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

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In this study, we evaluate the performance of strategy "Sell NMDC 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 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
15497.0939162341.034892.729990.75-3164.62-8062.31.551.080.009140.95
216950.4639211853.855837.1919488.13-5868.36-18337.960.991.160.017434.63
3-42044.1539182146.156677.1423846.23-7725.36-23882.350.860.74-0.033-1078.06
4-44825.1539172243.598134.2623126.73-8323.07-27764.710.980.76-0.032-1149.36
5-15595.2439192048.7210512.8930075.03-10767.01-32533.470.980.93-0.0086-399.88
6-22250.033819195010939.6838565.11-12110.73-51173.880.90.9-0.011-585.53
7-46923.1638201852.639921.7943930.52-13631.06-64998.210.730.81-0.021-1234.82
87384.3438172144.7413143.9151721.66-10288.67-54200.931.281.030.0034194.32
933863.9438172144.7414774.2952173.91-10347.57-37468.721.431.160.016891.16
1050805.8938182047.3714784.9946541.27-10766.19-54606.131.371.240.0231337
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
atrnil38.5317734747163134.0425117.5242571.46-7243-14968.443.471.790.0683773.35
atrnil26.5683190.5848183037.516654.2428380.97-7219.52-14968.442.311.380.0421733.14
atrtrail23.966415.748163233.3311609.228380.97-5604.11-14968.442.071.040.004133.66
atrtrail-14.89-8885.147143329.7912418.1441349.55-5537.55-14968.442.240.95-0.0053-189.04
atrtrail34.32-14627.3147143329.7912007.9936626.55-5537.55-14968.442.170.92-0.0092-311.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.79. 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 34.04%, which is not acceptable. Avoid this strategy. Average return per trade is 1.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, 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.
NMDC Performance, Profit Factor:1.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Mar 2019 (9.13%), 09 Jul 2019 (-3.24%)
2018216 Jan 2018 (8.91%), 21 Sep 2018 (11.36%)
2017731 Jan 2017 (-2.78%), 01 Feb 2017 (8.46%), 10 Aug 2017 (-3.34%), 15 Sep 2017 (8.3%), 13 Nov 2017 (-2.69%), 14 Dec 2017 (-2.45%), 15 Dec 2017 (-2.4%)
2016701 Apr 2016 (-3.32%), 12 Apr 2016 (9.19%), 19 Jul 2016 (-2.12%), 10 Aug 2016 (-2.57%), 01 Sep 2016 (-2.52%), 30 Sep 2016 (-3.41%), 07 Nov 2016 (-3.97%)
2014803 Jan 2014 (-3.09%), 28 Jan 2014 (-2.98%), 13 Feb 2014 (8.86%), 30 Apr 2014 (-2.42%), 02 May 2014 (-2.46%), 30 May 2014 (-4.42%), 02 Jun 2014 (-4.41%), 12 Jun 2014 (12.86%)
2013318 Sep 2013 (-4.17%), 08 Nov 2013 (9.73%), 18 Dec 2013 (-2.96%)
2012212 Jul 2012 (-3.08%), 26 Sep 2012 (-3.26%)
2011230 Mar 2011 (-3.09%), 13 Apr 2011 (9.02%)
2010508 Jan 2010 (-3.23%), 13 Jan 2010 (-3.37%), 29 Jan 2010 (20.86%), 19 Oct 2010 (-3.0%), 10 Nov 2010 (9.06%)
2009729 Apr 2009 (-7.48%), 13 May 2009 (-6.53%), 14 May 2009 (-6.67%), 10 Jun 2009 (21.29%), 03 Aug 2009 (-5.94%), 11 Aug 2009 (16.91%), 26 Nov 2009 (-4.89%)
2008223 May 2008 (18.31%), 21 Aug 2008 (18.68%)



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