Study: Sell RAYMOND when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > raymond > 26

In this study, we evaluate the performance of strategy "Sell RAYMOND 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 RAYMOND 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
142193.86120576347.54438.7118807.46-3346.23-16094.671.331.20.013351.62
29017.77120625851.675488.8427870.46-5711.9-33248.950.961.030.001975.15
3-44513.041206060506630.3727469.99-7372.25-51983.120.90.9-0.0069-370.94
4-109556120615950.836872.4531807.46-8962.31-74936.710.770.79-0.014-912.97
5-13391.53120645653.337934.0527839.34-9306.63-58565.40.850.97-0.0018-111.6
6-29419.16120655554.178494.0327975.79-10573.29-58902.950.80.95-0.0038-245.16
7-108720120645653.339412.7834233.2-12698.88-59915.610.740.85-0.012-906
8-87578.3512060605010241.9139110.55-11701.55-53727.810.880.88-0.0097-729.82
9-3020.54120576347.512505.3351888.38-11362.3-49957.811.11-0.00031-25.17
10-10101.512054664513081.3742747.17-10855.99-45907.171.20.99-0.0011-84.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.2. 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 47.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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
atrnil311173633118368230.5127055.8354005.92-9760.69-20555.342.771.220.0171471.47
nilnil-1142193.86120576347.54438.7118807.46-3346.23-16094.671.331.20.013351.62
atrnil27.81120700125477837.618720.0236003.94-9732.57-20555.341.921.160.013965.6
atrtrail25.4253683.72130508038.4612613.2736003.94-7212.25-17599.671.751.090.0073412.95
atrtrail36.0140321.8128507839.0611977.5436603.99-7160.96-17599.671.671.070.0054315.01
atrtrail-16.42-73794.32127497838.589602.1537713.15-6978.2-17599.671.380.86-0.011-581.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 30.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, 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. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Jun 2019 (9.86%), 08 Jul 2019 (10.42%), 21 Aug 2019 (-4.82%)
2018507 Mar 2018 (-4.31%), 21 Jun 2018 (9.75%), 16 Jul 2018 (-3.93%), 08 Aug 2018 (-3.76%), 11 Sep 2018 (-3.39%)
2017327 Jan 2017 (-3.16%), 23 Jun 2017 (-3.98%), 22 Sep 2017 (-3.57%)
2016507 Jan 2016 (8.08%), 11 Feb 2016 (-3.31%), 08 Mar 2016 (-3.32%), 21 Apr 2016 (-2.47%), 26 Jul 2016 (8.27%)
2015623 Jan 2015 (-3.78%), 23 Feb 2015 (-3.84%), 13 Mar 2015 (12.4%), 23 Apr 2015 (-4.22%), 21 Jul 2015 (11.02%), 09 Dec 2015 (-2.8%)
2014407 Jan 2014 (-4.31%), 27 Jan 2014 (-4.18%), 17 Feb 2014 (-3.92%), 31 Oct 2014 (-4.83%)
2013428 Feb 2013 (-4.36%), 18 Mar 2013 (12.65%), 22 May 2013 (11.54%), 25 Jul 2013 (15.29%)
2012312 Jul 2012 (9.62%), 28 Aug 2012 (-3.27%), 10 Oct 2012 (-2.93%)
2011707 Jan 2011 (13.1%), 31 Jan 2011 (15.44%), 04 May 2011 (-4.83%), 17 May 2011 (-4.6%), 20 Jun 2011 (-4.5%), 23 Sep 2011 (-4.07%), 14 Dec 2011 (12.72%)
2010622 Feb 2010 (-6.16%), 09 Jun 2010 (-4.08%), 14 Jul 2010 (-4.37%), 12 Nov 2010 (13.4%), 09 Dec 2010 (-7.04%), 10 Dec 2010 (-6.96%)
2009513 Jan 2009 (22.83%), 10 Jul 2009 (-7.49%), 27 Nov 2009 (-4.82%), 30 Nov 2009 (-4.8%), 15 Dec 2009 (-3.89%)
2008509 Jan 2008 (18.3%), 08 Feb 2008 (-10.28%), 07 Mar 2008 (27.0%), 26 Jun 2008 (-5.27%), 02 Jul 2008 (21.74%)
2007304 May 2007 (13.84%), 19 Jul 2007 (7.95%), 24 Aug 2007 (-4.28%)
2006417 Jan 2006 (-2.78%), 21 Jul 2006 (-7.16%), 27 Oct 2006 (-3.69%), 12 Dec 2006 (14.7%)
2005815 Apr 2005 (-4.56%), 29 Apr 2005 (-5.24%), 20 Jun 2005 (-3.3%), 07 Jul 2005 (-3.36%), 09 Aug 2005 (-3.66%), 10 Aug 2005 (-3.84%), 22 Sep 2005 (-4.47%), 05 Dec 2005 (-3.08%)
2004723 Feb 2004 (-5.92%), 19 Mar 2004 (-4.38%), 28 Apr 2004 (-4.1%), 14 May 2004 (18.21%), 17 May 2004 (-7.8%), 31 May 2004 (-7.26%), 28 Jul 2004 (-3.94%)
2003310 Jan 2003 (-2.36%), 21 Jan 2003 (6.79%), 23 Oct 2003 (-6.09%)
2002504 Feb 2002 (-3.69%), 28 Feb 2002 (-4.08%), 20 May 2002 (-4.84%), 15 Jul 2002 (13.14%), 04 Dec 2002 (11.17%)
2001213 Jun 2001 (8.76%), 18 Jul 2001 (13.39%)
2000507 Feb 2000 (-7.12%), 15 Feb 2000 (22.43%), 25 Apr 2000 (-7.52%), 12 May 2000 (-6.98%), 23 Oct 2000 (-6.96%)
1999803 Mar 1999 (-6.12%), 05 Apr 1999 (-7.58%), 28 May 1999 (-8.8%), 23 Jul 1999 (-6.74%), 01 Sep 1999 (-6.38%), 04 Oct 1999 (-6.8%), 18 Oct 1999 (-6.26%), 28 Oct 1999 (21.56%)
1998413 Jan 1998 (-5.17%), 30 Jul 1998 (-9.38%), 01 Sep 1998 (-8.0%), 30 Sep 1998 (-6.38%)
1997815 Jan 1997 (-4.59%), 16 Jan 1997 (15.61%), 21 Feb 1997 (-3.29%), 14 Mar 1997 (13.49%), 24 Apr 1997 (-3.44%), 05 May 1997 (9.62%), 30 May 1997 (-3.84%), 22 Sep 1997 (12.75%)
1996218 Jan 1996 (-1.97%), 31 Jul 1996 (10.45%)
1995324 Apr 1995 (9.7%), 25 May 1995 (-3.79%), 13 Jun 1995 (-3.55%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play