Study: Sell RELCAPITAL 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 RELCAPITAL 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 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
117243.7182404248.784948.5119111.7-4302.3-12121.211.151.10.0072210.29
285248.23824141508521.9930657.87-6442.76-25693.921.321.320.0211039.61
3-16977.1782384446.349265.3658876.6-8387.74-31850.121.10.95-0.0033-207.04
457197.6682404248.781133564881.05-9433.39-47423.891.21.140.0093697.53
538514.1682424051.2212561.753268.95-12226.93-73705.41.031.080.0053469.68
6-25249.4282433952.4414278.3562051.02-16390.22-1337050.870.96-0.0026-307.92
7-84007.9382433952.4414285.4652544.18-17904.68-1095150.80.88-0.0091-1024.49
8-34186.1282463656.115795.1264296.36-21132.27-1139430.750.96-0.0032-416.9
9-72971.4382463656.115355.5869746.65-21648-1305760.710.91-0.0066-889.9
10-10134482443853.6616813.8959314.46-22135.67-1369080.760.88-0.0092-1235.91
Although, strategy looks good but profit factor on day 1 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
atrnil36.6133150494346036.1725510.2955096.22-8930.76-17269.352.861.620.0423526.64
atrtrail34.1419520094355937.2317300.0233120.26-6954.25-17075.752.491.480.032076.59
atrnil24.715069894385640.4317116.8536730.81-8923.97-17269.351.921.30.0241603.17
atrtrail-14.8711537493345936.5615461.6948829.15-6954.64-17075.752.221.280.0191240.58
atrtrail23.6899758.5494365838.314149.7436730.81-7062.62-17075.7521.240.0181061.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 36.17%, 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 0.042, 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:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018316 Jan 2018 (13.22%), 28 Aug 2018 (-3.77%), 29 Aug 2018 (-3.73%)
2017410 Mar 2017 (-2.82%), 15 May 2017 (8.61%), 19 Jul 2017 (-2.59%), 22 Aug 2017 (-4.04%)
2016911 Jan 2016 (12.53%), 06 Apr 2016 (-3.72%), 13 May 2016 (-3.51%), 03 Jun 2016 (-3.17%), 09 Jun 2016 (8.87%), 22 Jul 2016 (-2.67%), 10 Aug 2016 (-3.03%), 11 Aug 2016 (-3.11%), 19 Sep 2016 (-3.44%)
2015102 Nov 2015 (-3.24%)
2014313 Jun 2014 (-5.0%), 16 Jun 2014 (-4.95%), 15 Dec 2014 (11.56%)
2013409 Jan 2013 (7.71%), 21 May 2013 (11.77%), 26 Jul 2013 (13.43%), 12 Dec 2013 (10.22%)
2012313 Jul 2012 (10.88%), 16 Oct 2012 (-3.78%), 31 Dec 2012 (-2.88%)
2011213 Apr 2011 (9.93%), 18 Jul 2011 (8.66%)
2010305 Jul 2010 (-3.14%), 26 Jul 2010 (-2.82%), 18 Oct 2010 (-2.89%)
2009411 May 2009 (-7.52%), 08 Jun 2009 (-6.99%), 25 Sep 2009 (-3.94%), 21 Oct 2009 (9.7%)
2008416 Jan 2008 (15.52%), 14 Aug 2008 (-6.58%), 05 Sep 2008 (-5.58%), 08 Sep 2008 (16.56%)
20071018 Jan 2007 (-3.77%), 14 Feb 2007 (-4.87%), 15 Feb 2007 (14.62%), 01 Jun 2007 (-4.0%), 28 Jun 2007 (-3.79%), 30 Jul 2007 (11.2%), 18 Oct 2007 (-8.38%), 06 Nov 2007 (-8.54%), 28 Nov 2007 (-6.37%), 07 Dec 2007 (-5.68%)
2006620 Feb 2006 (-4.15%), 22 Mar 2006 (-3.67%), 10 Apr 2006 (-3.61%), 16 May 2006 (14.53%), 11 Oct 2006 (-3.37%), 08 Nov 2006 (-3.52%)
2005310 Mar 2005 (12.34%), 13 Apr 2005 (-5.49%), 14 Jul 2005 (-5.44%)
2004512 Jan 2004 (-4.55%), 27 Apr 2004 (-4.48%), 15 Sep 2004 (-2.92%), 08 Oct 2004 (8.38%), 09 Dec 2004 (11.11%)
2003903 Jan 2003 (9.42%), 12 May 2003 (-2.5%), 09 Jul 2003 (12.39%), 10 Jul 2003 (-4.88%), 19 Aug 2003 (-3.54%), 25 Aug 2003 (-4.0%), 03 Sep 2003 (-3.96%), 20 Nov 2003 (-5.11%), 16 Dec 2003 (-4.37%)
2002227 Jun 2002 (-5.31%), 12 Dec 2002 (-3.23%)
2001320 Feb 2001 (14.58%), 04 Dec 2001 (-3.81%), 14 Dec 2001 (15.13%)
2000209 Mar 2000 (27.55%), 18 Dec 2000 (12.41%)
1999621 Jan 1999 (14.73%), 16 Jun 1999 (-5.51%), 26 Jul 1999 (-5.89%), 02 Sep 1999 (-6.72%), 02 Nov 1999 (-8.63%), 26 Nov 1999 (-6.83%)
1998230 Mar 1998 (-3.71%), 24 Apr 1998 (14.68%)
1997330 Jan 1997 (14.36%), 13 Mar 1997 (14.56%), 20 Aug 1997 (12.76%)
1996207 May 1996 (-4.44%), 08 May 1996 (13.84%)
1995111 Aug 1995 (15.92%)



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