Study: Sell MARUTI when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > maruti > 26

In this study, we evaluate the performance of strategy "Sell MARUTI 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 MARUTI 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
14841.7771373452.113644.4411284.62-3823.6-20771.130.951.040.003368.19
2-50891.0471333846.484873.9413036.16-5571.87-31016.030.870.76-0.025-716.78
3-11200771353649.35137.5114935.41-8106.1-34741.910.630.62-0.043-1577.56
4-73653.6771363550.76070.3623076.49-8348.19-26293.360.730.75-0.027-1037.38
5-74063.8871333846.488050.3830968.11-8940.17-296630.90.78-0.023-1043.15
6-10970471343747.898710.2441411.31-10968.98-28130.740.790.73-0.031-1545.13
7-92281.8671323945.079870.9948040.66-10465.47-27131.840.940.77-0.025-1299.74
8-18111471294240.859597.2238789.04-10938.89-31883.680.880.61-0.049-2550.9
9-17533271294240.8511335.9740407.44-12001.79-35039.630.940.65-0.042-2469.47
10-13727471314043.6611753.6450256.99-12540.93-44302.980.940.73-0.031-1933.44

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 52.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.034%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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-114841.7771373452.113644.4411284.62-3823.6-20771.130.951.040.003368.19
atrnil24.55-73961.8576245231.5812251.1332787.15-7076.71-19023.61.730.8-0.025-973.18
atrtrail23.66-73863.4576265034.21769715644.12-5479.71-19023.61.40.73-0.033-971.89
atrtrail34.18-85307.7374264835.147086.1423466.18-5615.57-19023.61.260.68-0.038-1152.81
atrnil36.26-13692774165821.6217269.8639237.46-7124.91-19023.62.420.67-0.042-1850.36
atrtrail-14.5-10845374264835.146195.9419309.77-5615.57-19023.61.10.6-0.054-1465.58

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 52.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.034%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, X=1, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019719 Feb 2019 (-0.67%), 19 Mar 2019 (2.22%), 24 Apr 2019 (1.59%), 12 Jun 2019 (0.98%), 05 Jul 2019 (5.05%), 04 Sep 2019 (-2.37%), 19 Sep 2019 (-10.39%)
2018506 Mar 2018 (-0.73%), 20 Apr 2018 (-0.44%), 25 Jun 2018 (-1.57%), 06 Dec 2018 (-1.45%), 24 Dec 2018 (-0.53%)
2017324 Mar 2017 (0.31%), 10 Aug 2017 (1.6%), 26 Sep 2017 (1.9%)
2016106 Apr 2016 (2.86%)
2015720 Apr 2015 (3.27%), 07 May 2015 (-1.89%), 09 Jun 2015 (-1.36%), 24 Aug 2015 (1.01%), 06 Oct 2015 (-0.24%), 26 Oct 2015 (-2.55%), 30 Dec 2015 (-0.76%)
2014128 Feb 2014 (0.43%)
2013416 Jan 2013 (-0.06%), 13 Mar 2013 (-3.24%), 11 Jul 2013 (3.83%), 21 Aug 2013 (-0.1%)
2012302 May 2012 (3.22%), 19 Jul 2012 (-2.7%), 30 Aug 2012 (0.03%)
2011807 Jan 2011 (1.09%), 16 Mar 2011 (4.44%), 04 May 2011 (-0.74%), 16 Jun 2011 (2.36%), 18 Aug 2011 (0.03%), 13 Oct 2011 (2.93%), 11 Nov 2011 (3.09%), 16 Dec 2011 (1.6%)
2010427 Jan 2010 (-0.62%), 18 Mar 2010 (-0.53%), 27 Apr 2010 (1.01%), 17 May 2010 (-0.08%)
2009321 Jan 2009 (3.77%), 22 Apr 2009 (-5.89%), 10 Aug 2009 (-3.82%)
2008720 Feb 2008 (0.85%), 17 Mar 2008 (-0.84%), 28 Apr 2008 (-1.22%), 27 May 2008 (-1.65%), 21 Aug 2008 (-2.09%), 16 Oct 2008 (5.64%), 14 Nov 2008 (-2.18%)
2007509 Jan 2007 (0.67%), 12 Feb 2007 (2.31%), 03 Apr 2007 (1.39%), 30 May 2007 (-1.55%), 19 Dec 2007 (0.44%)
2006612 Apr 2006 (-3.36%), 15 May 2006 (0.39%), 14 Jun 2006 (-5.11%), 18 Jul 2006 (3.37%), 07 Nov 2006 (0.72%), 12 Dec 2006 (0.06%)
2005202 May 2005 (-1.84%), 07 Jul 2005 (0.04%)
2004521 Jan 2004 (2.7%), 03 May 2004 (-1.74%), 14 Sep 2004 (0.07%), 30 Sep 2004 (-0.69%), 25 Oct 2004 (0.16%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play