Study: Sell STAR 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 STAR 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 STAR 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
112304.4623131056.524944.5915119.62-5197.52-9150.330.951.240.021534.98
250211.6123131056.528498.8219685.04-6027.31-21045.751.411.830.0562183.11
313677.6823101343.4811164.0220682.93-7535.58-37908.51.481.140.011594.68
413083.3323121152.1710454.8224823.53-10215.87-24836.61.021.120.011568.84
558861.5423121152.1715103.7629044.8-11125.78-22470.421.361.480.0392559.2
679519.632314960.8713561.5630065.23-12260.24-22690.871.111.720.0543457.38
755450.182314960.8711051.2430170.28-11029.69-22984.7911.560.0412410.88
855092.932315865.2211824.1632864.94-15283.69-42527.750.771.450.0332395.34
91140032315865.2215052.3236098.65-13972.72-31255.341.082.020.074956.66
102146222316769.5720192.45111260-15493.9-28864.221.32.980.0829331.39
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
STAR Performance, X=10, Profit Factor:2.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jan 2019 (15.97%), 28 Jun 2019 (5.74%), 21 Aug 2019 (0.58%)
2018322 Feb 2018 (2.94%), 03 May 2018 (16.84%), 16 Jul 2018 (-10.75%)
2017222 Feb 2017 (1.01%), 03 Aug 2017 (10.77%)
2016109 Feb 2016 (9.12%)
2013105 Dec 2013 (55.63%)
2012112 Jun 2012 (-5.69%)
2011124 Feb 2011 (-4.62%)
2010116 Nov 2010 (2.74%)
2009119 Aug 2009 (-9.62%)
2008209 May 2008 (9.57%), 12 Nov 2008 (9.71%)
2007126 Jun 2007 (-0.02%)
2005105 Jan 2005 (5.58%)
2002230 Jan 2002 (-14.43%), 15 May 2002 (10.12%)
2001104 Apr 2001 (4.58%)
2000204 May 2000 (0.63%), 29 May 2000 (-9.09%)

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
atrnil311.621452902481633.3340508.7279496.9-11173.76-21669.653.631.810.0546053.73
atrnil28.3681189.57259163628820.6552997.93-11137.27-21085.752.591.460.0373247.58
atrtrail34.16-31320.41257182816309.1829240.77-8082.48-19764.762.020.78-0.023-1252.82
atrtrail-15.08-46506.34257182814139.7629240.77-8082.48-19764.761.750.68-0.037-1860.25
atrtrail23.92-59704.212671926.9213986.2537479.47-8295.16-19764.761.690.62-0.045-2296.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 3.03%, which is very good. Sharpe Ratio is 0.054, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jan 2019 (14.49%), 28 Jun 2019 (12.55%), 21 Aug 2019 (-4.29%)
2018422 Feb 2018 (-4.01%), 07 Mar 2018 (-3.73%), 03 May 2018 (9.71%), 16 Jul 2018 (-5.63%)
2017222 Feb 2017 (-3.04%), 03 Aug 2017 (-2.96%)
2016109 Feb 2016 (17.05%)
2013105 Dec 2013 (-4.92%)
2012112 Jun 2012 (-4.03%)
2011124 Feb 2011 (-5.91%)
2010116 Nov 2010 (-4.07%)
2009119 Aug 2009 (-7.11%)
2008209 May 2008 (23.59%), 12 Nov 2008 (39.75%)
2007126 Jun 2007 (15.56%)
2005105 Jan 2005 (-4.9%)
2002230 Jan 2002 (-9.88%), 15 May 2002 (-10.83%)
2001204 Apr 2001 (-7.18%), 10 Apr 2001 (-6.9%)
2000104 May 2000 (29.34%)



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