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

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL 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 RELCAPITAL 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
1139402113625154.875974.5424697.54-4529.79-21568.411.321.60.0331233.65
284162.15113585551.337814.9121971.91-6710.96-33948.291.161.230.016744.8
3114614113605353.19062.0329837.67-8096.38-38932.441.121.270.0181014.28
4246930113595452.2112294.7536120.95-8860.38-36837.361.391.520.0332185.22
5281424113654857.5212430.3248524.26-10969.73-43129.271.131.530.0332490.48
6211706113615253.9813891.5156228.11-12224.55-47539.621.141.330.0231873.5
7238189113625154.8714735.4373036.52-13243.3-83683.071.111.350.0222107.86
8146010113644956.6414708.9291545.77-16231.86-83576.310.911.180.0121292.12
9120857113664758.4114920.9961630.82-18381.46-67716.540.811.140.00991069.53
10171325113635055.7517132.7670119.45-18160.77-87759.480.941.190.0131516.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.6. 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 54.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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
atrtrail-16.3422661120536744.1717062.3972078.93-7188.73-31794.612.371.880.0443522.18
atrtrail35.34421246122546844.2616873.2159528.68-7204.52-31794.612.341.860.0473452.84
atrtrail24.62311588123546943.914974.840708.98-7203.63-31794.612.081.630.0392533.24
nilnil-11139402113625154.875974.5424697.54-4529.79-21568.411.321.60.0331233.65
atrnil39.89403487116407634.4829504.0772061.96-10219.42-33505.692.891.520.0343478.34
atrnil26.69278362123507340.6520178.8248041.3-10007.94-33505.692.021.380.0282263.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.88. 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 44.17%, which is not acceptable. Avoid this strategy. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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.
RELCAPITAL Performance, Profit Factor:1.88

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jan 2019 (-3.08%), 04 Apr 2019 (22.34%), 07 Jun 2019 (36.04%), 22 Aug 2019 (-15.9%)
2018622 Feb 2018 (-5.86%), 05 Mar 2018 (3.77%), 22 Mar 2018 (-4.85%), 20 Apr 2018 (-3.24%), 26 Jun 2018 (8.14%), 06 Dec 2018 (-0.62%)
2017205 Sep 2017 (24.91%), 09 Nov 2017 (8.61%)
2016412 Jan 2016 (12.5%), 04 May 2016 (-3.72%), 21 Jul 2016 (-2.69%), 28 Dec 2016 (-3.58%)
2015809 Feb 2015 (-3.22%), 23 Feb 2015 (-2.5%), 11 Mar 2015 (-3.77%), 20 Mar 2015 (-0.41%), 21 Apr 2015 (1.52%), 03 Jun 2015 (1.07%), 10 Aug 2015 (6.58%), 08 Dec 2015 (2.42%)
2014424 Jan 2014 (4.55%), 30 Apr 2014 (0.36%), 16 Sep 2014 (8.09%), 16 Dec 2014 (-2.32%)
2013720 Mar 2013 (4.62%), 22 May 2013 (2.62%), 24 Jun 2013 (-4.36%), 29 Jul 2013 (9.45%), 27 Sep 2013 (-0.78%), 11 Nov 2013 (-0.5%), 13 Dec 2013 (-0.75%)
2012127 Aug 2012 (-0.09%)
2011611 Jan 2011 (-3.69%), 12 Jan 2011 (30.14%), 22 Jun 2011 (-3.47%), 29 Sep 2011 (5.97%), 15 Nov 2011 (9.36%), 15 Dec 2011 (5.65%)
2010521 Jan 2010 (12.48%), 25 Mar 2010 (-0.33%), 15 Apr 2010 (1.98%), 26 Aug 2010 (-2.43%), 29 Sep 2010 (-0.85%)
2009512 Jan 2009 (3.35%), 27 Feb 2009 (13.52%), 10 Aug 2009 (-1.01%), 22 Oct 2009 (14.9%), 14 Dec 2009 (1.56%)
2008503 Mar 2008 (8.16%), 09 May 2008 (-6.59%), 26 May 2008 (10.37%), 20 Jun 2008 (1.09%), 19 Nov 2008 (-5.46%)
2007204 Apr 2007 (-4.8%), 19 Oct 2007 (-10.14%)
2006503 Feb 2006 (-2.47%), 23 Mar 2006 (-3.0%), 17 Jul 2006 (4.47%), 09 Nov 2006 (-3.1%), 11 Dec 2006 (-0.82%)
2005218 Jan 2005 (-3.0%), 28 Oct 2005 (-6.45%)
2004519 Feb 2004 (-2.67%), 15 Mar 2004 (4.96%), 28 Apr 2004 (-0.02%), 31 May 2004 (11.52%), 08 Dec 2004 (0.81%)
2003306 Mar 2003 (3.29%), 09 May 2003 (-2.58%), 21 Oct 2003 (-0.02%)
2002724 Jan 2002 (-4.66%), 28 Feb 2002 (-5.51%), 30 Apr 2002 (-3.3%), 16 May 2002 (-3.42%), 17 May 2002 (6.75%), 26 Jun 2002 (-5.04%), 11 Sep 2002 (1.02%)
2001611 Jan 2001 (-2.69%), 21 Feb 2001 (7.13%), 04 Jun 2001 (15.82%), 25 Jul 2001 (-2.79%), 04 Sep 2001 (-2.86%), 05 Sep 2001 (7.0%)
2000410 Mar 2000 (-1.93%), 16 May 2000 (2.57%), 26 Jun 2000 (-0.39%), 15 Sep 2000 (7.96%)
1999719 Jan 1999 (-5.12%), 09 Mar 1999 (-5.37%), 10 Mar 1999 (9.04%), 26 Apr 1999 (-6.89%), 26 May 1999 (-1.08%), 15 Jun 1999 (-5.71%), 01 Nov 1999 (-8.78%)
1998713 Jan 1998 (-4.68%), 14 Jan 1998 (-4.58%), 31 Mar 1998 (-3.86%), 28 Jul 1998 (17.07%), 05 Oct 1998 (-3.52%), 21 Nov 1998 (1.73%), 17 Dec 1998 (-3.04%)
1997405 May 1997 (10.86%), 09 Jun 1997 (-3.46%), 28 Oct 1997 (-6.54%), 29 Oct 1997 (17.97%)
1996511 Mar 1996 (-3.85%), 13 Jun 1996 (11.56%), 16 Aug 1996 (1.31%), 16 Sep 1996 (-4.2%), 05 Nov 1996 (13.72%)
1995621 Apr 1995 (15.28%), 15 May 1995 (-3.69%), 15 Jun 1995 (-3.15%), 22 Jun 1995 (3.62%), 14 Aug 1995 (-5.58%), 23 Oct 1995 (0.55%)



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