Study: Sell MRPL when RSI is below 50 and there is Bearish Centerline 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 Centerline 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
1-8639.5761516.679477.359477.35-3623.38-6699.752.620.52-0.058-1439.93
2-7346.4862433.334452.058780.49-4062.64-7537.691.10.55-0.048-1224.41
3-14630.862433.334418.025993.03-5866.71-11662.530.750.38-0.084-2438.47
4-5112.98633506685.059888.75-8389.37-9181.140.80.8-0.023-852.16
52145.6962433.3313096.8217552.53-6011.99-11662.532.181.090.0075357.61
6-19895.7462433.338259.059270.7-9103.46-15558.340.910.45-0.079-3315.96
7-13896.16633504914.437540.17-9546.48-14219.990.510.51-0.061-2316.03
86660.026335010492.2814640.2-8272.27-14136.341.271.270.0221110
92675.416335011085.7616563.66-10193.96-17231.281.091.090.008445.9
10-7255.04633508792.2519901.11-11210.6-21162.690.780.78-0.02-1209.17
Although, strategy looks good but profit factor on day 3 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
atrnil37.511436.2862433.3320976.9121688.48-7629.38-8307.762.751.370.031906.05
atrtrail23.5836.4862433.3313984.614458.98-6783.18-8307.762.061.030.003139.41
atrnil23.5-2548.3262433.3313984.614458.98-7629.38-8307.761.830.92-0.0088-424.72
atrtrail34-14344.4562433.336394.1410330.17-6783.18-8307.760.940.47-0.074-2390.74
atrtrail-14-14344.4562433.336394.1410330.17-6783.18-8307.760.940.47-0.074-2390.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Aug 2018 (10.84%)
2017124 Jul 2017 (-4.15%)
2011107 Jan 2011 (10.13%)
2007128 Jun 2007 (-3.78%)
2006130 Nov 2006 (-3.66%)
1998101 Sep 1998 (-3.67%)



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