Study: Sell MARICO 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 MARICO 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 MARICO 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
1-125139111516045.952505.0710688.26-4214.96-16003.510.590.51-0.054-1127.38
2-143017111446739.643012.278448.03-4112.79-22059.680.730.48-0.059-1288.44
3-171390111446739.643588.5713025.34-4914.74-20538.330.730.48-0.059-1544.06
4-232701111417036.944461.0720728.74-5937.2-22349.160.750.44-0.065-2096.4
5-269754111347730.636323.6427044.53-6295.56-23410.2410.44-0.067-2430.22
6-286799111417036.946331.7127896.68-7805.7-25736.260.810.48-0.061-2583.77
7-299791111367532.438204.8443985.24-7935.54-24348.151.030.5-0.056-2700.82
8-315899111327928.8310089.2336384.56-8085.49-251321.250.51-0.056-2845.93
9-321287110397135.458742.9344209.65-9327.62-30676.950.940.51-0.054-2920.79
10-401833110347630.919151.3531823.41-9381.29-34961.440.980.44-0.069-3653.02
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail34.36-3837931262210417.469238.4626144.55-5644.61-15698.361.640.35-0.09-3045.97
atrnil26.45-489743117209717.0912828.6124984.24-7693.97-20273.821.670.34-0.11-4185.83
atrnil37.52-5308081141210210.5320507.4637476.36-7616.64-20273.822.690.32-0.11-4656.21
atrtrail24.16-4014661272310418.118087.7217429.7-5648.88-15698.361.430.32-0.1-3161.15
atrtrail-14.56-4144201262110516.678612.6136964.72-5669.38-15698.361.520.3-0.097-3289.05

In the table above, row 1 shows the best exit criterion. Profit factor is 0.35. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:0.346

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jun 2019 (-1.14%), 26 Aug 2019 (-2.14%), 03 Oct 2019 (-1.2%)
2018411 Jan 2018 (-0.36%), 15 Mar 2018 (-2.37%), 03 May 2018 (-3.04%), 22 May 2018 (-1.78%)
2017620 Jan 2017 (-1.77%), 08 May 2017 (-2.1%), 25 Sep 2017 (0.75%), 26 Oct 2017 (-1.33%), 03 Nov 2017 (6.15%), 15 Dec 2017 (-2.03%)
2016828 Mar 2016 (-2.94%), 04 May 2016 (-0.88%), 02 Jun 2016 (-2.59%), 15 Jun 2016 (-2.3%), 12 Sep 2016 (-2.62%), 10 Oct 2016 (-1.47%), 01 Nov 2016 (7.04%), 23 Dec 2016 (-0.01%)
2015311 Jun 2015 (-4.55%), 12 Aug 2015 (-1.55%), 23 Oct 2015 (-2.41%)
2014409 Jan 2014 (-1.69%), 24 Feb 2014 (5.81%), 17 Apr 2014 (-0.29%), 09 Jul 2014 (-0.34%)
20131518 Jan 2013 (-2.42%), 05 Feb 2013 (0.8%), 28 Feb 2013 (-3.22%), 01 Mar 2013 (-1.43%), 22 Mar 2013 (-3.85%), 16 Apr 2013 (-1.61%), 08 May 2013 (-2.19%), 13 Jun 2013 (-3.21%), 31 Jul 2013 (-3.44%), 01 Aug 2013 (-0.28%), 27 Aug 2013 (-1.92%), 01 Oct 2013 (-1.28%), 18 Oct 2013 (1.35%), 11 Dec 2013 (-2.28%), 12 Dec 2013 (-1.52%)
2012523 Jan 2012 (-2.18%), 14 Sep 2012 (-2.98%), 17 Sep 2012 (-0.41%), 02 Nov 2012 (-2.89%), 21 Nov 2012 (-3.54%)
2011801 Feb 2011 (1.32%), 01 Mar 2011 (-4.37%), 19 Apr 2011 (-3.84%), 09 Jun 2011 (-3.48%), 22 Jun 2011 (-3.52%), 15 Sep 2011 (-2.83%), 04 Nov 2011 (-0.18%), 09 Dec 2011 (0.87%)
2010422 Jan 2010 (-0.57%), 24 May 2010 (0.21%), 30 Aug 2010 (-4.57%), 18 Oct 2010 (-2.02%)
2009312 Jan 2009 (-5.01%), 20 Mar 2009 (12.37%), 06 Apr 2009 (-4.34%)
2008811 Jan 2008 (-4.9%), 03 Mar 2008 (-5.36%), 07 Mar 2008 (-5.26%), 17 Mar 2008 (-5.75%), 23 Jun 2008 (11.61%), 01 Oct 2008 (13.07%), 27 Oct 2008 (-6.52%), 17 Nov 2008 (-6.62%)
2007905 Mar 2007 (-6.07%), 06 Mar 2007 (-2.9%), 17 Apr 2007 (-2.0%), 01 Jun 2007 (0.15%), 20 Jun 2007 (-1.29%), 24 Jul 2007 (-2.94%), 25 Jul 2007 (-3.0%), 21 Aug 2007 (-3.88%), 17 Oct 2007 (-3.76%)
2006219 Jul 2006 (-3.0%), 08 Nov 2006 (-1.75%)
2005308 Aug 2005 (-3.46%), 23 Sep 2005 (-3.92%), 19 Oct 2005 (1.14%)
2004622 Mar 2004 (-3.58%), 11 May 2004 (-4.26%), 09 Jun 2004 (-1.29%), 22 Jun 2004 (-3.98%), 05 Aug 2004 (-2.2%), 20 Aug 2004 (-2.11%)
2003427 Jan 2003 (-2.95%), 14 Feb 2003 (-1.3%), 15 Sep 2003 (-5.17%), 19 Nov 2003 (-1.29%)
2002526 Jun 2002 (-2.56%), 30 Jul 2002 (-0.36%), 19 Aug 2002 (-2.85%), 09 Sep 2002 (-2.96%), 23 Oct 2002 (-1.97%)
2001703 Jul 2001 (-7.85%), 29 Aug 2001 (-3.18%), 17 Sep 2001 (-3.59%), 18 Sep 2001 (-3.58%), 09 Nov 2001 (-3.5%), 12 Nov 2001 (-1.73%), 06 Dec 2001 (-3.26%)
2000325 Jan 2000 (0.62%), 06 Mar 2000 (-7.34%), 07 Mar 2000 (-0.17%)
1999602 Jun 1999 (6.47%), 30 Aug 1999 (4.78%), 22 Sep 1999 (10.21%), 22 Nov 1999 (-5.36%), 13 Dec 1999 (0.49%), 28 Dec 1999 (-6.75%)
1998609 Jan 1998 (3.77%), 01 Sep 1998 (-3.4%), 15 Sep 1998 (-3.21%), 06 Oct 1998 (-3.4%), 19 Oct 1998 (-1.11%), 03 Nov 1998 (-2.84%)
1997431 Mar 1997 (-0.17%), 18 Sep 1997 (2.15%), 28 Oct 1997 (-3.57%), 29 Oct 1997 (10.48%)



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