Study: Sell SRTRANSFIN 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 SRTRANSFIN 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 SRTRANSFIN 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
1-269172110496144.557345.650000-10313.23-95081.970.710.57-0.029-2447.02
2-75707.89110486243.649188.02104762-8334.4-77142.861.10.85-0.0088-688.25
3-244011110436739.099491.5757142.86-9733.57-1200000.980.63-0.027-2218.29
4-457247110426838.188930.3438095.24-12240.02-2000000.730.45-0.038-4156.79
5-670639110486243.649179.0452941.18-17923.11-2000000.510.4-0.046-6096.72
6-56637011044664010675.8552941.18-15698.6-2100000.680.45-0.041-5148.82
7-569068110456540.9111661.3265420.56-16828.11-1925000.690.48-0.039-5173.35
8-611763110486243.649523.9342857.14-17240.51-1525000.550.43-0.047-5561.48
9-838805110466441.8210414.2133333.33-20591.54-1675000.510.36-0.058-7625.5
10-888482110456540.9111864.0745161.29-21882.53-1250000.540.38-0.06-8077.11
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
atrnil26.69-606612121279422.3123631.6691839.73-13241.13-50451.111.780.51-0.054-5013.32
atrtrail24.18-471949125378829.613220.8791839.73-10921.83-50451.111.210.51-0.05-3775.59
atrtrail34.61-533159121348728.111903.157927.7-10780.05-50451.111.10.43-0.063-4406.27
atrtrail-14.87-550439121348728.111394.8757927.7-10780.05-50451.111.060.41-0.066-4549.08
atrnil310.08-700604107149313.0828055.3449688.54-11756.76-45919.862.390.36-0.089-6547.7

In the table above, row 1 shows the best exit criterion. Profit factor is 0.51. 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.
SRTRANSFIN Performance, Profit Factor:0.513

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019703 Jan 2019 (-4.23%), 15 Feb 2019 (-3.91%), 12 Jun 2019 (-4.75%), 01 Jul 2019 (-4.14%), 23 Jul 2019 (-3.92%), 29 Aug 2019 (-4.14%), 01 Oct 2019 (-4.27%)
2018504 Jun 2018 (-3.36%), 27 Jun 2018 (6.75%), 28 Jun 2018 (7.77%), 14 Aug 2018 (8.41%), 22 Nov 2018 (-4.87%)
2017313 Jun 2017 (-2.71%), 17 Jul 2017 (8.1%), 22 Sep 2017 (-3.46%)
2016611 Jan 2016 (6.67%), 25 Feb 2016 (-4.43%), 29 Apr 2016 (-3.18%), 19 Jul 2016 (-3.12%), 17 Oct 2016 (-3.55%), 20 Dec 2016 (-4.41%)
2015624 Feb 2015 (-4.08%), 15 Apr 2015 (8.11%), 15 Jul 2015 (-3.73%), 12 Aug 2015 (-3.24%), 21 Oct 2015 (8.05%), 10 Dec 2015 (-3.11%)
2014306 Feb 2014 (6.99%), 10 Jul 2014 (-4.11%), 16 Sep 2014 (-2.85%)
2013813 Mar 2013 (-3.28%), 20 Mar 2013 (-3.86%), 09 Apr 2013 (-3.8%), 16 Apr 2013 (-4.01%), 16 Jul 2013 (-4.02%), 29 Jul 2013 (8.91%), 04 Oct 2013 (-4.92%), 08 Nov 2013 (-4.57%)
2012120 Nov 2012 (-2.59%)
20111007 Jan 2011 (-4.37%), 27 Jan 2011 (6.77%), 28 Jan 2011 (-3.92%), 15 Mar 2011 (-3.57%), 09 Jun 2011 (-5.02%), 28 Jul 2011 (7.16%), 21 Sep 2011 (9.15%), 24 Oct 2011 (-4.3%), 09 Nov 2011 (7.55%), 11 Nov 2011 (8.62%)
2010523 Apr 2010 (-3.86%), 11 May 2010 (-5.08%), 12 May 2010 (-6.4%), 25 Jun 2010 (-3.45%), 07 Dec 2010 (9.38%)
2009222 Jan 2009 (-3.8%), 19 Feb 2009 (-4.36%)
2008421 Feb 2008 (12.74%), 14 May 2008 (-5.9%), 09 Jun 2008 (11.24%), 18 Jul 2008 (-6.25%)
2007412 Feb 2007 (-3.49%), 02 Apr 2007 (-4.64%), 17 Aug 2007 (-4.54%), 20 Aug 2007 (-5.06%)
2006318 Jul 2006 (-5.98%), 08 Nov 2006 (-3.23%), 06 Dec 2006 (-4.67%)
2005202 May 2005 (-5.48%), 30 May 2005 (-5.11%)
2004327 Oct 2004 (-4.79%), 08 Nov 2004 (-4.69%), 17 Dec 2004 (-4.8%)
2003427 Jan 2003 (-3.1%), 28 Jan 2003 (-3.11%), 26 May 2003 (-4.08%), 29 Aug 2003 (-4.79%)
2002728 Feb 2002 (-6.36%), 18 Apr 2002 (-5.16%), 22 May 2002 (-9.55%), 01 Jul 2002 (-6.99%), 26 Jul 2002 (-10.74%), 29 Jul 2002 (-10.88%), 10 Oct 2002 (-4.54%)
2001508 Mar 2001 (-8.15%), 06 Apr 2001 (-6.43%), 07 May 2001 (-5.4%), 17 Jul 2001 (-10.25%), 17 Sep 2001 (-8.37%)
2000703 Jan 2000 (42.34%), 30 Mar 2000 (-25.23%), 04 Jul 2000 (-19.18%), 08 Aug 2000 (-16.43%), 24 Aug 2000 (-18.62%), 10 Nov 2000 (-19.28%), 29 Dec 2000 (-19.65%)
19991013 Jan 1999 (-11.97%), 05 Feb 1999 (45.92%), 13 Apr 1999 (-15.03%), 26 Apr 1999 (-14.97%), 18 Jun 1999 (-12.16%), 05 Jul 1999 (-10.31%), 21 Jul 1999 (-10.54%), 01 Sep 1999 (-16.36%), 02 Sep 1999 (-14.24%), 14 Dec 1999 (-14.34%)
1998805 Feb 1998 (7.35%), 24 Mar 1998 (-3.63%), 23 Apr 1998 (-6.07%), 06 May 1998 (12.8%), 22 Jun 1998 (-7.16%), 28 Sep 1998 (16.56%), 29 Sep 1998 (-11.63%), 23 Nov 1998 (20.12%)
1997824 Jan 1997 (7.42%), 13 Mar 1997 (9.09%), 24 Apr 1997 (-4.09%), 11 Jun 1997 (6.83%), 20 Aug 1997 (-3.63%), 14 Oct 1997 (8.23%), 17 Nov 1997 (-3.93%), 23 Dec 1997 (-4.61%)



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