Study: Sell SHREECEM 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 SHREECEM 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 SHREECEM 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
1-47694.0735161945.714508.6719740.56-6306.99-20618.560.710.6-0.037-1362.69
2-51306.535171848.576839.124763.01-9309.51-28178.690.730.69-0.029-1465.9
3-71242.735161945.717769.9825336.32-10292.75-25510.20.750.64-0.036-2035.51
4-73395.9435152042.868878.5730941.7-10328.72-23318.390.860.64-0.036-2097.03
5-71093.4635152042.8611041.8633856.5-11836.07-29629.630.930.7-0.031-2031.24
6-81754.6635171848.579522.3823542.6-13535.29-34567.90.70.66-0.035-2335.85
7-15636535152042.868796.5519243.99-14415.67-53333.330.610.46-0.062-4467.57
8-21774835171848.576943.4119456.37-18654.77-73580.250.370.35-0.073-6221.37
9-23516735122334.299143.1931187.41-14995.02-95802.470.610.32-0.069-6719.06
10-1938753514214010681.3538340.49-16353.04-1007410.650.44-0.053-5539.29
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
atrnil26.67-88821.98369272521547.3529190.03-10472.15-19509.932.060.69-0.036-2467.28
atrtrail24.36-91904.336102627.7812741.3629190.03-8435.31-17497.231.510.58-0.048-2552.9
atrnil39.94-2232243643211.1129341.2633205.93-10643.42-19509.932.760.34-0.099-6200.68
atrtrail34.86-15394736102627.786537.116316.32-8435.31-17497.230.770.3-0.11-4276.31
atrtrail-14.86-15394736102627.786537.116316.32-8435.31-17497.230.770.3-0.11-4276.31

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.686

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Jul 2019 (-2.75%)
2018107 Mar 2018 (-3.25%)
2017214 Feb 2017 (-3.01%), 18 May 2017 (6.71%)
2016212 Sep 2016 (-2.78%), 16 Dec 2016 (-4.74%)
2015108 Sep 2015 (-4.18%)
2013218 Feb 2013 (7.49%), 15 Mar 2013 (-4.54%)
2012104 Dec 2012 (-4.86%)
2011112 Sep 2011 (-3.58%)
2010324 May 2010 (-4.71%), 18 Nov 2010 (-3.64%), 20 Dec 2010 (-3.81%)
2009106 Oct 2009 (10.83%)
2008230 Jun 2008 (14.6%), 21 Aug 2008 (10.97%)
2007125 Jul 2007 (10.46%)
2005122 Sep 2005 (-6.62%)
2004128 Jul 2004 (-5.17%)
2002611 Jan 2002 (-8.75%), 28 Jan 2002 (14.47%), 20 May 2002 (-6.05%), 26 Jun 2002 (-6.67%), 26 Sep 2002 (-4.36%), 10 Dec 2002 (-5.66%)
2001119 Dec 2001 (-9.75%)
1999128 May 1999 (-8.01%)
1998113 Jan 1998 (-5.86%)
1997316 Jun 1997 (-4.85%), 28 Oct 1997 (-5.02%), 29 Oct 1997 (10.37%)
1996429 Feb 1996 (-5.51%), 10 Sep 1996 (11.07%), 05 Nov 1996 (-7.17%), 04 Dec 1996 (-6.08%)



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