Study: Sell RAYMOND 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 RAYMOND 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 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
123581.77482424504352.5611580.1-3369.98-16094.671.291.290.019491.29
25055.9248252352.085510.3214324.57-5769.65-25608.910.961.040.0027105.33
3-1684.06482424508047.1227469.99-8117.29-43702.160.990.99-0.0006-35.08
4-59205.13482424507304.9328855.03-9771.81-54082.840.750.75-0.019-1233.44
5-5699348262254.177307.9827839.34-11227.29-54437.870.650.77-0.019-1187.35
6-85945.4948262254.177577.824561.4-12862.19-45562.130.590.7-0.027-1790.53
7-129023482424507884.1524962.85-13260.11-55621.30.590.59-0.035-2687.98
8-10415348232547.928453.9128033.68-11943.73-53727.810.710.65-0.029-2169.86
9-12688948212743.759199.4725656.27-11854.72-47692.310.780.6-0.037-2643.51
10-10170248202841.679548.2627717.95-10452.39-39408.280.910.65-0.032-2118.79

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.29. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil311.9217520149183136.7326832.6145653.15-9928.59-20555.342.71.570.0393575.53
nilnil-1123581.77482424504352.5611580.1-3369.98-16094.671.291.290.019491.29
atrnil28.0847840.5851203139.2217638.2830435.44-9836.29-20555.341.791.160.013938.05
atrtrail25.22-69655.7951173433.339861.2322842.25-6979.31-17599.671.410.71-0.029-1365.8
atrtrail35.66-106093501733347271.0630583.3-6960.63-17599.671.040.54-0.049-2121.86
atrtrail-15.9-138296501634325796.4621904.72-6795.27-17599.670.850.4-0.075-2765.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. 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 36.73%, which is not acceptable. Avoid this strategy. Average return per trade is 1.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jul 2019 (10.42%), 21 Aug 2019 (-4.82%)
2018407 Mar 2018 (-4.31%), 16 Jul 2018 (-3.93%), 08 Aug 2018 (-3.76%), 11 Sep 2018 (-3.39%)
2017122 Sep 2017 (-3.57%)
2016111 Feb 2016 (-3.31%)
2015121 Jul 2015 (11.02%)
2013328 Feb 2013 (-4.36%), 18 Mar 2013 (12.65%), 25 Jul 2013 (15.29%)
2012212 Jul 2012 (9.62%), 10 Oct 2012 (-2.93%)
2010109 Jun 2010 (-4.08%)
2009113 Jan 2009 (22.83%)
2008308 Feb 2008 (-10.28%), 05 Jun 2008 (17.13%), 02 Jul 2008 (21.74%)
2007119 Jul 2007 (7.95%)
2006221 Jul 2006 (-7.16%), 12 Dec 2006 (14.7%)
2005415 Apr 2005 (-4.56%), 29 Apr 2005 (-5.24%), 09 Aug 2005 (-3.66%), 10 Aug 2005 (-3.84%)
2004223 Feb 2004 (-5.92%), 19 Mar 2004 (-4.38%)
2003310 Jan 2003 (-2.36%), 21 Jan 2003 (6.79%), 23 Oct 2003 (-6.09%)
2002428 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%)
2000207 Feb 2000 (-7.12%), 15 Feb 2000 (22.43%)
1999128 May 1999 (-8.8%)
1998313 Jan 1998 (-5.17%), 30 Jul 1998 (-9.38%), 01 Sep 1998 (-8.0%)
1997324 Feb 1997 (-3.37%), 30 May 1997 (-3.84%), 22 Sep 1997 (12.75%)
1995324 Apr 1995 (9.7%), 25 May 1995 (-3.79%), 13 Jun 1995 (-3.55%)



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