Study: Sell MARUTI when RSI is below 50 and ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell MARUTI when RSI is below 50 and ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
16149.71532603755.335430.92-2558.14-3966.611.472.20.091229.94
26680.01541803148.077251.08-5912.26-5912.260.532.130.0791336
327880.48541808501.1111899.83-6123.97-6123.971.395.550.225576.1
426905.52541808076.9310092.26-5402.19-5402.191.55.980.235381.1
535370.765418010816.4217177.17-7894.93-7894.931.375.480.197074.15
627158.415326013718.2717563.77-6998.2-7039.211.962.940.135431.68
740936.045418012505.8722815.3-9087.45-9087.451.385.50.168187.21
824019.09541807906.815019.1-7608.1-7608.11.044.160.164803.82
923074.97541807674.9917941.1-7625.01-7625.011.014.030.144614.99
1020058.32541806948.39464.63-7734.9-7734.90.93.590.164011.66

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 5.98. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 2.69%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MARUTI Performance, X=4, Profit Factor:5.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Sep 2018 (4.69%)
2016118 Feb 2016 (4.48%)
2013105 Aug 2013 (-2.7%)
2011104 Feb 2011 (1.94%)
2007128 Mar 2007 (5.05%)

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
atrtrail35.837988.965326014727.7520371.05-3097.15-4547.984.767.130.187597.79
nilnil-1426905.52541808076.9310092.26-5402.19-5402.191.55.980.235381.1
atrtrail-16.429105.825326011766.716269.15-3097.15-4547.983.85.70.175821.16
atrtrail2524455.895326010216.7313580.7-3097.15-4547.983.34.950.164891.18
atrnil38.418484.955234020299.620371.05-7371.42-8846.62.751.840.0683696.99
atrnil27.64951.885234013533.0713580.7-7371.42-8846.61.841.220.024990.38

In the table above, row 1 shows the best exit criterion. Profit factor is 7.13. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.8%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, Profit Factor:7.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Sep 2018 (10.11%)
2016118 Feb 2016 (10.19%)
2013105 Aug 2013 (-2.27%)
2011104 Feb 2011 (-0.82%)
2007128 Mar 2007 (1.79%)



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