Study: Sell ULTRACEMCO 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 ULTRACEMCO 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 ULTRACEMCO 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
1-16273.261688504468.4311778.9-6502.59-28255.360.690.69-0.031-1017.08
2-66124.31688505609.213374.15-13874.73-31182.30.40.4-0.091-4132.77
3-57220.661651131.259959.3318789.73-9728.85-29707.311.020.47-0.074-3576.29
4-63623.251661037.58266.1817913.82-11322.03-31689.330.730.44-0.081-3976.45
5-96324.631661037.55416.6318347.07-12882.44-35561.190.420.25-0.12-6020.29
6-10845116412259619.2720014.13-12244.02-28808.480.790.26-0.14-6778.2
7-12939216412258890.4119599.72-13746.16-35791.660.650.22-0.15-8087.02
8-14310016412259712.1919015.78-15162.43-39986.170.640.21-0.15-8943.78
9-1511621631318.7515810.3731146.69-15276.4-40608.441.030.24-0.14-9447.63
10-209146164122511558.1129159.41-21281.52-47428.890.540.18-0.17-13071.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.

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
nilnil-11-16273.261688504468.4311778.9-6502.59-28255.360.690.69-0.031-1017.08
atrtrail33.94-68358.59164122510180.3929138.16-9090.01-20451.761.120.37-0.1-4272.41
atrtrail23.44-72993.5716412259021.6419425.44-9090.01-20451.760.990.33-0.12-4562.1
atrtrail-14.06-76154.4616412258231.4221342.29-9090.01-20451.760.910.3-0.13-4759.65
atrnil37.25-1045521621412.521813.8329138.16-10584.26-24488.132.060.29-0.14-6534.5
atrnil25.12-1014221631318.7513622.2919425.44-10945.29-24488.131.240.29-0.15-6338.87

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. 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.
ULTRACEMCO Performance, X=1, Profit Factor:0.687

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Sep 2019 (-0.32%)
2018204 Sep 2018 (0.99%), 06 Dec 2018 (-1.76%)
2016114 Dec 2016 (1.52%)
2011108 Feb 2011 (5.89%)
2009113 Jan 2009 (1.53%)
2008212 Feb 2008 (-0.63%), 24 Nov 2008 (2.47%)
2007523 Jan 2007 (1.87%), 09 Feb 2007 (3.16%), 04 Apr 2007 (-2.19%), 07 Jun 2007 (-0.69%), 27 Jul 2007 (-2.09%)
2005312 Jan 2005 (0.44%), 24 Aug 2005 (-4.21%), 23 Dec 2005 (-14.13%)



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