Study: Sell MARICO when RSI is above 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 above 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
1-38679.01109555450.462230.989005.91-2988.57-15540.230.750.76-0.021-354.85
2-75805.89109565351.382596.2311028.43-4173.48-18253.520.620.66-0.033-695.47
3-119706109476243.123714.9512745.66-4746.91-22925.280.780.59-0.039-1098.22
4-134580109466342.24048.3712470.86-5092.14-22859.920.80.58-0.042-1234.68
5-173685109416837.613731.8615423.87-4804.29-19714.480.780.47-0.057-1593.44
6-160110109466342.23580.8517181.74-5156.02-28416.040.690.51-0.052-1468.9
7-191009109416837.614396.9617578.68-5460.07-21210.060.810.49-0.058-1752.38
8-201152109397035.785772.6221368.65-6089.77-18576.660.950.53-0.053-1845.43
9-192062109406936.76628.9931964.68-6626.4-18133.5110.58-0.046-1762.04
10-262498109377233.946280.3919028.7-6873.23-27285.920.910.47-0.064-2408.24

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.

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-11-38679.01109555450.462230.989005.91-2988.57-15540.230.750.76-0.021-354.85
atrnil26.85-3531041302710320.7713998.9322869.13-7097.82-12153.111.970.52-0.066-2716.19
atrnil38.84-5342031291311610.0821984.6432984.87-7068.99-12153.113.110.35-0.098-4141.11
atrtrail24.56-4034281312210916.796851.1119165.96-5083.97-10757.141.350.27-0.12-3079.6
atrtrail34.74-4468851301911114.625586.2626139.46-4982.2-10757.141.120.19-0.15-3437.58
atrtrail-14.78-4785501301811213.854261.7512355.72-4957.69-10757.140.860.14-0.19-3681.15

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, X=1, Profit Factor:0.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Apr 2019 (-0.14%), 14 Jun 2019 (0.6%), 09 Jul 2019 (-0.0%), 27 Aug 2019 (-1.31%)
2018611 Apr 2018 (0.39%), 20 Jun 2018 (0.04%), 19 Jul 2018 (-1.55%), 30 Aug 2018 (0.2%), 05 Dec 2018 (1.2%), 26 Dec 2018 (-2.47%)
2017527 Mar 2017 (-1.22%), 13 Apr 2017 (-0.12%), 05 May 2017 (0.57%), 09 Jun 2017 (0.44%), 27 Jul 2017 (-1.87%)
2016509 Mar 2016 (0.48%), 23 Mar 2016 (1.25%), 26 Apr 2016 (0.62%), 14 Jun 2016 (0.36%), 10 Aug 2016 (-2.37%)
2015703 Feb 2015 (-1.77%), 16 Mar 2015 (-5.37%), 22 Apr 2015 (-0.3%), 10 Jun 2015 (3.84%), 03 Jul 2015 (-1.82%), 09 Dec 2015 (-0.15%), 31 Dec 2015 (-0.44%)
2014720 May 2014 (-0.11%), 12 Jun 2014 (1.59%), 20 Aug 2014 (0.17%), 19 Sep 2014 (1.23%), 13 Oct 2014 (-1.23%), 05 Nov 2014 (-2.13%), 21 Nov 2014 (0.17%)
2013217 Jan 2013 (0.42%), 12 Jun 2013 (2.25%)
2012521 Feb 2012 (0.65%), 27 Apr 2012 (0.22%), 03 Aug 2012 (-0.48%), 07 Nov 2012 (-0.8%), 07 Dec 2012 (0.48%)
2011422 Mar 2011 (-0.39%), 18 Apr 2011 (0.92%), 08 Jun 2011 (1.61%), 18 Jul 2011 (-2.59%)
2010601 Apr 2010 (-7.77%), 19 Apr 2010 (1.19%), 13 Jul 2010 (3.83%), 02 Sep 2010 (0.48%), 17 Sep 2010 (-1.2%), 15 Oct 2010 (1.15%)
20091103 Feb 2009 (-2.24%), 23 Mar 2009 (1.1%), 08 May 2009 (0.83%), 15 Jun 2009 (0.91%), 01 Jul 2009 (-1.29%), 04 Aug 2009 (2.68%), 28 Aug 2009 (1.89%), 11 Sep 2009 (0.46%), 05 Oct 2009 (-1.98%), 18 Nov 2009 (2.31%), 10 Dec 2009 (-0.0%)
2008223 Apr 2008 (0.07%), 28 Aug 2008 (-1.43%)
2007724 Jan 2007 (-1.66%), 16 Apr 2007 (0.77%), 22 Aug 2007 (0.17%), 17 Sep 2007 (-0.0%), 16 Oct 2007 (2.58%), 13 Nov 2007 (-1.03%), 18 Dec 2007 (0.73%)
2006507 Apr 2006 (0.11%), 11 Aug 2006 (-3.29%), 11 Sep 2006 (-0.5%), 30 Oct 2006 (-1.86%), 26 Dec 2006 (-1.07%)
2005504 Mar 2005 (-2.36%), 12 Apr 2005 (-0.65%), 08 Jun 2005 (-1.5%), 29 Jul 2005 (-6.4%), 22 Sep 2005 (3.05%)
2004419 Mar 2004 (4.5%), 12 Apr 2004 (-0.49%), 21 Sep 2004 (1.06%), 06 Dec 2004 (-0.23%)
2003628 Jan 2003 (0.38%), 20 Jun 2003 (0.91%), 11 Jul 2003 (-3.63%), 12 Sep 2003 (3.07%), 17 Oct 2003 (1.12%), 30 Dec 2003 (-1.4%)
2002622 Feb 2002 (-0.86%), 23 Apr 2002 (-0.44%), 12 Jul 2002 (-1.5%), 04 Oct 2002 (-0.84%), 22 Oct 2002 (0.87%), 03 Dec 2002 (0.57%)
2001107 Dec 2001 (-1.91%)
1999315 Feb 1999 (0.59%), 23 Mar 1999 (-0.01%), 14 Jul 1999 (0.95%)
1998728 Apr 1998 (0.5%), 13 Aug 1998 (0.69%), 02 Sep 1998 (-0.56%), 16 Sep 1998 (0.26%), 07 Oct 1998 (1.89%), 05 Nov 1998 (-1.49%), 17 Dec 1998 (-2.24%)
1997115 Jul 1997 (-0.22%)



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