Study: Sell MARUTI 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 MARUTI 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 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
1-17681.42763838502889.7810087.91-3355.08-17763.560.860.86-0.013-232.65
2-94270.3576364047.373294.7910827.62-5322.07-22706.60.620.56-0.052-1240.4
3-167918763838502948.6211180.74-7367.53-37643.560.40.4-0.071-2209.45
4-19137176284836.844962.5824078.04-6881.73-29130.270.720.42-0.073-2518.04
5-18218876344244.745692.132000.43-8945.69-31235.780.640.52-0.059-2397.21
6-14161676393751.326030.6739494-10184.12-34670.990.590.62-0.041-1863.37
7-188798753342447621.9327251.29-10483.86-44351.780.730.57-0.05-2517.31
8-16995575314441.339223.9436470.84-10361.31-63532.980.890.63-0.04-2266.07
9-21925075354046.678232.7429984.99-12684.91-64973.460.650.57-0.048-2923.34
10-24357975324342.679414.3143177.23-12670.63-54814.250.740.55-0.051-3247.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. 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%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, 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-11-17681.42763838502889.7810087.91-3355.08-17763.560.860.86-0.013-232.65
atrnil37.15-17737988157317.0516893.5925273.83-5901.13-15650.352.860.59-0.055-2015.67
atrnil25.55-17926088206822.7311199.721505.42-5930.2-15650.351.890.56-0.065-2037.04
atrtrail23.55-18032489256428.094736.7515328.8-4667.86-15650.351.010.4-0.091-2026.11
atrtrail-13.88-18359189256428.094606.0628423.7-4667.86-15650.350.990.39-0.088-2062.82
atrtrail33.75-18826689256428.094419.0920560.29-4667.86-15650.350.950.37-0.095-2115.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, X=1, Profit Factor:0.861

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 Oct 2019 (-1.35%)
2018502 Jan 2018 (1.44%), 19 Apr 2018 (0.58%), 26 Jun 2018 (0.37%), 27 Jul 2018 (-0.77%), 26 Dec 2018 (0.91%)
20171123 Jan 2017 (-0.65%), 13 Feb 2017 (1.36%), 23 Mar 2017 (0.5%), 17 Apr 2017 (-0.35%), 22 May 2017 (-2.64%), 06 Jun 2017 (-1.32%), 20 Jul 2017 (-0.69%), 09 Aug 2017 (1.08%), 25 Sep 2017 (0.94%), 13 Nov 2017 (-0.17%), 05 Dec 2017 (-1.32%)
2016409 Jun 2016 (1.38%), 12 Aug 2016 (0.7%), 27 Sep 2016 (-0.19%), 02 Nov 2016 (-0.19%)
2015603 Feb 2015 (1.39%), 16 Mar 2015 (-0.4%), 08 Jun 2015 (0.84%), 06 Jul 2015 (0.4%), 26 Nov 2015 (0.58%), 31 Dec 2015 (-0.36%)
2014507 Apr 2014 (-1.45%), 13 Jun 2014 (0.92%), 09 Jul 2014 (-0.61%), 17 Sep 2014 (-2.54%), 19 Nov 2014 (0.24%)
2013515 Jan 2013 (3.42%), 16 May 2013 (1.13%), 08 Nov 2013 (-0.13%), 13 Dec 2013 (-0.71%), 30 Dec 2013 (0.75%)
2012213 Feb 2012 (-3.48%), 12 Oct 2012 (2.46%)
2011120 Apr 2011 (-3.32%)
2010206 Jul 2010 (0.89%), 15 Oct 2010 (1.8%)
2009706 Mar 2009 (-0.35%), 21 Apr 2009 (4.39%), 15 Jun 2009 (-0.95%), 07 Aug 2009 (3.47%), 11 Sep 2009 (-0.39%), 05 Oct 2009 (-0.14%), 10 Dec 2009 (-0.11%)
2008222 Aug 2008 (0.92%), 24 Sep 2008 (-0.46%)
2007331 May 2007 (0.72%), 01 Aug 2007 (-1.35%), 22 Oct 2007 (-4.03%)
2006615 Feb 2006 (-1.43%), 13 Mar 2006 (1.24%), 10 Apr 2006 (4.83%), 12 May 2006 (5.04%), 20 Sep 2006 (-1.84%), 06 Nov 2006 (1.14%)
2005721 Feb 2005 (-1.7%), 03 Jun 2005 (0.41%), 06 Jul 2005 (2.54%), 11 Aug 2005 (1.48%), 30 Sep 2005 (-3.29%), 07 Dec 2005 (-0.88%), 21 Dec 2005 (1.08%)
2004606 Jan 2004 (-3.24%), 03 Feb 2004 (-8.88%), 25 Feb 2004 (-1.55%), 30 Apr 2004 (1.74%), 02 Aug 2004 (0.56%), 28 Dec 2004 (0.52%)
2003323 Oct 2003 (-8.04%), 14 Nov 2003 (-2.47%), 12 Dec 2003 (0.76%)



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