Study: Buy MRF when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy MRF when RSI is above 50 and there is Golden 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: buy 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. sell 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
117418.27148657.143639.1617394.17-1949.17-4707.671.872.490.0511244.16
26441.93148657.145609.821030.62-6406.08-21439.360.881.170.01460.14
37158.74148657.147019.5317527.81-8166.25-16403.950.861.150.012511.34
415921.1148657.149367.9234774.69-9837.05-17236.220.951.270.0181137.22
520511.7148657.1410961.6536403.76-11196.92-22643.710.981.310.0211465.12
625235.4514775013807.6249488.64-10202.56-26615.981.351.350.0221802.53
723743.7914775016455.9755795.59-13064-21728.911.261.260.0181695.98
872789.09146842.8627893.8106957-11821.71-21688.252.361.770.0355199.22
910591914775026592.8137654-11461.52-21827.842.322.320.0417565.64
10126581146842.8635814170986-11037.9-27439.983.242.430.049041.49

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.49. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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:2.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Oct 2019 (0.9%)
2016107 Sep 2016 (0.36%)
2015120 Aug 2015 (-0.13%)
2012206 Jan 2012 (0.11%), 10 Dec 2012 (0.83%)
2011110 Aug 2011 (-1.01%)
2009104 Jun 2009 (-1.49%)
2007226 Jul 2007 (-2.35%), 17 Oct 2007 (8.7%)
2006105 Sep 2006 (-0.79%)
2005108 Sep 2005 (-0.07%)
2004121 Sep 2004 (0.03%)
1999110 Mar 1999 (2.33%)
1997110 Apr 1997 (1.31%)

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-1117418.27148657.143639.1617394.17-1949.17-4707.671.872.490.0511244.16
atrtrail-15.3159867.041651131.2523141.2779287.14-5076.3-7504.914.562.070.0383741.69
atrnil23.8950818.951881044.4414596.4224770.36-6595.24-10015.982.211.770.0532823.28
atrnil35.8846781.041761135.2920726.7427036.86-7052.67-12385.182.941.60.0422751.83
atrtrail33.8235632.551751229.4120297.5727036.86-5487.94-10015.983.71.540.0352096.03
atrtrail22.8314014.911861233.3313735.718024.57-5699.94-10015.982.411.20.017778.61

In the table above, row 1 shows the best exit criterion. Profit factor is 2.49. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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