Study: Sell MRPL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MRPL when RSI is below 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 MRPL 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
130241.42131716054.23299.913385.83-3400.86-100000.971.150.011230.85
2-56298.73131686351.915050.517956.66-6344.96-34848.480.80.86-0.011-429.76
359348.22131735855.736071.5123348.69-6618.48-36908.210.921.150.011453.04
428062.5131785359.546505.9523765.43-9045.31-48529.410.721.060.0043214.22
518709.79130725855.387861.3440751.73-9436.32-39705.880.831.030.0025143.92
6123466130755557.699058.8753086.42-10108.17-45588.240.91.220.015949.74
768337.93130755557.699300.7350154.32-11440.31-54411.760.811.110.0076525.68
892526.58130775359.2310102.5562191.36-12931.51-500000.781.140.0094711.74
9125698130775359.2311115.2157407.41-13776.84-86764.710.811.170.012966.91
10139714130725855.3813517.8489763.78-14371.91-1176470.941.170.0111074.72
Although, strategy looks good but profit factor on day 2 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
atrtrail25.0743255.72147549336.7312843.3746128.3-6992.32-18541.981.841.070.0053294.26
atrnil27.1551697.82143519235.6618466.1846128.3-9674.75-20555.81.911.060.0052361.52
atrnil310.0751327.05133379627.8226930.354391.69-9844.73-23064.152.741.050.0046385.92
atrtrail35.65-4990.3143529136.3612163.244097.05-7005.24-18541.981.740.99-0.00062-34.9
atrtrail-15.99-116592143519235.6610304.7946196.57-6979.74-18541.981.480.82-0.016-815.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 36.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0053, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jan 2019 (7.03%)
20181017 Jan 2018 (-1.33%), 20 Mar 2018 (0.21%), 16 Apr 2018 (5.82%), 04 May 2018 (5.4%), 21 May 2018 (-0.18%), 19 Jun 2018 (-3.37%), 28 Jun 2018 (-4.9%), 29 Jun 2018 (1.34%), 31 Aug 2018 (6.79%), 01 Oct 2018 (-5.16%)
2017620 Jan 2017 (-4.54%), 15 Feb 2017 (-4.39%), 26 Jul 2017 (-4.01%), 11 Aug 2017 (-5.07%), 08 Nov 2017 (1.61%), 30 Nov 2017 (-1.85%)
2016316 Mar 2016 (-5.06%), 13 Jun 2016 (0.14%), 29 Sep 2016 (-4.03%)
2015303 Jun 2015 (-2.85%), 12 Aug 2015 (11.64%), 02 Nov 2015 (-0.65%)
2014920 Jan 2014 (1.98%), 11 Feb 2014 (7.63%), 08 Jul 2014 (-2.05%), 26 Aug 2014 (-4.08%), 19 Sep 2014 (-3.89%), 25 Sep 2014 (-4.12%), 26 Sep 2014 (-2.09%), 17 Nov 2014 (7.18%), 11 Dec 2014 (8.11%)
2013623 Jan 2013 (-1.67%), 22 May 2013 (5.97%), 23 May 2013 (-3.52%), 11 Jun 2013 (8.51%), 31 Jul 2013 (-5.18%), 01 Aug 2013 (10.92%)
2012620 Apr 2012 (9.99%), 01 Jun 2012 (-1.69%), 23 Jul 2012 (-3.61%), 03 Sep 2012 (-4.71%), 27 Dec 2012 (-2.51%), 28 Dec 2012 (-2.62%)
2011911 Jan 2011 (-3.58%), 27 Jan 2011 (0.4%), 09 Feb 2011 (-0.91%), 20 Jun 2011 (-3.19%), 26 Sep 2011 (-0.59%), 25 Oct 2011 (-3.95%), 09 Nov 2011 (0.01%), 30 Nov 2011 (-4.79%), 01 Dec 2011 (11.06%)
2010822 Jan 2010 (-0.08%), 22 Mar 2010 (5.35%), 19 Apr 2010 (1.55%), 25 Aug 2010 (0.06%), 29 Sep 2010 (-0.93%), 19 Oct 2010 (5.86%), 20 Oct 2010 (-3.46%), 12 Nov 2010 (7.03%)
2009809 Jan 2009 (-2.32%), 26 Feb 2009 (-0.04%), 11 Aug 2009 (-4.23%), 23 Sep 2009 (-3.83%), 05 Oct 2009 (7.95%), 21 Oct 2009 (8.07%), 02 Dec 2009 (-4.02%), 15 Dec 2009 (-1.53%)
2008511 Mar 2008 (19.74%), 09 May 2008 (-2.89%), 23 Jun 2008 (14.7%), 07 Oct 2008 (15.71%), 20 Nov 2008 (-6.17%)
2007101 Aug 2007 (-4.4%)
2006616 Jan 2006 (-0.81%), 21 Mar 2006 (-0.72%), 15 May 2006 (-5.7%), 18 Jul 2006 (-6.69%), 11 Dec 2006 (8.15%), 12 Dec 2006 (-4.85%)
2005917 Feb 2005 (0.56%), 15 Mar 2005 (-3.27%), 18 Mar 2005 (6.93%), 18 Apr 2005 (-1.89%), 03 May 2005 (-4.31%), 14 Jun 2005 (-3.0%), 17 Jun 2005 (6.39%), 22 Sep 2005 (-4.86%), 23 Dec 2005 (-2.95%)
2004721 Jan 2004 (-7.59%), 23 Feb 2004 (-0.81%), 15 Mar 2004 (11.93%), 28 Apr 2004 (-1.51%), 31 May 2004 (23.06%), 28 Sep 2004 (-3.25%), 14 Oct 2004 (-1.65%)
2003203 Mar 2003 (-5.6%), 14 Oct 2003 (4.19%)
2002704 Feb 2002 (-6.22%), 18 Apr 2002 (-0.61%), 21 May 2002 (-7.23%), 09 Sep 2002 (-2.02%), 04 Oct 2002 (-7.33%), 07 Oct 2002 (0.91%), 16 Dec 2002 (3.63%)
2001317 Sep 2001 (-9.27%), 18 Sep 2001 (-7.06%), 06 Nov 2001 (-7.09%)
2000219 Jan 2000 (11.41%), 06 Mar 2000 (-1.2%)
1999718 Jan 1999 (-2.81%), 08 Mar 1999 (6.15%), 26 Apr 1999 (-7.29%), 28 Apr 1999 (-7.13%), 02 Sep 1999 (-5.99%), 15 Oct 1999 (-6.03%), 16 Dec 1999 (-3.63%)
1998912 Jan 1998 (-3.86%), 23 Mar 1998 (-4.16%), 24 Apr 1998 (5.47%), 03 Jun 1998 (10.07%), 09 Jul 1998 (-4.84%), 29 Jul 1998 (1.63%), 02 Sep 1998 (-0.98%), 16 Sep 1998 (-2.58%), 24 Nov 1998 (6.92%)
1997913 Mar 1997 (10.18%), 29 Apr 1997 (-4.29%), 30 Apr 1997 (-2.21%), 12 May 1997 (0.1%), 28 May 1997 (-4.63%), 01 Jul 1997 (-4.12%), 24 Oct 1997 (7.22%), 02 Dec 1997 (-4.5%), 03 Dec 1997 (-1.87%)
1996618 Jan 1996 (5.89%), 29 Feb 1996 (-0.56%), 25 Jun 1996 (0.04%), 12 Jul 1996 (6.44%), 20 Sep 1996 (7.6%), 27 Nov 1996 (-2.28%)
1995520 Mar 1995 (-0.25%), 19 Apr 1995 (-1.59%), 29 May 1995 (-1.98%), 11 Aug 1995 (3.1%), 20 Oct 1995 (1.03%)



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