Study: Sell MRF 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 MRF 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 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
14778.0398475147.963223.1715997.81-2876.69-11801.641.121.030.002448.76
226619.7398514752.044535.0628316.02-4354.64-28993.991.041.130.0084271.63
3-80301.9398445444.95471.4320120.28-5945.28-34208.890.920.75-0.022-819.41
4-73647.2498465246.946144.4727774.74-6851.78-31733.330.90.79-0.018-751.5
5-80356.7298405840.827460.6333132.86-6530.72-29865.081.140.79-0.018-819.97
6-12799198405840.828087.0331601.97-7784-32206.711.040.72-0.025-1306.03
7-18859998395939.88326.5228589.39-8700.56-32193.990.960.63-0.036-1924.48
8-25915298415741.847579.6527125.67-9998.55-40541.810.760.55-0.046-2644.41
9-29886997455246.397185.0920187.17-11965.34-52802.310.60.52-0.049-3081.12
10-46767897425543.36788.1320817.98-13686.9-66512.180.50.38-0.07-4821.42
Although, strategy looks good but profit factor on day 1 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
atrnil25.89-46395.24114377732.4613341.0931807.9-7013.19-12840.271.90.91-0.0083-406.98
atrtrail24.61-58003.6114348029.8210159.8931807.9-5043-11279.922.010.86-0.013-508.8
atrtrail35.15-91228.32114348029.829182.6934082.23-5043-11279.921.820.77-0.02-800.25
atrnil38.27-172473114249021.0519198.5435425.02-7035.97-15903.952.730.73-0.028-1512.92
atrtrail-15.35-141954114348029.827690.7723114.22-5043-11279.921.530.65-0.038-1245.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 32.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRF Performance, Profit Factor:0.914

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Apr 2019 (3.96%), 05 Sep 2019 (-1.93%), 18 Sep 2019 (-2.03%), 03 Oct 2019 (-2.87%)
2018410 Jan 2018 (4.1%), 24 Apr 2018 (-1.79%), 07 Aug 2018 (4.05%), 26 Dec 2018 (4.85%)
2017520 Jan 2017 (-2.82%), 12 Apr 2017 (-2.34%), 08 May 2017 (4.82%), 22 Jun 2017 (4.86%), 30 Nov 2017 (3.73%)
2016711 Apr 2016 (-2.78%), 22 Jul 2016 (-2.26%), 25 Jul 2016 (-2.26%), 22 Aug 2016 (-2.47%), 17 Oct 2016 (-3.31%), 18 Oct 2016 (6.78%), 15 Nov 2016 (-4.02%)
2015522 Jan 2015 (-2.41%), 05 Feb 2015 (4.54%), 26 Feb 2015 (-2.89%), 09 Mar 2015 (5.44%), 13 Aug 2015 (-3.08%)
2014828 Mar 2014 (-2.58%), 22 Apr 2014 (7.38%), 13 Jun 2014 (-2.58%), 11 Aug 2014 (-2.68%), 25 Sep 2014 (-2.98%), 19 Nov 2014 (-2.38%), 17 Dec 2014 (-3.3%), 18 Dec 2014 (-3.27%)
2013811 Jan 2013 (4.31%), 23 May 2013 (-2.67%), 24 May 2013 (5.36%), 29 Oct 2013 (-2.66%), 12 Nov 2013 (-2.59%), 21 Nov 2013 (-2.35%), 02 Dec 2013 (-2.37%), 26 Dec 2013 (-2.72%)
2012524 Jan 2012 (-2.49%), 27 Feb 2012 (-3.89%), 28 Feb 2012 (-3.81%), 12 Jun 2012 (6.46%), 31 Dec 2012 (-2.08%)
2011511 Apr 2011 (-3.07%), 04 May 2011 (-2.92%), 05 May 2011 (-3.05%), 26 Jul 2011 (5.79%), 14 Dec 2011 (-3.34%)
2010601 Apr 2010 (-3.58%), 01 Jun 2010 (-2.72%), 08 Jul 2010 (5.57%), 22 Sep 2010 (-3.24%), 22 Oct 2010 (-2.98%), 01 Nov 2010 (-3.04%)
2009905 May 2009 (-5.52%), 12 Jun 2009 (-5.95%), 11 Aug 2009 (-6.42%), 06 Oct 2009 (-5.03%), 07 Oct 2009 (-5.0%), 22 Oct 2009 (9.1%), 19 Nov 2009 (-4.38%), 26 Nov 2009 (-4.08%), 30 Dec 2009 (-4.18%)
2008128 Aug 2008 (8.11%)
2007323 May 2007 (-2.4%), 27 Jul 2007 (7.72%), 14 Nov 2007 (15.9%)
2006524 Feb 2006 (-4.27%), 25 Apr 2006 (9.78%), 25 Aug 2006 (-4.19%), 20 Oct 2006 (8.45%), 23 Nov 2006 (-4.94%)
2005317 Mar 2005 (8.33%), 05 Sep 2005 (-4.0%), 21 Sep 2005 (7.95%)
2004327 Aug 2004 (-4.18%), 23 Sep 2004 (-3.54%), 27 Dec 2004 (-4.25%)
2003803 Jan 2003 (4.76%), 03 Jun 2003 (8.42%), 18 Jul 2003 (-3.71%), 22 Aug 2003 (8.67%), 20 Oct 2003 (-6.23%), 07 Nov 2003 (-4.74%), 02 Dec 2003 (-4.85%), 31 Dec 2003 (-5.64%)
2002431 Jan 2002 (-4.59%), 28 Feb 2002 (-3.71%), 11 Jul 2002 (-3.2%), 16 Aug 2002 (7.94%)
2001113 Dec 2001 (11.36%)
2000322 Jun 2000 (6.41%), 24 Nov 2000 (-2.59%), 19 Dec 2000 (-3.27%)
1999429 Jan 1999 (9.29%), 27 Feb 1999 (-4.72%), 20 Mar 1999 (-5.18%), 29 Jul 1999 (-5.62%)
1998224 Apr 1998 (-5.04%), 13 May 1998 (11.81%)
1997530 Jan 1997 (-1.66%), 10 Mar 1997 (3.61%), 25 Mar 1997 (4.5%), 09 Jun 1997 (3.56%), 16 Sep 1997 (3.98%)
1996629 Feb 1996 (-3.22%), 08 Apr 1996 (-3.86%), 09 Apr 1996 (-3.88%), 20 May 1996 (-3.62%), 21 May 1996 (-3.75%), 03 Jul 1996 (5.19%)



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