Study: Sell RELIANCE 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 RELIANCE 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 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
1157.181910952.633241.537002.67-3584.23-9911.040.910.00048.27
2-5021.071911857.892698.246946.22-4337.72-17570.20.620.86-0.01-264.27
3-14104.331910952.633441.677789.22-5391.23-23922.710.640.71-0.022-742.33
4-28450.741991047.374255.889369-6675.37-19307.760.640.57-0.043-1497.41
5-46608.861991047.373269.317732.25-7603.27-28384.770.430.39-0.062-2453.1
6-39168.091991047.373744.648490.47-7286.98-31720.880.510.46-0.049-2061.48
7-37241.031910952.634729.2510037.71-9392.61-36989.160.50.56-0.039-1960.05
8-27309.281991047.375538.9214118.56-7715.96-29566.310.720.65-0.031-1437.33
9-11552.711971236.849202.9815146.77-6331.13-24159.021.450.85-0.013-608.04
10-14607.61910952.637548.918240.8-10010.73-25257.160.750.84-0.014-768.82

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0041%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0004, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-11157.181910952.633241.537002.67-3584.23-9911.040.910.00048.27
atrtrail24.86-29962.762261627.277209.0414154.74-4576.06-11168.881.580.59-0.045-1361.94
atrtrail35.14-44375.652261627.274806.898255.48-4576.06-11168.881.050.39-0.082-2017.07
atrtrail-15.14-44375.652261627.274806.898255.48-4576.06-11168.881.050.39-0.082-2017.07
atrnil27-81915.442241818.1811048.7514154.74-7006.14-11573.591.580.35-0.1-3723.43
atrnil38.91-121227221214.5520235.720235.7-6736.32-11573.5930.14-0.18-5510.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0041%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0004, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELIANCE Performance, X=1, Profit Factor:1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Jun 2018 (1.34%)
2017117 Jan 2017 (0.84%)
2016120 Jan 2016 (2.03%)
2015106 Jan 2015 (-2.18%)
2013107 Nov 2013 (1.12%)
2012109 Oct 2012 (-0.09%)
2011126 Aug 2011 (-4.96%)
2010219 Feb 2010 (0.53%), 26 Aug 2010 (0.72%)
2008405 Mar 2008 (1.94%), 09 May 2008 (-1.01%), 20 Jun 2008 (3.5%), 07 Jul 2008 (2.4%)
2007101 Aug 2007 (-0.16%)
2004227 Apr 2004 (-0.18%), 07 Dec 2004 (1.79%)
2002120 Sep 2002 (-1.76%)
2000119 Sep 2000 (-2.93%)
1997111 Mar 1997 (-2.88%)



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