Study: Sell MARUTI 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 MARUTI 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 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
1-20346.5823101343.483242.146437.09-4059.08-11788.110.80.61-0.046-884.63
2-64167.012381534.783126.438542.39-5945.23-17684.050.530.28-0.11-2789.87
3-1275932391439.132805.197423.3-10917.09-26015.20.260.17-0.15-5547.5
4-78779.1923111247.834409.9120031.71-10607.35-21211.90.420.38-0.089-3425.18
5-81692.6923111247.835556.5910877.49-11901.27-27298.930.470.43-0.085-3551.86
6-76641.0423121152.177076.8721455.94-14687.59-28130.740.480.53-0.063-3332.22
7-63464.423101343.488345.3419362.68-11301.37-27131.840.740.57-0.057-2759.32
8-1168892381534.788348.2821997.94-12244.99-31883.680.680.36-0.096-5082.11
9-68991.3123101343.489997.4740407.44-12997.38-27141.730.770.59-0.049-2999.62
10-34493.3723121152.1711285.1250256.99-15446.8-35079.910.730.8-0.021-1499.71
Although, strategy looks good but profit factor on day 3 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
atrnil24.92-59337.15246182514856.4732787.15-8248.67-19023.61.80.6-0.055-2472.38
atrtrail24.17-64075.652491537.55314.3913140.69-7460.34-19023.60.710.43-0.087-2669.82
atrtrail34.58-84327.882491537.53064.147181.04-7460.34-19023.60.410.25-0.14-3513.66
atrtrail-14.58-84327.882491537.53064.147181.04-7460.34-19023.60.410.25-0.14-3513.66
atrnil37.33-144450242228.3318223.2619300.4-8222.57-19023.62.220.2-0.19-6018.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. 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.
MARUTI Performance, Profit Factor:0.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Dec 2018 (-2.75%)
2017126 Sep 2017 (2.93%)
2015324 Aug 2015 (-2.3%), 25 Aug 2015 (-2.68%), 06 Oct 2015 (-2.79%)
2014128 Feb 2014 (-2.85%)
2013313 Mar 2013 (-3.13%), 18 Mar 2013 (6.57%), 21 Aug 2013 (-3.58%)
2012102 May 2012 (5.72%)
2011318 Aug 2011 (6.43%), 13 Oct 2011 (-3.75%), 16 Dec 2011 (-3.8%)
2010227 Jan 2010 (-3.38%), 27 Apr 2010 (6.52%)
2009222 Apr 2009 (-5.3%), 10 Aug 2009 (-5.37%)
2008228 Apr 2008 (-4.36%), 14 Nov 2008 (16.39%)
2007103 Apr 2007 (-4.94%)
2006114 Jun 2006 (-9.51%)
2004321 Jan 2004 (-6.05%), 03 May 2004 (-4.38%), 30 Sep 2004 (-3.32%)



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