Study: Sell RELINFRA 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 RELINFRA 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 RELINFRA 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
156856.8626151157.695420.4218496.53-2222.67-8419.772.443.330.0832186.8
256055.4226141253.859583.5429690.46-6509.51-28280.181.471.720.042155.98
3-20262.77261313508334.2826708.78-9892.96-48202.980.840.84-0.012-779.34
4-64903.4126111542.319414.4725925.46-11230.84-47048.680.840.61-0.035-2496.29
5-51883.372613135012250.4836538.22-16241.5-50399.130.750.75-0.022-1995.51
6-4016.972613135017139.6736734.91-17448.66-57909.530.980.98-0.0014-154.5
726536.3826111542.3121818.8453862.58-14231.39-68005.851.531.120.00871020.63
8-22471.662613135015280.2436109.81-17008.83-79698.680.90.9-0.0077-864.29
9-12115.3226121446.1517974.4649236.86-16272.06-64790.321.10.95-0.0042-465.97
10-22867.732613135015547.1539183.21-17306.21-77704.910.90.9-0.0078-879.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.33. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.083, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
RELINFRA Performance, X=1, Profit Factor:3.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Mar 2018 (-4.21%)
2017101 Dec 2017 (-0.62%)
2015109 Feb 2015 (-0.48%)
2013217 Jan 2013 (-0.21%), 19 Mar 2013 (9.25%)
2011317 Jan 2011 (4.55%), 24 Jun 2011 (1.59%), 30 Dec 2011 (1.91%)
2010119 Feb 2010 (1.55%)
2009122 Oct 2009 (1.53%)
2008120 Jun 2008 (4.41%)
2007119 Oct 2007 (-2.5%)
2006211 May 2006 (1.53%), 18 Jul 2006 (2.94%)
2005112 Jan 2005 (-1.64%)
2003104 Mar 2003 (0.44%)
2002125 Apr 2002 (-1.83%)
2000309 Mar 2000 (5.31%), 25 Aug 2000 (-0.25%), 20 Dec 2000 (1.22%)
1998112 Jan 1998 (-0.16%)
1997320 Jan 1997 (-0.0%), 24 Feb 1997 (1.75%), 24 Oct 1997 (1.93%)
1996110 Jan 1996 (-0.34%)
1995110 Nov 1995 (0.75%)

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-1156856.8626151157.695420.4218496.53-2222.67-8419.772.443.330.0832186.8
atrtrail34.4472858.5127111640.7418085.8446480.54-7880.36-24906.082.31.580.0362698.46
atrnil2576989.5628121642.8619375.4640192.65-9719.75-24906.081.991.50.0362749.63
atrnil38.1174191.882781929.6331512.560288.97-9363.58-24906.083.371.420.0282747.85
atrtrail-14.9345904.4727111640.7415635.4737279.15-7880.36-24906.081.981.360.0251700.17
atrtrail23.8243734.8828121642.8614151.7230987.03-7880.36-24906.081.81.350.0261561.96

In the table above, row 1 shows the best exit criterion. Profit factor is 3.33. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.083, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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