Study: Sell RAYMOND 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 RAYMOND 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 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
173960.893583562.373991.9615246.64-4502.09-16888.550.891.470.03795.28
290742.2893534056.996023.2620586.77-5712.27-33311.131.051.40.024975.72
350254.7693524155.916792.1620488.47-7388.73-54531.250.921.170.011540.37
4-38603.5593474650.548327.4234871.1-9347.65-49797.020.890.91-0.0068-415.09
5-49325.5493504353.768508.9948778.83-11041.28-49932.340.770.9-0.0076-530.38
6-68705.9793534056.998744.5343894.17-13304.16-74966.170.660.87-0.0091-738.77
7-54028.393474650.5411384.1359294.44-12806.14-1124490.890.91-0.006-580.95
81405.0893514254.8411591.5763432.84-14042.02-1125850.8310.0001515.11
9-20202.793514254.8411327.0859837.18-14235.32-1438430.80.97-0.002-217.23
10-1001.1393494452.6913040.9773812.75-14545.65-1096080.91-0.0001-10.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.47. 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 62.37%, which is good. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1173960.893583562.373991.9615246.64-4502.09-16888.550.891.470.03795.28
atrnil26.72-47368.86104347032.6917457.2730253.14-9155.94-16899.381.910.93-0.0071-455.47
atrtrail24.35-65713.48104366834.6210597.7729547.74-6576.96-15924.741.610.85-0.013-631.86
atrtrail-15.33-82793.24104356933.6510455.1265528.8-6503.22-15924.741.610.82-0.014-796.09
atrtrail34.88-121404104356933.659351.9739964.72-6503.22-15924.741.440.73-0.024-1167.34
atrnil39.41-216942104228221.1524570.9445379.71-9237.84-16899.382.660.71-0.029-2085.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 62.37%, which is good. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, X=1, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Mar 2019 (-1.55%)
2018417 Jan 2018 (4.23%), 09 May 2018 (2.79%), 04 Dec 2018 (1.66%), 26 Dec 2018 (0.71%)
2017617 Mar 2017 (-1.23%), 10 May 2017 (0.86%), 21 Jul 2017 (-1.01%), 21 Sep 2017 (4.24%), 13 Nov 2017 (0.4%), 29 Nov 2017 (1.44%)
2016320 Apr 2016 (0.24%), 20 May 2016 (3.13%), 26 Oct 2016 (3.52%)
2015322 Jan 2015 (2.0%), 20 Jul 2015 (4.11%), 26 Oct 2015 (0.29%)
2014403 Jun 2014 (-4.53%), 24 Jul 2014 (4.01%), 16 Sep 2014 (-0.58%), 12 Dec 2014 (-1.98%)
2013230 Oct 2013 (0.65%), 05 Dec 2013 (-0.54%)
2012623 Feb 2012 (1.41%), 10 Apr 2012 (1.02%), 11 Jul 2012 (2.38%), 09 Oct 2012 (2.81%), 21 Nov 2012 (-0.54%), 18 Dec 2012 (0.98%)
2011513 Apr 2011 (1.4%), 05 May 2011 (0.34%), 27 Jul 2011 (1.5%), 11 Nov 2011 (1.54%), 13 Dec 2011 (1.87%)
2010628 Jan 2010 (-1.15%), 16 Apr 2010 (2.59%), 15 Jul 2010 (-0.55%), 31 Aug 2010 (-1.17%), 19 Oct 2010 (2.74%), 11 Nov 2010 (4.52%)
2009612 Jan 2009 (3.03%), 28 Apr 2009 (-0.35%), 12 Jun 2009 (4.58%), 09 Jul 2009 (2.54%), 30 Jul 2009 (-1.87%), 05 Oct 2009 (1.16%)
2007209 Oct 2007 (-5.26%), 23 Nov 2007 (-1.73%)
2006523 Mar 2006 (-3.17%), 12 Apr 2006 (2.24%), 11 May 2006 (2.44%), 12 Sep 2006 (-2.04%), 26 Oct 2006 (1.17%)
2005614 Mar 2005 (0.3%), 18 Apr 2005 (-0.66%), 01 Jun 2005 (0.96%), 18 Aug 2005 (0.17%), 23 Sep 2005 (-3.96%), 14 Oct 2005 (-0.55%)
2004506 Jan 2004 (0.83%), 27 Jul 2004 (2.33%), 15 Sep 2004 (1.49%), 09 Oct 2004 (0.65%), 06 Dec 2004 (-0.26%)
2003430 May 2003 (-3.82%), 10 Jul 2003 (-3.25%), 06 Aug 2003 (2.56%), 15 Sep 2003 (-0.32%)
2002105 Feb 2002 (-2.58%)
2001317 Jan 2001 (0.12%), 26 Feb 2001 (1.22%), 29 Nov 2001 (-1.12%)
2000608 Feb 2000 (-7.99%), 26 Apr 2000 (-7.97%), 15 May 2000 (1.94%), 29 Jun 2000 (2.44%), 14 Sep 2000 (2.64%), 18 Dec 2000 (2.21%)
1999207 Jan 1999 (-3.3%), 27 May 1999 (2.14%)
1998631 Mar 1998 (-3.11%), 27 Apr 1998 (7.62%), 14 May 1998 (-8.44%), 01 Jun 1998 (3.77%), 20 Nov 1998 (0.2%), 23 Dec 1998 (1.82%)
1997113 Aug 1997 (1.59%)
1996410 Jan 1996 (-0.19%), 11 Mar 1996 (0.53%), 27 Jun 1996 (-0.07%), 25 Jul 1996 (-1.92%)
1995214 Jun 1995 (1.72%), 31 Jul 1995 (-0.02%)



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