-7349.27-17359.11.521.630.0492234.48
711809056322457.1410642.732903.05-9269.84-22285.891.151.530.0432108.76
814619556312555.3612207.5731890.49-9289.6-26167.211.311.630.052610.62
996483.4556302653.5711570.928330.2-9640.14-24785.711.21.380.0341722.92
1013901756332358.9311528.5531007.21-10496.74-27297.181.11.580.0482482.45

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.13. 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 58.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.071, 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.
LT Performance, X=3, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Feb 2019 (1.52%), 14 Aug 2019 (-0.66%)
2018406 Feb 2018 (1.76%), 16 Mar 2018 (-3.16%), 05 Jun 2018 (-0.76%), 09 Aug 2018 (2.45%)
2017206 Sep 2017 (-8.97%), 25 Sep 2017 (2.73%)
2016406 Jan 2016 (5.13%), 15 Sep 2016 (-0.39%), 01 Nov 2016 (2.96%), 22 Dec 2016 (-3.11%)
2015509 Feb 2015 (-4.93%), 20 Apr 2015 (-1.51%), 23 Sep 2015 (3.28%), 27 Oct 2015 (5.62%), 11 Dec 2015 (0.38%)
2014228 Jan 2014 (-0.24%), 16 Sep 2014 (-1.11%)
2013707 Jan 2013 (2.62%), 04 Feb 2013 (2.51%), 21 Mar 2013 (4.08%), 22 May 2013 (3.06%), 24 Jun 2013 (0.31%), 22 Jul 2013 (5.23%), 01 Oct 2013 (-1.14%)
2012519 Mar 2012 (-0.03%), 10 Apr 2012 (0.23%), 24 Apr 2012 (-0.14%), 27 Aug 2012 (3.0%), 13 Dec 2012 (-1.86%)
2011606 Jan 2011 (5.19%), 17 Mar 2011 (0.14%), 20 Jun 2011 (-0.44%), 19 Sep 2011 (4.46%), 15 Nov 2011 (3.4%), 13 Dec 2011 (8.37%)
2010328 Jul 2010 (0.62%), 31 Aug 2010 (-1.18%), 22 Dec 2010 (0.27%)
2009509 Jan 2009 (1.62%), 20 Feb 2009 (1.86%), 07 Aug 2009 (3.02%), 27 Nov 2009 (-2.34%), 21 Dec 2009 (-4.48%)
2008814 Jan 2008 (2.09%), 04 Mar 2008 (15.32%), 08 Apr 2008 (-7.46%), 12 May 2008 (-4.45%), 04 Jun 2008 (5.69%), 20 Jun 2008 (9.79%), 15 Sep 2008 (-0.46%), 20 Nov 2008 (-3.49%)
2007109 Jan 2007 (-2.46%)
2006216 May 2006 (5.75%), 18 Jul 2006 (2.27%)

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-1312389156332358.937074.7430633.37-4764.16-17940.231.482.130.0712212.33
atrtrail34.821405406027334511122.6931209.81-4841.59-19676.762.31.880.0592342.34
atrtrail-15.6107633602733459903.924612.97-4841.59-19676.762.051.670.051793.88
atrtrail2411152961273444.2610321.1929339.08-4915.98-19676.762.11.670.0511828.34
atrnil25.6795321.4661253640.9813159.9429339.08-6491.03-19676.762.031.410.0381562.65
atrnil38.6797754.1555173830.9120009.644008.62-6379.18-19676.763.141.40.0341777.35

In the table above, row 1 shows the best exit criterion. Profit factor is 2.13. 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 58.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.071, 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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