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

home > technical-strategy > srf > 28

In this study, we evaluate the performance of strategy "Sell SRF 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 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
156333.946262056.524611.0413197.97-3177.66-11475.411.451.890.0471224.65
2-49209.26462323503970.4310328.64-6109.97-26444.330.650.65-0.029-1069.77
3-15100.7346212545.657161.6833333.33-6619.84-18695.641.080.91-0.0071-328.28
4-13190246163034.787259.9316176.47-8268.71-29362.880.880.47-0.061-2867.44
5-19496546172936.968167.7124019.61-11510.89-35754.190.710.42-0.071-4238.36
6-21801546182839.136967.2519117.65-12265.19-54748.60.570.37-0.074-4739.45
7-26497446172936.968999.1626960.78-14412.42-42458.10.620.37-0.083-5760.31
8-33757446163034.7810439.7236388.53-16820.32-52886.410.620.33-0.087-7338.57
9-36377746123426.0911320.1524446.64-14694.68-53258.850.770.27-0.099-7908.2
10-35440246143230.439525.8821568.63-15242.62-53521.130.620.27-0.094-7704.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 56.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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-1156333.946262056.524611.0413197.97-3177.66-11475.411.451.890.0471224.65
atrnil310.34-2420724774014.8929107.3656061.46-11145.6-25744.052.610.46-0.068-5150.48
atrtrail24.29-1637204812362510285.9337374.3-7976.41-20367.591.290.43-0.068-3410.82
atrnil27.79-2631294884016.6721773.2338351.53-10932.87-25744.051.990.4-0.084-5481.85
atrtrail34.48-200079481236257255.9631517.52-7976.41-20367.590.910.3-0.096-4168.31
atrtrail-14.5-23939548113722.925050.3624518.4-7971.6-20367.590.630.19-0.14-4987.4

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 56.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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:1.89

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Aug 2019 (2.05%)
2018422 Jun 2018 (0.68%), 20 Jul 2018 (-0.28%), 22 Oct 2018 (-0.26%), 24 Dec 2018 (0.26%)
2017113 Feb 2017 (1.05%)
2016218 Feb 2016 (-1.35%), 13 May 2016 (0.08%)
2015224 Apr 2015 (4.42%), 12 Aug 2015 (2.38%)
2014108 Jul 2014 (0.76%)
2013211 Feb 2013 (0.81%), 27 Feb 2013 (2.54%)
2012509 Feb 2012 (2.73%), 27 Feb 2012 (-2.24%), 03 May 2012 (2.61%), 26 Jul 2012 (0.23%), 11 Oct 2012 (0.09%)
2010220 Jan 2010 (-0.42%), 25 Feb 2010 (0.2%)
2009212 Mar 2009 (-0.07%), 22 Apr 2009 (0.51%)
2008124 Oct 2008 (6.6%)
2006118 Jul 2006 (3.61%)
2005223 Mar 2005 (1.19%), 22 Sep 2005 (-2.19%)
2004115 Mar 2004 (3.15%)
2003203 Apr 2003 (-1.18%), 21 Oct 2003 (-1.45%)
2002301 Apr 2002 (-0.85%), 20 May 2002 (3.27%), 03 Oct 2002 (-0.22%)
2001206 Feb 2001 (-1.11%), 07 Jun 2001 (-0.71%)
2000218 May 2000 (5.96%), 25 Oct 2000 (-4.58%)
1999318 Jan 1999 (1.41%), 11 Feb 1999 (6.25%), 17 Apr 1999 (-5.74%)
1998408 Jan 1998 (-2.44%), 09 Mar 1998 (-1.66%), 24 Mar 1998 (6.13%), 28 Apr 1998 (0.99%)
1997108 May 1997 (-0.86%)
1996124 Apr 1996 (-3.72%)
1995124 Oct 1995 (-0.45%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play