Study: Sell SRTRANSFIN 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 SRTRANSFIN 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 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
148195.6797544355.674770.1660000-4869.61-30088.50.981.230.012496.86
275866.0297514652.587260.6360000-6400.57-41970.81.131.260.015782.12
369255.397534454.648332.666666.67-8463.02-500000.981.190.011713.97
418855.3997494850.529794.0757777.78-9605.29-42700.731.021.040.0028194.39
5-17582997465147.428898.9546112.5-11474.14-66058.390.780.7-0.025-1812.67
6-30216797445345.369151.8146034.59-13299-62773.720.690.57-0.039-3115.12
7-17984697465147.4211523.4568899.97-13920.09-60948.910.830.75-0.02-1854.08
8-18691397435444.3313560.8586666.67-14259.81-79197.080.950.76-0.018-1926.94
9-19542897425543.316046.3688888.89-15806.81-1082421.020.78-0.016-2014.72
10-41094297425543.313118.3978949.83-17489.36-1631870.750.57-0.033-4236.52
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
atrtrail-15.693600.59105396637.1414124.67114413-6928.21-33332.482.041.20.011891.43
atrtrail24.738589.19105396637.1412714.1373028.14-6928.21-33332.481.841.080.006367.52
atrtrail35.2-16872.66105396637.1411292.0345528.03-6928.21-33332.481.630.96-0.0029-160.69
atrnil27.29-93278.92104297527.8821468.5173028.14-9544.88-33332.482.250.87-0.012-896.91
atrnil310.57-397986104178716.3527757.6545528.03-9998.46-36514.072.780.54-0.053-3826.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 37.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
SRTRANSFIN Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020302 Mar 2020 (57.21%), 13 Jul 2020 (-0.42%), 31 Jul 2020 (2.21%)
2019220 Mar 2019 (-2.44%), 24 Oct 2019 (-4.27%)
2018402 Jan 2018 (-1.85%), 20 Apr 2018 (-2.86%), 30 Apr 2018 (7.19%), 21 Nov 2018 (2.34%)
2017407 Feb 2017 (2.65%), 14 Jul 2017 (3.23%), 15 Nov 2017 (-3.23%), 04 Dec 2017 (-3.33%)
2016523 Mar 2016 (-3.43%), 22 Apr 2016 (-3.11%), 25 Apr 2016 (0.68%), 02 Jun 2016 (-3.16%), 16 Aug 2016 (2.71%)
2015225 Feb 2015 (-1.95%), 20 Oct 2015 (11.29%)
2014615 Apr 2014 (-3.23%), 28 Apr 2014 (5.31%), 13 Jun 2014 (5.14%), 17 Sep 2014 (-2.92%), 27 Nov 2014 (-3.4%), 12 Dec 2014 (1.17%)
2013217 Jan 2013 (0.49%), 04 Jun 2013 (5.3%)
2012709 Feb 2012 (-1.06%), 16 Apr 2012 (16.97%), 18 Jul 2012 (-2.71%), 06 Aug 2012 (-2.95%), 11 Sep 2012 (-2.5%), 16 Oct 2012 (3.04%), 28 Dec 2012 (-3.21%)
2011221 Apr 2011 (21.38%), 20 Sep 2011 (3.34%)
2010722 Jan 2010 (-1.35%), 22 Apr 2010 (1.39%), 22 Jul 2010 (-2.7%), 17 Aug 2010 (-3.7%), 27 Aug 2010 (-0.09%), 21 Sep 2010 (-0.63%), 15 Nov 2010 (0.35%)
2009702 Jun 2009 (-4.78%), 21 Jul 2009 (-2.11%), 07 Sep 2009 (-3.35%), 29 Sep 2009 (1.36%), 27 Oct 2009 (-1.42%), 27 Nov 2009 (-2.49%), 15 Dec 2009 (0.41%)
2008203 Jan 2008 (-4.37%), 27 Aug 2008 (5.65%)
2007712 Jan 2007 (-4.2%), 18 Jan 2007 (-0.25%), 13 Jun 2007 (-2.63%), 21 Sep 2007 (-2.18%), 23 Oct 2007 (-5.82%), 23 Nov 2007 (-5.82%), 10 Dec 2007 (-4.46%)
2006616 Jan 2006 (-2.6%), 08 Feb 2006 (6.08%), 28 Mar 2006 (-2.01%), 20 Sep 2006 (-3.26%), 07 Nov 2006 (-2.74%), 05 Dec 2006 (1.5%)
20051017 Jan 2005 (-5.67%), 22 Feb 2005 (-5.25%), 23 Feb 2005 (-0.35%), 23 Mar 2005 (-3.44%), 27 May 2005 (-2.58%), 17 Jun 2005 (0.89%), 26 Jul 2005 (3.14%), 26 Sep 2005 (-2.38%), 07 Oct 2005 (21.62%), 13 Dec 2005 (-4.8%)
2004612 Jan 2004 (24.7%), 23 Apr 2004 (0.53%), 05 Jul 2004 (-2.8%), 23 Sep 2004 (-3.38%), 28 Oct 2004 (-2.54%), 20 Dec 2004 (-4.6%)
2003831 Mar 2003 (-3.51%), 27 May 2003 (-3.99%), 13 Jun 2003 (-2.18%), 08 Jul 2003 (4.97%), 28 Aug 2003 (0.04%), 25 Nov 2003 (-3.97%), 23 Dec 2003 (-7.92%), 24 Dec 2003 (-7.46%)
2002427 Feb 2002 (-2.73%), 23 May 2002 (-5.88%), 02 Jul 2002 (-3.07%), 11 Dec 2002 (-3.65%)
2001501 Jan 2001 (7.04%), 07 Mar 2001 (0.17%), 18 Jun 2001 (-5.51%), 19 Jun 2001 (-5.27%), 04 Dec 2001 (7.87%)
2000204 Apr 2000 (15.21%), 26 Sep 2000 (-16.67%)
1999126 Oct 1999 (13.72%)
1998227 Apr 1998 (-4.06%), 22 Jul 1998 (6.08%)
1997121 Aug 1997 (1.04%)



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