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

home > technical-strategy > rcom > 63

In this study, we evaluate the performance of strategy "Sell RCOM 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 RCOM 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
114814.7539221756.414578.0614631.69-5053.1-15339.810.911.170.017379.87
2-40094.4939172243.597745.8122502.52-7807.87-26699.030.990.77-0.03-1028.06
3-13578139162341.037292.3530877.9-10976.47-31111.110.660.46-0.082-3481.57
4-88943.639201951.288340.2626942.48-13460.47-49624.060.620.65-0.045-2280.61
5-76978.6439172243.5912241.9137275.99-12958.68-57142.860.940.73-0.033-1973.81
6-62709.539172243.5913830.4635125.45-13537.6-44360.91.020.79-0.027-1607.94
7-17053.8739182146.1513854.5943491.42-12687.45-45112.781.090.94-0.0071-437.28
812034.4139172243.5917301.6448032.29-12822.43-53071.91.351.040.0045308.57
997786.3939231658.9714757.4447023.21-15102.17-48278.870.981.40.0382507.34
1014785239231658.9717875.2550756.81-16454.9-44531.591.091.560.0523791.09
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
atrnil36.7610561945143131.1127897.4245984.01-9191.77-14965.033.041.370.0372347.09
atrtrail-15.3863070.6945162935.5617331.450754.24-7387.3-14965.032.351.290.0271401.57
atrtrail34.416931.1645162935.5614447.6829498.01-7387.3-14965.031.961.080.0087376.25
atrnil24.8917029.0145162935.5618006.7430656.01-9347.55-14965.031.931.060.0079378.42
atrtrail23.6213072.0445162935.5614206.4830656.01-7387.3-14965.031.921.060.007290.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 31.11%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
RCOM Performance, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018301 Mar 2018 (22.99%), 27 Aug 2018 (22.41%), 27 Nov 2018 (-6.14%)
2017130 Mar 2017 (-3.63%)
2016305 Jan 2016 (11.82%), 09 May 2016 (11.61%), 20 Jul 2016 (-3.7%)
2015227 Jul 2015 (-3.9%), 27 Oct 2015 (-3.99%)
2014223 Apr 2014 (10.58%), 13 Jun 2014 (-4.57%)
2013718 Jan 2013 (-3.88%), 25 Jan 2013 (14.75%), 13 May 2013 (-4.88%), 14 May 2013 (-4.74%), 26 Jun 2013 (-6.02%), 22 Jul 2013 (14.53%), 30 Sep 2013 (-5.33%)
2012406 Feb 2012 (-5.09%), 23 Feb 2012 (17.48%), 10 Oct 2012 (-4.66%), 19 Dec 2012 (-3.73%)
2011315 Apr 2011 (11.8%), 15 Jul 2011 (-3.24%), 04 Aug 2011 (12.67%)
2010302 Jul 2010 (13.66%), 19 Oct 2010 (-3.42%), 03 Nov 2010 (9.57%)
2009528 Apr 2009 (-7.32%), 08 May 2009 (-6.91%), 08 Jun 2009 (-7.48%), 09 Jun 2009 (-7.13%), 25 Sep 2009 (-4.14%)
2008103 Jan 2008 (-3.44%)
2007603 Jan 2007 (11.77%), 10 May 2007 (-3.57%), 11 May 2007 (-3.62%), 30 May 2007 (-3.57%), 26 Jul 2007 (9.64%), 25 Oct 2007 (-5.48%)
2006503 Oct 2006 (-3.3%), 23 Oct 2006 (-3.85%), 07 Nov 2006 (-3.44%), 11 Dec 2006 (-3.69%), 20 Dec 2006 (-4.63%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play