Study: Sell SRF when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell SRF when RSI is below 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 SRF 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
113777.82120596149.174380.0225136.61-4010.55-14189.581.091.060.0039114.82
2-77413.87120576347.54846.125175.96-5613.36-26444.330.860.78-0.017-645.12
3-9347.09120556545.837655.6134995.21-6621.62-58290.281.160.98-0.0015-77.89
4-126108120536744.177628.8235694.05-7916.95-63738.840.960.76-0.019-1050.9
5-255452120556545.837941.8733144.48-10650.07-89478.630.750.63-0.032-2128.76
6-331846120556545.838190.8141643.06-12036.01-75669.330.680.58-0.038-2765.38
7-412467120536744.179846.6945325.78-13945.4-80648.190.710.56-0.043-3437.23
8-383363120536744.1710968.6247025.5-14398.51-74635.980.760.6-0.038-3194.7
9-308975120536744.1711868.6444192.63-14000.19-71770.780.850.67-0.03-2574.79
10-34082312054664511668.5239943.34-14710.96-78252.70.790.65-0.032-2840.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 49.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.057%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0039, which is low, don't trade solely on the basis of this study.

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-1113777.82120596149.174380.0225136.61-4010.55-14189.581.091.060.0039114.82
atrnil310.39-124964117298824.7927439.3256061.46-10462.55-28713.82.620.86-0.012-1068.07
atrtrail24.56-177103136439331.6212948.0737453.12-7891.08-25997.71.640.76-0.023-1302.23
atrnil27.07-241901130379328.4619564.1138351.53-10384.65-28713.81.880.75-0.026-1860.78
atrtrail34.98-199576133439032.3311641.5236090.93-7779.57-25997.71.50.71-0.027-1500.57
atrtrail-15.27-312847132419131.069341.2434900.61-7646.57-25997.71.220.55-0.049-2370.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 49.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.057%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0039, 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.
SRF Performance, X=1, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019430 Jan 2019 (1.17%), 02 Aug 2019 (2.05%), 27 Aug 2019 (1.09%), 30 Sep 2019 (2.51%)
2018506 Mar 2018 (2.75%), 22 Jun 2018 (0.68%), 20 Jul 2018 (-0.28%), 22 Oct 2018 (-0.26%), 24 Dec 2018 (0.26%)
2017613 Feb 2017 (1.05%), 19 May 2017 (1.81%), 15 Jun 2017 (-0.52%), 20 Jul 2017 (-0.62%), 09 Aug 2017 (-2.64%), 25 Sep 2017 (-0.11%)
2016414 Jan 2016 (1.77%), 18 Feb 2016 (-1.35%), 13 May 2016 (0.08%), 23 Jun 2016 (-0.16%)
2015507 Jan 2015 (-0.83%), 09 Mar 2015 (0.1%), 24 Apr 2015 (4.42%), 12 Jun 2015 (0.12%), 12 Aug 2015 (2.38%)
2014203 Mar 2014 (-1.36%), 08 Jul 2014 (0.76%)
2013618 Jan 2013 (-0.33%), 11 Feb 2013 (0.81%), 27 Feb 2013 (2.54%), 15 Mar 2013 (0.47%), 23 May 2013 (0.67%), 31 Jul 2013 (2.13%)
2012709 Feb 2012 (2.73%), 27 Feb 2012 (-2.24%), 03 May 2012 (2.61%), 26 Jul 2012 (0.23%), 27 Sep 2012 (-2.52%), 15 Nov 2012 (0.43%), 17 Dec 2012 (0.17%)
2011310 Jan 2011 (1.15%), 17 Jun 2011 (3.02%), 21 Nov 2011 (1.22%)
2010220 Jan 2010 (-0.42%), 25 Feb 2010 (0.2%)
2009409 Jan 2009 (-0.5%), 12 Mar 2009 (-0.07%), 22 Apr 2009 (0.51%), 16 Dec 2009 (-1.04%)
2008317 Mar 2008 (2.24%), 01 Jul 2008 (-3.76%), 24 Oct 2008 (6.6%)
2007324 Jan 2007 (-5.32%), 09 Feb 2007 (10.56%), 08 Oct 2007 (-1.38%)
2006725 Jan 2006 (-7.09%), 15 Feb 2006 (-0.76%), 06 Mar 2006 (-2.35%), 18 Jul 2006 (3.61%), 11 Oct 2006 (-1.13%), 08 Nov 2006 (1.27%), 07 Dec 2006 (1.1%)
2005323 Mar 2005 (1.19%), 22 Sep 2005 (-2.19%), 15 Dec 2005 (-0.54%)
2004515 Mar 2004 (3.15%), 28 Apr 2004 (0.27%), 14 May 2004 (12.57%), 28 May 2004 (-0.26%), 30 Jul 2004 (-0.92%)
2003430 Jan 2003 (0.44%), 07 Mar 2003 (3.87%), 03 Apr 2003 (-1.18%), 21 Oct 2003 (-1.45%)
2002501 Apr 2002 (-0.85%), 20 May 2002 (3.27%), 03 Oct 2002 (-0.22%), 14 Nov 2002 (-0.44%), 04 Dec 2002 (-0.89%)
2001506 Feb 2001 (-1.11%), 05 Mar 2001 (0.55%), 25 Apr 2001 (1.75%), 07 Jun 2001 (-0.71%), 10 Oct 2001 (-0.36%)
2000721 Jan 2000 (0.2%), 18 May 2000 (5.96%), 13 Jun 2000 (1.14%), 19 Jul 2000 (-1.09%), 19 Sep 2000 (-5.42%), 25 Oct 2000 (-4.58%), 20 Dec 2000 (-0.67%)
1999618 Jan 1999 (1.41%), 11 Feb 1999 (6.25%), 26 Feb 1999 (-5.7%), 17 Apr 1999 (-5.74%), 30 Nov 1999 (-2.19%), 14 Dec 1999 (0.11%)
19981008 Jan 1998 (-2.44%), 11 Feb 1998 (-1.41%), 09 Mar 1998 (-1.66%), 24 Mar 1998 (6.13%), 28 Apr 1998 (0.99%), 09 Jun 1998 (3.43%), 01 Jul 1998 (-5.71%), 21 Jul 1998 (-5.6%), 03 Sep 1998 (-2.65%), 22 Oct 1998 (-3.43%)
1997413 Mar 1997 (2.56%), 17 Apr 1997 (-3.8%), 08 May 1997 (-0.86%), 27 Oct 1997 (1.65%)
1996809 Jan 1996 (-3.7%), 12 Mar 1996 (-0.45%), 24 Apr 1996 (-3.72%), 21 Jun 1996 (2.22%), 02 Aug 1996 (-3.4%), 17 Sep 1996 (-4.82%), 31 Oct 1996 (-0.0%), 25 Nov 1996 (2.83%)
1995217 Aug 1995 (-4.65%), 24 Oct 1995 (-0.45%)



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