Study: Sell RELCAPITAL 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 RELCAPITAL 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 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
185202.54402416608395.5824697.54-7268.21-18220.41.161.730.0432130.06
254439.2540211952.511420.6721971.91-9757.63-33948.291.171.290.0221360.98
343211.940192147.513143.4229837.67-9833.96-38932.441.341.210.0161080.3
41238324020205017873.3135552.83-11681.72-36837.361.531.530.0363095.8
51005474020205018258.0743293.35-13230.74-43129.271.381.380.0272513.66
640861.5840192147.519537.6861613.96-15731.16-47539.621.241.120.00931021.54
719852.684018224521749.9481788.44-16893.01-83683.071.291.050.0037496.32
8-11891540192147.517672.4858445.16-21652.01-83576.310.820.74-0.023-2972.88
9-1440164022185517431.3360459.42-29305.86-67716.540.590.73-0.025-3600.4
10-19040940211952.517823.0670119.45-29720.68-87759.480.60.66-0.031-4760.21

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.73. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 1.07%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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
nilnil-1185202.54402416608395.5824697.54-7268.21-18220.41.161.730.0432130.06
atrtrail-15.7113953642182442.8619683.9260570.21-8948.92-31794.612.21.650.0353322.29
atrtrail34.8112698143192444.1917987.1166489.01-8948.92-31794.612.011.590.0342953.04
atrtrail23.8911799745192642.2218325.0844326.01-8853.07-31794.612.071.510.0332622.15
atrnil25.021080644518274024832.2444326.01-12552.46-33505.691.981.320.0242401.42
atrnil39.0787273.2642123028.5738529.0566489.01-12502.51-33505.693.081.230.0172077.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 1.07%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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, X=1, Profit Factor:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jun 2019 (-2.13%), 22 Aug 2019 (-8.42%)
2018322 Feb 2018 (-3.0%), 22 Mar 2018 (0.26%), 06 Dec 2018 (1.21%)
2017205 Sep 2017 (-1.2%), 09 Nov 2017 (0.61%)
2015210 Feb 2015 (-2.28%), 08 Dec 2015 (2.81%)
2014130 Apr 2014 (1.68%)
2013120 Mar 2013 (5.69%)
2011311 Jan 2011 (-3.56%), 29 Sep 2011 (12.35%), 15 Dec 2011 (5.99%)
2010129 Sep 2010 (1.98%)
2009127 Feb 2009 (6.81%)
2008303 Mar 2008 (6.82%), 20 Jun 2008 (8.95%), 19 Nov 2008 (8.05%)
2007119 Oct 2007 (-1.84%)
2006118 Jul 2006 (6.6%)
2005128 Oct 2005 (-9.11%)
2004128 Apr 2004 (3.35%)
2001125 Jul 2001 (1.78%)
2000410 Mar 2000 (7.98%), 16 May 2000 (-1.33%), 26 Jun 2000 (0.25%), 15 Sep 2000 (7.06%)
1999419 Jan 1999 (-6.55%), 26 May 1999 (1.19%), 15 Jun 1999 (-2.0%), 01 Nov 1999 (-7.66%)
1998213 Jan 1998 (-0.94%), 31 Mar 1998 (-3.85%)
1997109 Jun 1997 (0.55%)
1996220 Nov 1996 (0.21%), 04 Dec 1996 (-2.02%)
1995321 Apr 1995 (8.33%), 15 May 1995 (0.24%), 14 Aug 1995 (-2.25%)



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