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

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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 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 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
1-5000.631131841.946996.6840000-5330.97-17283.951.310.95-0.0036-161.31
2-70250.733192229.039111.7929677.42-6920.76-46913.581.320.54-0.041-2266.15
3904.431121938.719882.3737419.35-6193.9-28260.871.61.010.0005429.17
4-38618.7231141745.168056.2237419.35-8906.22-41975.310.90.74-0.02-1245.77
5-10004331141745.167691.0332258.06-12218.67-44058.50.630.52-0.047-3227.2
6-1341543192229.0310439.5837419.35-10368.64-34186.471.010.41-0.065-4327.55
7-1252263192229.039428.2229074.89-9549.11-44241.320.990.4-0.065-4039.56
8-1902733192229.0310099.9432258.06-12780.57-81481.480.790.32-0.07-6137.84
9-19871631112035.48912932258.06-14956.73-96296.30.610.34-0.065-6410.18
10-20473931112035.4813259.8145161.29-17529.86-1135800.760.42-0.056-6604.5
Although, strategy looks good but profit factor on day 2 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
atrnil36.89-1195063763116.2233647.3849688.54-10367.44-38554.773.250.63-0.039-3229.9
atrtrail34.68-1044623792824.3215743.1638398.17-8791.09-38554.771.790.58-0.042-2823.3
atrtrail-14.97-1207073792824.3213938.1632030.7-8791.09-38554.771.590.51-0.053-3262.35
atrtrail24.16-1486513892923.6813417.3833125.69-9289.91-38554.771.440.45-0.064-3911.87
atrnil25.79-2099353863215.7922431.5833125.69-10766.39-38554.772.080.39-0.086-5524.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. 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:0.628

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017122 Sep 2017 (-3.46%)
2016120 Dec 2016 (-4.41%)
2015324 Feb 2015 (-4.08%), 21 Oct 2015 (12.07%), 11 Dec 2015 (-3.17%)
2013613 Mar 2013 (-3.28%), 20 Mar 2013 (-3.86%), 09 Apr 2013 (-3.8%), 16 Apr 2013 (-4.01%), 17 Jul 2013 (-4.14%), 29 Jul 2013 (13.36%)
2010123 Apr 2010 (-3.86%)
2009119 Feb 2009 (-4.36%)
2008121 Feb 2008 (19.11%)
2007302 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%)
2005130 May 2005 (-5.11%)
2004117 Dec 2004 (-4.8%)
2003427 Jan 2003 (-3.1%), 28 Jan 2003 (-3.11%), 26 May 2003 (-4.08%), 29 Aug 2003 (-4.79%)
2002228 Feb 2002 (-6.36%), 22 May 2002 (-9.55%)
2001207 May 2001 (-5.4%), 17 Jul 2001 (-10.25%)
2000110 Nov 2000 (-19.28%)
1998323 Apr 1998 (-6.07%), 06 May 1998 (19.2%), 28 Sep 1998 (24.84%)
1997320 Aug 1997 (-3.63%), 14 Oct 1997 (12.35%), 23 Dec 1997 (-4.61%)



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