Study: Sell NMDC 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 NMDC 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 NMDC 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
1-13096.729151451.722644.999608.54-3769.4-11926.610.70.75-0.031-451.61
2-10679.2529181162.073641.837398.84-6930.19-17316.510.530.86-0.018-368.25
333791.0529151451.726976.4511277.66-5061.12-12691.131.381.480.051165.21
4-4938.8429161355.175317.1217826.47-6924.06-20374.620.770.95-0.0063-170.3
513440.9728151353.577581.5728605.27-7714.05-20412.840.981.130.014480.03
63328.6128111739.299235.3637785.02-5780.02-17698.781.61.030.0033118.88
7-24262.8428121642.867535.0129612.08-7167.68-20909.791.050.79-0.025-866.53
8-45924.4928111739.298181.6121616.82-7995.43-22873.621.020.66-0.045-1640.16
9-43153.6128131546.438180.6329478.94-9966.79-26141.280.820.71-0.037-1541.2
10-47751.17281414508422.2529907.21-11833.05-31001.510.710.71-0.037-1705.4
Although, strategy looks good but profit factor on day 1 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
atrtrail24.16-44677.5831121938.716541.3120058.61-6482.81-11317.811.010.64-0.056-1441.21
atrtrail-14.77-50583.1531121938.716049.1827017.84-6482.81-11317.810.930.59-0.058-1631.71
atrtrail34.52-51744.4931121938.715952.430087.91-6482.81-11317.810.920.58-0.06-1669.18
atrnil25.77-76608.973182325.8112975.6220058.61-7844.08-20653.681.650.58-0.074-2471.26
atrnil36.3-89222.823052516.6720518.6730087.91-7672.65-20653.682.670.53-0.078-2974.09

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
NMDC Performance, Profit Factor:0.637

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019310 Jan 2019 (-3.1%), 25 Mar 2019 (0.27%), 08 Jul 2019 (-3.32%)
2018320 Mar 2018 (-3.7%), 04 Apr 2018 (-3.23%), 24 Sep 2018 (-3.88%)
2017327 Jun 2017 (-2.8%), 28 Jun 2017 (-2.75%), 11 Aug 2017 (-3.66%)
2016112 Sep 2016 (0.02%)
2015308 Jul 2015 (-2.63%), 28 Jul 2015 (1.31%), 13 Aug 2015 (5.7%)
2013725 Feb 2013 (5.7%), 20 Mar 2013 (-1.22%), 04 Apr 2013 (2.46%), 20 May 2013 (1.32%), 12 Jun 2013 (5.66%), 30 Jul 2013 (-2.01%), 11 Nov 2013 (-2.44%)
2012110 Dec 2012 (-3.59%)
2011316 Jun 2011 (0.56%), 26 Sep 2011 (-5.1%), 12 Dec 2011 (10.03%)
2010521 May 2010 (0.18%), 08 Jun 2010 (-2.74%), 30 Sep 2010 (-2.56%), 20 Oct 2010 (-2.22%), 11 Nov 2010 (6.04%)
2009109 Jan 2009 (-5.66%)
2008126 Nov 2008 (-4.99%)



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