Study: Sell MRPL when RSI is below 50 and ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell MRPL when RSI is below 50 and ADX is Trending and there is Dead 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: 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
1-29762.97826251959.983534.61-5613.82-9454.550.350.12-0.19-3720.37
2-46237.3481712.5589.1589.1-6689.49-17636.360.0880.013-0.22-5779.67
3-24330.1283537.51547.313534.61-5794.41-11188.810.270.16-0.13-3041.26
4-36055.64826256235.6510409.44-8087.82-19272.730.770.26-0.11-4506.96
5-24448.9983537.58611.5120124.91-10056.71-20727.270.860.51-0.056-3056.12
6-8808.6283537.513421.7330673.14-9814.76-180001.370.82-0.017-1101.08
7-22685.248262517662.8328868.84-9668.48-13706.291.830.61-0.043-2835.66
8-28568.718262518572.5435530.88-10952.3-19300.71.70.57-0.047-3571.09
9-1559.58262522864.0241498.96-7881.26-10789.982.90.97-0.0025-194.94
109712.318262529627.4355378.21-8257.09-10181.823.591.20.0121214.04
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
atrnil25.45-6304.1113827.2726287.3830997.45-10645.78-16666.092.470.93-0.0071-573.1
atrtrail-14.9-14011.0310191061672.9761672.97-8409.33-15498.737.330.81-0.014-1401.1
atrtrail24-15114.33112918.1830150.7430997.45-8379.53-15230.543.60.8-0.019-1374.03
atrtrail34.1-31727.9510191043956.0543956.05-8409.33-15498.735.230.58-0.041-3172.8
atrnil37.1-49323.1510191043956.0543956.05-10364.36-15498.734.240.47-0.063-4932.31

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.29%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:0.926

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016226 Feb 2016 (-5.77%), 29 Feb 2016 (-5.66%)
2015124 Sep 2015 (-5.34%)
2012217 May 2012 (-4.55%), 18 May 2012 (9.28%)
2011126 Sep 2011 (-4.39%)
2008116 Jun 2008 (14.65%)
2007128 Mar 2007 (-3.72%)
2004225 Jun 2004 (15.5%), 28 Jun 2004 (-8.33%)
1995124 Nov 1995 (-4.83%)



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