Study: Sell MRPL 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 MRPL 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 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
16673.21402020503613.8411728.4-3280.18-9803.921.11.10.0078166.83
2-73979.53401822455101.1417956.66-7536.37-287500.680.55-0.044-1849.49
3-33012.7640192147.55980.417129.63-6982.88-36908.210.860.77-0.018-825.32
4-429.2340251562.55987.6923765.43-10008.09-48529.410.61-0.00019-10.73
531035.8539231658.979047.4240751.73-11065.92-39705.880.821.180.011795.79
648266.939231658.9710701.8553086.42-12367.23-45588.240.871.240.0151237.61
797451.6139241561.5411642.3150154.32-12130.92-54411.760.961.540.0292498.76
812834639241561.5412805.2262191.36-11931.92-500001.071.720.0383290.93
992265.4939271269.2311540.5357407.41-18277.41-86764.710.631.420.0232365.78
1040701.4539251464.112881.4155555.56-20095.28-1176470.641.140.00861043.63
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
atrnil28.2453186.0542152735.7123365.6946128.3-11011.09-20555.82.121.180.0151266.33
atrtrail25.7231208.2343142932.5617644.0946128.3-7441.69-18541.982.371.140.01725.77
atrnil311.153398.8241113026.8332082.1547132.89-11650.16-23064.152.751.010.0008582.9
atrtrail36.43-26666.3242142833.3313485.1544097.05-7694.94-18541.981.750.88-0.0098-634.91
atrtrail-16.81-50393.3842142833.3311790.3646196.57-7694.94-18541.981.530.77-0.02-1199.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018620 Mar 2018 (6.71%), 04 May 2018 (5.4%), 21 May 2018 (6.61%), 19 Jun 2018 (-3.99%), 28 Jun 2018 (-4.9%), 29 Jun 2018 (9.4%)
2017120 Jan 2017 (-4.54%)
2016129 Sep 2016 (-4.03%)
2014220 Jan 2014 (-3.58%), 08 Jul 2014 (-4.67%)
2012123 Jul 2012 (-3.61%)
2011609 Feb 2011 (-4.22%), 26 Sep 2011 (-4.39%), 25 Oct 2011 (-4.3%), 09 Nov 2011 (-3.82%), 30 Nov 2011 (-4.79%), 01 Dec 2011 (11.06%)
2010122 Jan 2010 (7.64%)
2008411 Mar 2008 (19.74%), 23 Jun 2008 (14.7%), 07 Oct 2008 (15.71%), 20 Nov 2008 (-10.28%)
2006321 Mar 2006 (-3.57%), 15 May 2006 (15.34%), 18 Jul 2006 (-6.69%)
2004221 Jan 2004 (-7.59%), 31 May 2004 (23.06%)
2003103 Mar 2003 (-5.6%)
2002218 Apr 2002 (-8.64%), 21 May 2002 (-7.23%)
2001217 Sep 2001 (-9.27%), 18 Sep 2001 (-9.27%)
2000119 Jan 2000 (11.41%)
1999218 Jan 1999 (-3.69%), 02 Sep 1999 (-8.64%)
1998124 Apr 1998 (12.96%)
1997202 Dec 1997 (-4.5%), 03 Dec 1997 (-4.46%)
1996329 Feb 1996 (-4.67%), 20 Sep 1996 (7.6%), 27 Nov 1996 (-3.7%)
1995120 Mar 1995 (7.89%)



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