Study: Sell SHREECEM 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 SHREECEM 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 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
1-72333.43104465844.233040.869756.93-3658.84-162500.830.66-0.031-695.51
2-86939.35104475745.194563.5916186.7-5288.21-22299.650.860.71-0.026-835.96
3-72196.06104475745.196293.3325489.76-6455.83-33636.360.970.8-0.016-694.19
4-159346104515349.047170.1526515.15-9906.11-57272.730.720.7-0.026-1532.17
5-270271104515349.047397.4339015.15-12217.74-66363.640.610.58-0.037-2598.76
6-359659104446042.318362.7143939.39-12126.97-63414.630.690.51-0.049-3458.26
7-467789104426240.388820.0447348.48-13519.85-84320.560.650.44-0.057-4497.97
8-462658104416339.4210459.2357575.76-14150.58-1031360.740.48-0.049-4448.64
9-558650104396537.510508.5959469.7-14899.76-1000000.710.42-0.057-5371.63
10-623534104436141.359489.4835833.33-16911.17-1240420.560.4-0.059-5995.52
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
atrnil38.43-25807812024962025097.6445497.28-8962.72-19304.422.80.7-0.031-2150.65
atrnil25.89-283292120328826.6716206.4530331.52-9112.49-19304.421.780.65-0.041-2360.77
atrtrail34.69-351849120299124.1710353.6545497.28-7165.99-19304.421.440.46-0.061-2932.08
atrtrail24.28-371320120299124.179682.2330331.52-7165.99-19304.421.350.43-0.072-3094.34
atrtrail-14.87-424756119289123.538119.6144143.03-7165.99-19304.421.130.35-0.085-3569.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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:0.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019627 Mar 2019 (-2.5%), 28 Mar 2019 (-2.58%), 11 Apr 2019 (-2.38%), 23 Apr 2019 (-2.2%), 06 Jun 2019 (-3.02%), 05 Jul 2019 (7.95%)
2018409 Aug 2018 (-3.03%), 06 Sep 2018 (7.67%), 10 Dec 2018 (-3.09%), 27 Dec 2018 (9.27%)
2017713 Feb 2017 (-2.63%), 02 Mar 2017 (-3.06%), 19 Apr 2017 (-2.32%), 17 May 2017 (10.26%), 21 Sep 2017 (-2.49%), 13 Oct 2017 (-2.48%), 06 Nov 2017 (7.97%)
20161005 Apr 2016 (-4.48%), 22 Apr 2016 (-3.61%), 20 May 2016 (-3.94%), 23 May 2016 (-4.04%), 13 Jun 2016 (-3.68%), 26 Jul 2016 (-2.75%), 05 Aug 2016 (-2.73%), 11 Aug 2016 (-3.03%), 09 Sep 2016 (7.96%), 20 Oct 2016 (8.76%)
2015329 May 2015 (-4.5%), 14 Oct 2015 (-4.39%), 27 Oct 2015 (-4.49%)
2014822 Jan 2014 (6.48%), 22 Mar 2014 (-2.53%), 24 Mar 2014 (-2.51%), 09 Apr 2014 (-2.92%), 13 Jun 2014 (-4.54%), 12 Aug 2014 (-3.52%), 19 Sep 2014 (-2.64%), 20 Nov 2014 (-2.47%)
2013307 Jan 2013 (-2.68%), 30 May 2013 (-2.81%), 31 May 2013 (9.56%)
2012707 Jan 2012 (-3.71%), 09 Apr 2012 (-3.79%), 10 Jul 2012 (-3.49%), 09 Aug 2012 (-3.37%), 03 Sep 2012 (-3.7%), 12 Nov 2012 (8.92%), 05 Dec 2012 (-4.65%)
2011608 Apr 2011 (-3.91%), 29 Jul 2011 (-2.9%), 10 Oct 2011 (-4.26%), 28 Oct 2011 (-3.86%), 22 Nov 2011 (-3.14%), 09 Dec 2011 (-3.0%)
2010418 Mar 2010 (-4.06%), 09 Apr 2010 (8.5%), 05 Oct 2010 (-3.53%), 16 Nov 2010 (10.4%)
2009614 Jan 2009 (-6.46%), 02 Mar 2009 (-5.13%), 27 Apr 2009 (-5.05%), 18 Jun 2009 (-4.77%), 10 Aug 2009 (-4.63%), 11 Dec 2009 (-3.2%)
2007509 Jan 2007 (-3.94%), 22 Jan 2007 (12.83%), 08 Jun 2007 (-5.43%), 16 Oct 2007 (14.77%), 17 Oct 2007 (18.49%)
20061001 Feb 2006 (-3.86%), 02 Feb 2006 (-4.06%), 16 Feb 2006 (-4.2%), 28 Apr 2006 (-5.87%), 25 Jul 2006 (-5.77%), 18 Aug 2006 (-4.54%), 08 Sep 2006 (-4.03%), 28 Sep 2006 (-3.81%), 21 Oct 2006 (-3.87%), 21 Nov 2006 (-5.31%)
2005619 Jan 2005 (-4.68%), 18 Feb 2005 (-5.05%), 16 Mar 2005 (-4.22%), 10 May 2005 (-4.23%), 21 Sep 2005 (-6.31%), 15 Dec 2005 (-3.73%)
2004906 Jan 2004 (-6.52%), 22 Mar 2004 (-5.57%), 31 Mar 2004 (-4.7%), 11 May 2004 (-5.98%), 12 May 2004 (17.58%), 29 Jul 2004 (-5.85%), 13 Aug 2004 (-5.29%), 09 Sep 2004 (-4.28%), 12 Nov 2004 (-3.37%)
2003631 Jan 2003 (12.98%), 05 Jun 2003 (-4.71%), 26 Jun 2003 (-7.73%), 04 Jul 2003 (-8.04%), 14 Aug 2003 (-7.94%), 19 Nov 2003 (-7.73%)
2002207 May 2002 (-4.2%), 10 Jul 2002 (16.92%)
2001121 Aug 2001 (16.04%)
1999715 Jan 1999 (20.93%), 31 May 1999 (-8.05%), 28 Jun 1999 (-7.41%), 29 Jun 1999 (-6.96%), 20 Jul 1999 (-7.78%), 24 Aug 1999 (-6.24%), 25 Aug 1999 (-6.29%)
1998714 Jan 1998 (-5.6%), 19 Jan 1998 (19.67%), 19 Mar 1998 (-6.43%), 27 Apr 1998 (-7.48%), 13 May 1998 (-7.57%), 27 May 1998 (-9.65%), 08 Oct 1998 (22.75%)
1997109 Jul 1997 (-5.25%)
1996124 Apr 1996 (10.84%)
1995112 Apr 1995 (13.66%)



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