Study: Sell RELINFRA 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 RELINFRA 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 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
15498.1181374445.684342.7116873.85-3526.87-22712.981.231.040.002567.88
242384.6481443754.326204.4225758.58-6232.69-42149.9111.180.011523.27
356891.2981433853.098044.9529518.47-7606.35-41023.771.061.20.013702.36
418339.4981404149.389302.1850776-8628-44818.21.081.050.0034226.41
554128.581453655.569806.3760565.82-10754.4-64407.620.911.140.0085668.25
658142.1681473458.0210361.150301.03-12612.63-85580.010.821.140.0082717.8
72815.3881443754.3211665.3355344.77-13796.2-1080880.851.010.0003434.76
8-13304.8581453655.5611795.5354072.48-15113.99-1007170.780.98-0.0016-164.26
9-24748.0281483359.2611569.461978.87-17578.16-89389.070.660.96-0.003-305.53
10-33952.181463556.7911568.4463591.96-16174.29-66287.410.720.94-0.0043-419.16
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
atrtrail24.4115250991385341.7613174.6835915.45-6568.47-24806.992.011.440.031675.92
atrnil25.8413314791365539.5616514.3435915.45-8388.53-24806.991.971.290.0231463.16
atrtrail-15.8174215.9190355538.8912223.7159136.29-6429.34-24806.991.91.210.013824.62
atrtrail35.1366450.949036544011540.6332920.63-6463.18-24806.991.791.190.013738.34
atrnil39.2345980.4490246626.6724922.1653873.18-8365.93-24806.992.981.080.0067510.89

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 41.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
RELINFRA Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018312 Jan 2018 (8.07%), 12 Sep 2018 (9.35%), 19 Nov 2018 (10.97%)
2017502 Mar 2017 (-2.98%), 03 Mar 2017 (-2.98%), 08 Mar 2017 (-2.28%), 20 Mar 2017 (0.23%), 26 Jul 2017 (-2.47%)
2016813 Jan 2016 (9.19%), 07 Apr 2016 (-3.52%), 20 Apr 2016 (6.61%), 19 Jul 2016 (-1.97%), 10 Aug 2016 (-3.27%), 26 Aug 2016 (-2.93%), 29 Aug 2016 (-0.53%), 14 Sep 2016 (-0.74%)
2015210 Nov 2015 (-3.71%), 09 Dec 2015 (-3.0%)
2014530 Apr 2014 (-3.91%), 30 May 2014 (-4.73%), 02 Jun 2014 (-3.55%), 13 Jun 2014 (0.1%), 09 Jul 2014 (-4.67%)
2013416 Jan 2013 (-1.04%), 28 Oct 2013 (-3.7%), 29 Oct 2013 (-3.65%), 11 Nov 2013 (7.32%)
2012423 Feb 2012 (9.77%), 12 Jul 2012 (6.8%), 09 Oct 2012 (8.36%), 27 Dec 2012 (-2.45%)
2011119 Apr 2011 (7.22%)
2010315 Jan 2010 (6.05%), 05 Jul 2010 (7.19%), 12 Oct 2010 (-2.0%)
2009205 Jun 2009 (1.71%), 21 Oct 2009 (7.97%)
2008215 Jan 2008 (10.3%), 13 May 2008 (-6.05%)
2007603 May 2007 (-1.12%), 01 Jun 2007 (1.07%), 02 Aug 2007 (-4.24%), 22 Oct 2007 (-12.4%), 02 Nov 2007 (-6.15%), 17 Dec 2007 (-3.94%)
2006421 Mar 2006 (1.8%), 22 Aug 2006 (7.35%), 20 Sep 2006 (-2.93%), 29 Nov 2006 (-2.24%)
2005317 Feb 2005 (-2.44%), 30 Jun 2005 (-4.23%), 19 Dec 2005 (0.92%)
2004719 Jan 2004 (1.07%), 11 Mar 2004 (0.53%), 12 Apr 2004 (-0.46%), 06 Aug 2004 (-4.83%), 07 Sep 2004 (6.16%), 08 Sep 2004 (7.1%), 14 Oct 2004 (6.11%)
2003524 Jan 2003 (4.98%), 02 Jul 2003 (-3.69%), 15 Sep 2003 (-4.82%), 21 Oct 2003 (-3.28%), 13 Nov 2003 (8.31%)
2002521 Feb 2002 (-3.93%), 28 Feb 2002 (-4.2%), 05 Apr 2002 (-2.24%), 26 Apr 2002 (-2.84%), 31 Dec 2002 (-0.82%)
2001420 Feb 2001 (9.42%), 09 Aug 2001 (5.64%), 07 Nov 2001 (-4.07%), 04 Dec 2001 (-3.87%)
2000412 Jan 2000 (-2.0%), 04 Feb 2000 (-5.95%), 08 Mar 2000 (17.96%), 19 Dec 2000 (8.14%)
1999522 Jan 1999 (-1.67%), 22 Apr 1999 (10.42%), 25 May 1999 (11.92%), 02 Sep 1999 (-2.83%), 27 Dec 1999 (-3.91%)
1998412 Mar 1998 (-0.28%), 13 Apr 1998 (-4.13%), 18 Sep 1998 (-3.43%), 29 Sep 1998 (6.62%)
1997231 Jan 1997 (-4.52%), 21 Feb 1997 (8.0%)
1996308 May 1996 (-0.5%), 24 Jun 1996 (0.87%), 27 Nov 1996 (8.71%)



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