Study: Sell MARICO 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 MARICO 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 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
1-38973.7628111739.292499.785892.77-3910.08-13590.910.640.41-0.07-1391.92
2-38626.882882028.573237.997280.08-3226.54-8282.7610.4-0.077-1379.53
3-41013.0928101835.712135.215510.62-3464.73-14209.210.620.34-0.08-1464.75
4-80954.6628121642.862185.134873.01-6698.52-22349.160.330.24-0.11-2891.24
5-90046.832891932.145270.68402.78-7235.91-22134.950.730.35-0.094-3215.96
6-74644.5428111739.296891.4427896.68-8850.02-232060.780.5-0.058-2665.88
7-81718.52891932.1410081.9143985.24-9076.62-21841.491.110.53-0.051-2918.52
8-74296.862891932.1410630.0828093.95-8945.66-19598.181.190.56-0.05-2653.46
9-12280828101835.717573.7623025.83-11030.29-26599.290.690.38-0.084-4385.99
10-1601572891932.146518.2919188.19-11516.9-30060.690.570.27-0.11-5719.88
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
atrnil27.23-221945312296.4511484.2311829.75-8445.28-20273.821.360.094-0.26-7159.51
atrtrail24.78-155022322306.256443.9911138.71-5597.01-15698.361.150.077-0.21-4844.44
atrtrail34.84-164565322306.251672.531749.26-5597.01-15698.360.30.02-0.26-5142.66
atrtrail-14.84-164565322306.251672.531749.26-5597.01-15698.360.30.02-0.26-5142.66
atrnil37.81-25639731031000-8270.88-20273.8200-0.51-8270.88

In the table above, row 1 shows the best exit criterion. Profit factor is 0.094. 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:0.0938

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017108 May 2017 (-2.4%)
2016123 Dec 2016 (-2.47%)
2015111 Jun 2015 (-4.55%)
2014109 Jul 2014 (-3.02%)
2013318 Jan 2013 (-2.42%), 05 Feb 2013 (5.57%), 13 Jun 2013 (-3.21%)
2012214 Sep 2012 (-2.98%), 17 Sep 2012 (-3.13%)
2011419 Apr 2011 (-3.84%), 09 Jun 2011 (-3.48%), 22 Jun 2011 (-3.52%), 04 Nov 2011 (-4.6%)
2010230 Aug 2010 (-4.57%), 18 Oct 2010 (-3.23%)
2009112 Jan 2009 (-5.73%)
2008111 Jan 2008 (-6.65%)
2007217 Apr 2007 (-5.37%), 17 Oct 2007 (-4.24%)
2004209 Jun 2004 (-3.57%), 22 Jun 2004 (-3.98%)
2003115 Sep 2003 (-5.17%)
2002230 Jul 2002 (-3.12%), 23 Oct 2002 (-2.13%)
2001303 Jul 2001 (-10.14%), 09 Nov 2001 (-3.5%), 12 Nov 2001 (-3.49%)
2000206 Mar 2000 (-7.34%), 07 Mar 2000 (-7.57%)
1998119 Oct 1998 (-3.02%)
1997131 Mar 1997 (5.91%)



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