Study: Sell MRF 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 MRF 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 MRF 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
157483.6531191261.294777.6715970.75-2774.34-11298.321.722.730.0711854.31
236163.5731201164.524451.6510562.57-4806.31-10820.180.931.680.0441166.57
322502.531181358.066230.9414422.55-6896.49-23475.260.91.250.017725.89
425136.3431161551.618269.8126432.34-7145.37-28789.991.161.230.016810.85
535009.5531151648.3910097.7634193.36-7278.56-27750.451.391.30.021129.34
619261.6331161551.619320.631442.93-8657.86-22979.511.081.150.011621.34
7-10076.5231161551.619125.1617641.23-10405.27-30538.70.880.94-0.0057-325.05
8-31716.2631141745.168386.0119623.39-8771.79-26531.360.960.79-0.019-1023.11
9-23165.2431161551.617417.6122210.12-9456.47-29320.950.780.84-0.014-747.27
10-13168.0131151648.399186.9429385.21-9435.76-28189.570.970.91-0.007-424.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.73. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.29%, which is good. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.071, which is low, don't trade solely on the basis of this study.
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.
MRF Performance, X=1, Profit Factor:2.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 Sep 2019 (-0.89%)
2017101 Dec 2017 (-0.25%)
2015104 Jun 2015 (1.02%)
2014307 Feb 2014 (-0.13%), 23 Apr 2014 (5.85%), 16 Jun 2014 (-2.91%)
2013221 Mar 2013 (0.55%), 01 Aug 2013 (0.94%)
2012128 Aug 2012 (4.09%)
2011211 Jan 2011 (-1.33%), 31 Jan 2011 (2.64%)
2010121 Jan 2010 (0.85%)
2009209 Jan 2009 (1.02%), 05 Mar 2009 (0.39%)
2008312 Feb 2008 (-0.57%), 17 Mar 2008 (-0.64%), 12 May 2008 (1.13%)
2005102 May 2005 (2.7%)
2004129 Jun 2004 (1.06%)
2002214 Aug 2002 (-1.19%), 29 Oct 2002 (1.22%)
2001303 May 2001 (3.59%), 08 Jun 2001 (0.06%), 25 Jul 2001 (1.19%)
2000124 Apr 2000 (7.99%)
1999201 Feb 1999 (6.69%), 30 Jul 1999 (-0.04%)
1998106 Oct 1998 (-5.65%)
1997211 Mar 1997 (-3.05%), 04 Dec 1997 (-0.0%)
1995115 Nov 1995 (2.41%)

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-1157483.6531191261.294777.6715970.75-2774.34-11298.321.722.730.0711854.31
atrnil28.8162775.5131131841.9415954.4228316.27-8035.11-17191.341.991.430.0342025.02
atrnil313.6831157.143182325.8126202.4542474.41-7759.24-17191.343.381.170.0131005.07
atrtrail25.197658.1132122037.59828.3821460.6-5514.13-17191.341.781.070.0056239.32
atrtrail-16.59-19049.8432122037.57602.7228070.57-5514.13-17191.341.380.83-0.015-595.31
atrtrail36.34-26236.632122037.57003.8320883.82-5514.13-17191.341.270.76-0.023-819.89

In the table above, row 1 shows the best exit criterion. Profit factor is 2.73. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.29%, which is good. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.071, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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