Study: Sell MANAPPURAM 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 MANAPPURAM 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 MANAPPURAM 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
163280.74149564.2911176.2527075.81-7461.09-18604.651.52.70.134520.05
290661.96149564.2914278.2635213.2-7568.48-17816.811.893.40.146475.85
373780.4114775022269.340458.02-11729.24-19277.111.91.90.095270.03
436017.59146842.8623532.2645801.53-13147-28103.041.791.340.0382572.68
5-4212.48148657.1416457.841877.26-22645.81-37420.720.730.97-0.0043-300.89
6-51183.3714775015134.1644043.32-22446.07-45243.130.670.67-0.05-3655.96
7-77294.3814775013458.8939711.19-24500.94-43763.210.550.55-0.08-5521.03
8-45935.1114775013524.1536823.1-20086.31-40380.550.670.67-0.052-3281.08
9-22159.0614775015533.543682.31-18699.08-40963.860.830.83-0.024-1582.79
10506.1114775019474.1454512.64-19401.84-45783.13110.0004736.15

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.4. Strategy is very good and impressively bearish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.24%, which is very good.
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.
MANAPPURAM Performance, X=2, Profit Factor:3.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018119 Jun 2018 (0.3%)
2016119 Dec 2016 (1.43%)
2015109 Sep 2015 (0.23%)
2013524 Jan 2013 (-8.91%), 19 Mar 2013 (13.9%), 16 Apr 2013 (-2.55%), 07 Aug 2013 (-4.42%), 14 Nov 2013 (-1.61%)
2012307 Feb 2012 (-1.44%), 23 Mar 2012 (17.61%), 04 May 2012 (7.82%)
2011209 Jun 2011 (2.05%), 24 Aug 2011 (8.77%)
2010125 Nov 2010 (12.15%)

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-1290661.96149564.2914278.2635213.2-7568.48-17816.811.893.40.146475.85
atrtrail35.2562255.2516885017546.247910.68-9764.29-15179.041.81.80.0713890.95
atrnil313.9377524.93145935.7141003.1947910.68-14165.67-29081.572.891.610.0685537.5
atrtrail24.6554814.82178947.0618303.5531940.45-10179.29-15179.041.81.60.0653224.4
atrnil212.3342598.215694028348.233411.92-14165.67-29081.5721.330.0442839.88
atrtrail-15.6220181.3616885012286.9629753.05-9764.29-15179.041.261.260.0321261.34

In the table above, row 1 shows the best exit criterion. Profit factor is 3.4. Strategy is very good and impressively bearish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.24%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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