Study: Sell RPOWER 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 RPOWER 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 RPOWER 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
124771.1531161551.614691.7616352.2-3353.13-15272.731.41.490.042799.07
251352.0931161551.617470.6224977.54-4545.19-17181.821.641.750.0631656.52
311723531171454.8411580.6622014.6-5688.28-22909.092.042.470.113781.78
413821731181358.0612918.1431942.45-7254.56-23727.271.782.470.14458.62
511271331171454.8415951.642257.91-11318.85-34363.641.411.710.0633635.91
699406.2431171454.8416630.3945372.26-13093.59-52750.681.271.540.0473206.65
711281731181358.0616715.5749265.21-14466.43-69605.931.161.60.0513639.25
813957631181358.0617358.7255844.28-13298.53-58993.371.311.810.0634502.45
921127931191261.2919005.2958102.19-12485.11-57510.731.522.410.0946815.45
1019910831201164.5218118.4258063.26-14841.82-63831.451.222.220.0856422.85
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
RPOWER Performance, X=3, Profit Factor:2.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018315 Jan 2018 (9.81%), 14 Sep 2018 (9.35%), 27 Nov 2018 (3.48%)
2017624 Jan 2017 (-3.41%), 10 Feb 2017 (5.08%), 09 Mar 2017 (-1.96%), 27 Mar 2017 (-0.32%), 12 Apr 2017 (2.19%), 02 Aug 2017 (2.61%)
2016314 Jan 2016 (8.98%), 29 Apr 2016 (2.45%), 06 Sep 2016 (-2.39%)
2015128 Oct 2015 (-1.42%)
2014223 Apr 2014 (0.97%), 13 Jun 2014 (-1.08%)
2013229 Jul 2013 (8.41%), 29 Oct 2013 (-3.29%)
2012327 Feb 2012 (-11.45%), 15 Mar 2012 (5.38%), 13 Jul 2012 (1.18%)
2011219 Apr 2011 (-1.21%), 16 Nov 2011 (5.27%)
2010520 Jan 2010 (4.27%), 20 Apr 2010 (-3.77%), 04 May 2010 (10.36%), 25 Jun 2010 (-2.05%), 22 Nov 2010 (7.63%)
2009211 May 2009 (-0.12%), 09 Jun 2009 (-4.62%)
2008213 May 2008 (-2.73%), 28 May 2008 (11.01%)

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
atrnil37.1714872936132336.1124354.4634692.46-7299.1-12187.273.341.890.0794131.36
atrtrail-15.5897262.9336142238.8917244.1739334.24-6552.52-12187.272.631.670.0592701.75
atrtrail34.7586321.7936142238.8916462.6634692.46-6552.52-12187.272.511.60.0572397.83
atrnil23.9775727.1736152141.6715517.4423128.31-7477.83-12187.272.081.480.0532103.53
atrtrail23.4260936.0336142238.8914649.3923128.31-6552.52-12187.272.241.420.0461692.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.89. 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 36.11%, which is not acceptable. Avoid this strategy. Average return per trade is 2.07%, which is very good. Sharpe Ratio is 0.079, 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.
RPOWER Performance, Profit Factor:1.89

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018315 Jan 2018 (17.35%), 14 Sep 2018 (14.24%), 27 Nov 2018 (14.44%)
2017624 Jan 2017 (-2.27%), 10 Feb 2017 (-2.59%), 09 Mar 2017 (-2.77%), 27 Mar 2017 (-2.5%), 12 Apr 2017 (-2.47%), 02 Aug 2017 (7.43%)
2016314 Jan 2016 (14.56%), 29 Apr 2016 (-3.29%), 06 Sep 2016 (-2.48%)
2015128 Oct 2015 (-3.68%)
2014223 Apr 2014 (-2.83%), 13 Jun 2014 (-4.69%)
2013329 Jul 2013 (13.44%), 29 Oct 2013 (-3.65%), 11 Nov 2013 (-3.56%)
2012427 Feb 2012 (-5.77%), 28 Feb 2012 (-5.56%), 15 Mar 2012 (15.55%), 13 Jul 2012 (10.76%)
2011219 Apr 2011 (9.85%), 16 Nov 2011 (12.37%)
2010820 Jan 2010 (8.12%), 20 Apr 2010 (-2.39%), 21 Apr 2010 (-2.37%), 27 Apr 2010 (-2.44%), 04 May 2010 (8.49%), 25 Jun 2010 (-3.99%), 30 Jun 2010 (-3.85%), 22 Nov 2010 (11.7%)
2009211 May 2009 (-5.88%), 09 Jun 2009 (-6.09%)
2008213 May 2008 (-4.43%), 27 May 2008 (-4.37%)



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