Study: Sell MUTHOOTFIN 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 MUTHOOTFIN 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 MUTHOOTFIN 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
134548.4140231757.53252.1112856.45-2367.66-5956.621.371.860.076863.71
28922.52401822455417.3315991.62-4026.79-14784.841.351.10.013223.06
3-28943.340172342.57438.926045.56-6756.72-201581.10.81-0.027-723.58
4-29315.72401624407019.5820673.24-5901.21-17324.981.190.79-0.031-732.89
5-40689.1539172243.595949.8720197.21-6447.13-21737.950.920.71-0.043-1043.31
6-41625.2639172243.596751.6727813.67-7109.26-26968.130.950.73-0.038-1067.31
7-76997.4439152438.468516.4427473.65-8531-37156.0910.62-0.057-1974.29
8-40091.5139152438.469586.2425093.51-7661.88-27240.531.250.78-0.031-1027.99
9-36960.2639162341.039848.5524939.58-8458.13-34622.471.160.81-0.027-947.7
10-48178.7339162341.0311724.3528111.65-10250.79-45426.641.140.8-0.03-1235.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.86. 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 57.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.076, which is low, don't trade solely on the basis of this study.

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-1134548.4140231757.53252.1112856.45-2367.66-5956.621.371.860.076863.71
atrtrail25.476366.3547173036.1711446.9623180.28-6274.4-10607.331.821.030.0047135.45
atrtrail36.07-23016.6545162935.569568.8334770.42-6073.03-10607.331.580.87-0.018-511.48
atrnil29.6-81960.2342113126.1917220.4723180.28-8754.37-15936.481.970.7-0.057-1951.43
atrtrail-16.27-62753.3245162935.567085.2921543.76-6073.03-10607.331.170.64-0.063-1394.52
atrnil311.68-138765406341525863.2434770.42-8645.42-15936.482.990.53-0.094-3469.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 57.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.076, 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.
MUTHOOTFIN Performance, X=1, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Jul 2019 (1.21%), 22 Aug 2019 (-2.34%), 08 Nov 2019 (0.83%)
2018411 Jan 2018 (-0.09%), 19 Feb 2018 (3.13%), 09 Mar 2018 (-2.02%), 19 Jul 2018 (-0.15%)
2017321 Jul 2017 (-1.9%), 25 Sep 2017 (-0.38%), 25 Oct 2017 (0.21%)
2016719 Jan 2016 (-0.6%), 11 Feb 2016 (0.96%), 29 Mar 2016 (-1.21%), 12 Sep 2016 (3.78%), 29 Sep 2016 (-2.03%), 03 Nov 2016 (2.14%), 15 Dec 2016 (0.28%)
2015515 Apr 2015 (-0.5%), 09 Jun 2015 (-1.91%), 25 Jun 2015 (0.08%), 18 Sep 2015 (-2.98%), 11 Dec 2015 (-0.0%)
2014423 Jul 2014 (-0.09%), 25 Sep 2014 (0.13%), 19 Nov 2014 (1.1%), 17 Dec 2014 (1.52%)
2013617 Jan 2013 (1.59%), 07 Feb 2013 (0.74%), 30 May 2013 (3.18%), 29 Jul 2013 (5.1%), 17 Sep 2013 (6.43%), 17 Oct 2013 (-2.09%)
2012509 Feb 2012 (0.28%), 22 Mar 2012 (0.27%), 26 Apr 2012 (0.21%), 30 May 2012 (-0.25%), 13 Aug 2012 (0.58%)
2011308 Sep 2011 (-1.59%), 18 Nov 2011 (2.06%), 12 Dec 2011 (1.6%)



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