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

home > technical-strategy > mrpl > 63

In this study, we evaluate the performance of strategy "Sell MRPL 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 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
137013.7271432860.564034.4227212.02-4873.8-19840.360.831.270.017521.32
2-63281.6171323945.075895.2424373.96-6459.73-19927.10.910.75-0.024-891.29
3-48053.6171343747.896652.6137037.04-7411.96-26002.430.90.82-0.014-676.81
4-81246.4971333846.486843.8640740.74-8081.42-37430.880.850.74-0.022-1144.32
5-61363.8971353649.38719.3833333.33-10181.73-39217.350.860.83-0.014-864.28
6-35311.8171373452.119436.8529629.63-11308.1-36692.020.830.91-0.0076-497.35
763709.7971393254.9311366.8939506.17-11862.47-37832.70.961.170.013897.32
8-19670.4171373452.1112608.1840740.74-14299.21-65019.010.880.96-0.0033-277.05
9-20598.9671353649.313925.0748148.15-14110.46-500000.990.96-0.0034-290.13
10-51035.5671383353.5213334.4747222.22-16901.38-88783.270.790.91-0.0071-718.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. 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 60.56%, which is good. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1137013.7271432860.564034.4227212.02-4873.8-19840.360.831.270.017521.32
atrtrail24.5-28146.0384285633.3313126.0435235.37-7065.63-18545.861.860.93-0.0061-335.07
atrnil314.89-76531.9280176321.2534001.6452853.05-10389.84-21991.113.270.88-0.011-956.65
atrnil26.2-74751.0684255929.7621420.0335235.37-10343.25-21991.112.070.88-0.012-889.89
atrtrail35.15-80899.4484285633.3311241.9952853.05-7065.63-18545.861.590.8-0.018-963.09
atrtrail-15.45-10187084285633.3310493.0437895.21-7065.63-18545.861.490.74-0.024-1212.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 60.56%, which is good. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, X=1, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Apr 2019 (1.76%)
2018105 Nov 2018 (-2.55%)
2017316 Feb 2017 (-3.15%), 11 May 2017 (2.82%), 18 Sep 2017 (-0.96%)
2016518 Apr 2016 (1.42%), 03 Aug 2016 (-5.91%), 30 Sep 2016 (-2.6%), 18 Oct 2016 (-1.32%), 13 Dec 2016 (1.68%)
2015503 Mar 2015 (-2.37%), 22 Apr 2015 (-0.21%), 09 Jul 2015 (-1.24%), 10 Dec 2015 (0.16%), 24 Dec 2015 (0.84%)
2014317 Jan 2014 (0.93%), 07 May 2014 (3.63%), 29 May 2014 (0.07%)
2013301 Oct 2013 (-1.36%), 05 Nov 2013 (-1.25%), 29 Nov 2013 (-0.0%)
2012423 Feb 2012 (1.1%), 18 Jul 2012 (-2.88%), 04 Sep 2012 (0.33%), 22 Oct 2012 (0.15%)
2011202 May 2011 (2.56%), 15 Jul 2011 (0.68%)
2010119 Jul 2010 (1.42%)
2009423 Apr 2009 (-4.71%), 13 May 2009 (2.19%), 17 Jun 2009 (7.33%), 15 Sep 2009 (0.58%)
2008208 May 2008 (6.85%), 18 Aug 2008 (-3.48%)
2007602 Feb 2007 (1.36%), 24 May 2007 (-0.47%), 18 Jul 2007 (-1.7%), 09 Oct 2007 (-1.64%), 28 Nov 2007 (1.7%), 13 Dec 2007 (-0.3%)
2006111 Sep 2006 (0.24%)
2005207 Jan 2005 (-0.0%), 12 Aug 2005 (1.15%)
2004620 Jan 2004 (13.61%), 29 Apr 2004 (1.74%), 06 Aug 2004 (1.55%), 27 Sep 2004 (0.23%), 12 Oct 2004 (0.66%), 22 Dec 2004 (-0.1%)
2003810 Feb 2003 (-1.96%), 28 Feb 2003 (1.23%), 09 Jun 2003 (4.03%), 23 Jun 2003 (-3.57%), 04 Sep 2003 (0.39%), 13 Oct 2003 (3.56%), 21 Nov 2003 (-9.92%), 19 Dec 2003 (0.5%)
2002413 Mar 2002 (-0.57%), 19 Jun 2002 (-3.54%), 11 Jul 2002 (0.46%), 13 Dec 2002 (1.97%)
2001205 Nov 2001 (4.41%), 07 Dec 2001 (1.27%)
1999222 Jul 1999 (1.48%), 01 Sep 1999 (2.78%)
1998123 Apr 1998 (2.67%)
1997414 Jan 1997 (-6.9%), 02 Jul 1997 (2.13%), 17 Jul 1997 (0.51%), 19 Aug 1997 (-3.59%)
1996126 Apr 1996 (0.61%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play