Study: Sell SRF 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 SRF 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 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
1-42448.591434847.254194.8616470.1-4642.24-27979.270.90.81-0.015-466.47
2-33503.4791424946.155741.7416940.01-5605.24-31818.181.020.88-0.009-368.17
3-74868.1391444748.356716.7719979.72-7880.98-50606.060.850.8-0.015-822.73
4-31357191415045.056055.8128608.22-11237.18-78962.540.540.44-0.047-3445.83
5-24077291494253.855985.227671.78-12715.41-88876.080.470.55-0.035-2645.85
6-32172191395242.868644.8330223.57-12670.57-86185.280.680.51-0.041-3535.4
7-31154691405143.968673.5831982.82-12911.54-87723.340.670.53-0.039-3423.58
8-35707491434847.259510.330327.3-15958.68-77463.980.60.53-0.043-3923.89
9-28201991405143.9611715.8963891.16-14718.72-91527.380.80.62-0.03-3099.11
10-27194091405143.9612902.690013.61-15451.84-83458.210.840.65-0.028-2988.35
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
atrtrail24.69-192010105297627.6212369.9335804.44-7246.56-22954.111.710.65-0.035-1828.67
atrnil26.12-299740104277725.9618213.5835804.44-10279.31-23525.91.770.62-0.044-2882.11
atrnil38.13-375036104198518.2726145.5443460.57-10256.49-23525.92.550.57-0.049-3606.12
atrtrail35.12-242482105297627.6210629.5329409.85-7246.56-22954.111.470.56-0.048-2309.35
atrtrail-15.6-343190105267924.768237.0837718.87-7055.11-22954.111.170.38-0.076-3268.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. 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.
SRF Performance, Profit Factor:0.651

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019227 Mar 2019 (4.64%), 25 Jun 2019 (-2.68%)
2018503 Jan 2018 (-2.83%), 10 May 2018 (6.61%), 04 Sep 2018 (-2.25%), 05 Dec 2018 (-0.29%), 21 Dec 2018 (6.07%)
2017309 May 2017 (-2.39%), 23 Oct 2017 (-0.69%), 04 Dec 2017 (-3.18%)
2016407 Apr 2016 (-3.4%), 27 Apr 2016 (-1.98%), 02 Sep 2016 (-2.66%), 17 Oct 2016 (-3.43%)
2015609 Feb 2015 (-3.99%), 10 Feb 2015 (8.01%), 11 Jun 2015 (-4.1%), 16 Jul 2015 (-3.52%), 11 Aug 2015 (7.28%), 05 Nov 2015 (6.86%)
2014828 Feb 2014 (-1.92%), 07 Apr 2014 (-4.78%), 23 Apr 2014 (-2.28%), 17 Jun 2014 (-3.51%), 07 Jul 2014 (-4.56%), 15 Sep 2014 (-4.06%), 23 Sep 2014 (-2.05%), 01 Dec 2014 (-4.84%)
2013423 Sep 2013 (-3.42%), 22 Oct 2013 (-3.38%), 23 Oct 2013 (6.63%), 23 Dec 2013 (-4.17%)
2012228 Sep 2012 (-2.97%), 10 Oct 2012 (-0.17%)
2011325 Apr 2011 (2.14%), 02 Aug 2011 (5.83%), 29 Sep 2011 (5.97%)
2010914 Jan 2010 (-3.05%), 16 Apr 2010 (-1.65%), 20 May 2010 (0.62%), 01 Jul 2010 (-3.71%), 23 Jul 2010 (-3.81%), 31 Aug 2010 (-4.08%), 01 Sep 2010 (-4.05%), 09 Sep 2010 (-1.68%), 10 Nov 2010 (7.87%)
2009409 Mar 2009 (-3.65%), 14 May 2009 (-6.22%), 19 Aug 2009 (-4.71%), 28 Oct 2009 (11.71%)
2008408 Jan 2008 (-5.85%), 09 Jan 2008 (11.74%), 06 May 2008 (0.76%), 18 Aug 2008 (2.23%)
2007410 May 2007 (-4.84%), 24 May 2007 (-1.71%), 05 Oct 2007 (0.11%), 20 Dec 2007 (-6.62%)
2006407 Mar 2006 (7.69%), 24 Apr 2006 (-2.54%), 31 Aug 2006 (-3.95%), 12 Oct 2006 (-0.47%)
2005722 Mar 2005 (9.8%), 11 May 2005 (-5.95%), 23 May 2005 (10.81%), 23 Jun 2005 (-4.66%), 24 Jun 2005 (2.58%), 25 Jul 2005 (-6.35%), 09 Aug 2005 (-5.27%)
2004309 Jan 2004 (-4.48%), 14 Sep 2004 (-5.41%), 19 Oct 2004 (-0.84%)
2003626 May 2003 (-3.22%), 27 May 2003 (-3.3%), 03 Jun 2003 (8.95%), 14 Jul 2003 (17.9%), 15 Sep 2003 (-3.79%), 08 Dec 2003 (-2.83%)
2002711 Feb 2002 (-5.08%), 26 Feb 2002 (0.32%), 28 Mar 2002 (-4.97%), 17 Apr 2002 (-1.5%), 12 Jul 2002 (14.49%), 01 Oct 2002 (-3.73%), 15 Nov 2002 (-2.48%)
2001206 Jul 2001 (-4.28%), 03 Dec 2001 (-2.49%)
2000230 Jun 2000 (-5.65%), 18 Jul 2000 (-2.76%)
1999830 Mar 1999 (-11.48%), 31 Mar 1999 (-7.49%), 19 Apr 1999 (-1.59%), 18 Jun 1999 (-8.0%), 23 Jun 1999 (-6.23%), 16 Jul 1999 (-0.65%), 24 Aug 1999 (-2.26%), 07 Oct 1999 (-1.34%)
1998609 Jan 1998 (-1.83%), 22 Jan 1998 (0.46%), 19 Feb 1998 (-3.01%), 26 Feb 1998 (1.12%), 19 Nov 1998 (-7.22%), 20 Nov 1998 (0.04%)
1997222 Jan 1997 (-3.1%), 13 Aug 1997 (10.13%)



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