Study: Sell RELIANCE 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 RELIANCE 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 RELIANCE 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
172803.71113545947.794024.8919688.16-2449.84-9911.041.641.50.029644.28
259172.06113635055.754527.0131586.66-4520.59-17570.211.260.016523.65
374996.3113605353.15825.5124340.48-5179.89-23922.711.121.270.018663.68
450424.47113565749.566782.0629115.8-5778.44-24616.741.171.150.011446.23
557102.74113575650.447526.3239765.04-6641.02-28384.771.131.150.011505.33
661765.66113555848.677657.4935170.71-6196.49-31720.881.241.170.012546.6
798419.69113585551.338088.3929962.76-6740.13-36989.161.21.270.017870.97
8116091113635055.758473.1540541.25-8354.35-50185.491.011.280.0181027.35
990418.87113615253.989151.9653993.81-8997.13-55349.461.021.190.013800.17
10181544113674659.299344.563004.14-9663.86-46687.840.971.410.0251606.59

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.5. 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 47.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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-1172803.71113545947.794024.8919688.16-2449.84-9911.041.641.50.029644.28
atrtrail34.92100225130498137.699447.3832778.73-4477.73-12519.782.111.280.018770.96
atrtrail24.4434669.55131498237.48295.5121852.48-4534.27-12519.781.831.090.0072264.65
atrtrail-15.3125478.12129488137.218086.9727448.06-4477.73-12519.781.811.070.0051197.5
atrnil38.75-37875.14124309424.1919032.5932778.73-6477.16-14673.282.940.94-0.0054-305.44
atrnil27.04-71504.33128418732.0312184.7221852.48-6564.11-14673.281.860.87-0.012-558.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 47.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
RELIANCE Performance, X=1, Profit Factor:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 May 2019 (3.28%), 17 Jun 2019 (0.1%), 19 Jul 2019 (-2.52%), 03 Sep 2019 (0.44%)
2018618 Jan 2018 (-1.26%), 06 Mar 2018 (2.32%), 16 May 2018 (1.13%), 26 Jun 2018 (1.34%), 10 Dec 2018 (-0.67%), 24 Dec 2018 (-0.84%)
2017317 Jan 2017 (0.84%), 02 Jun 2017 (-0.35%), 01 Dec 2017 (0.93%)
2016320 Jan 2016 (2.03%), 27 Jun 2016 (-0.22%), 13 Oct 2016 (-1.94%)
2015606 Jan 2015 (-2.18%), 10 Feb 2015 (-2.12%), 11 Mar 2015 (-0.92%), 27 Apr 2015 (1.15%), 28 May 2015 (-0.14%), 08 Dec 2015 (2.66%)
2014503 Jan 2014 (1.08%), 23 Jan 2014 (-0.21%), 05 Aug 2014 (-0.44%), 15 Sep 2014 (2.33%), 01 Dec 2014 (-0.11%)
2013620 Mar 2013 (1.23%), 23 May 2013 (-0.25%), 24 Jun 2013 (-1.41%), 25 Sep 2013 (1.27%), 07 Nov 2013 (1.12%), 17 Dec 2013 (-2.47%)
2012307 May 2012 (1.03%), 11 Jul 2012 (0.61%), 09 Oct 2012 (-0.09%)
2011810 Jan 2011 (1.91%), 11 Apr 2011 (-1.64%), 15 Jun 2011 (1.44%), 29 Jul 2011 (-0.35%), 26 Aug 2011 (-4.96%), 23 Sep 2011 (1.48%), 09 Dec 2011 (3.73%), 30 Dec 2011 (-1.96%)
2010620 Jan 2010 (2.18%), 19 Feb 2010 (0.53%), 18 May 2010 (2.15%), 07 Jul 2010 (-0.34%), 26 Aug 2010 (0.72%), 30 Sep 2010 (-2.09%)
2009417 Feb 2009 (-2.2%), 18 Aug 2009 (2.85%), 03 Sep 2009 (-2.61%), 22 Oct 2009 (4.11%)
2008818 Jan 2008 (9.24%), 04 Mar 2008 (-2.21%), 09 May 2008 (-1.01%), 20 Jun 2008 (3.5%), 07 Jul 2008 (2.4%), 19 Aug 2008 (-1.21%), 01 Oct 2008 (7.62%), 31 Dec 2008 (-1.78%)
2007101 Aug 2007 (-0.16%)
2006319 Jan 2006 (0.04%), 18 Jul 2006 (2.13%), 11 Dec 2006 (2.79%)
2005313 Jan 2005 (1.19%), 29 Apr 2005 (-1.1%), 17 May 2005 (-0.69%)
2004523 Feb 2004 (-0.07%), 11 Mar 2004 (0.57%), 27 Apr 2004 (-0.18%), 15 Jul 2004 (-1.04%), 07 Dec 2004 (1.79%)
2003306 Mar 2003 (1.52%), 27 Mar 2003 (-1.76%), 16 Apr 2003 (1.99%)
2002718 Jan 2002 (-0.26%), 06 Mar 2002 (-1.19%), 11 Apr 2002 (-0.57%), 16 May 2002 (-1.04%), 26 Jun 2002 (-1.76%), 12 Jul 2002 (-0.21%), 20 Sep 2002 (-1.76%)
2001504 Jun 2001 (0.48%), 03 Jul 2001 (0.97%), 19 Jul 2001 (3.15%), 24 Aug 2001 (-0.05%), 31 Oct 2001 (-2.48%)
2000119 Sep 2000 (-2.93%)
1999212 Mar 1999 (-1.2%), 20 Dec 1999 (0.39%)
1998612 Jan 1998 (-0.96%), 12 Feb 1998 (-1.07%), 23 Jul 1998 (1.29%), 05 Oct 1998 (0.36%), 24 Nov 1998 (2.91%), 17 Dec 1998 (-0.58%)
1997411 Mar 1997 (-2.88%), 19 Aug 1997 (-1.02%), 23 Sep 1997 (-0.96%), 27 Oct 1997 (9.84%)
1996610 Jan 1996 (-3.13%), 18 Jun 1996 (2.99%), 05 Aug 1996 (-1.03%), 10 Sep 1996 (1.07%), 04 Nov 1996 (1.88%), 28 Nov 1996 (-0.36%)
1995525 Apr 1995 (-1.0%), 14 Jun 1995 (0.39%), 01 Aug 1995 (-0.36%), 19 Oct 1995 (1.21%), 11 Dec 1995 (0.96%)



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