Study: Sell M&M 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 M&M 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 M&M 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
1-12391.1743261760.472823.2512635.75-5046.8-12672.730.560.86-0.012-288.17
2-93837.4943172639.533353.488792.74-5801.79-21302.10.580.38-0.07-2182.27
3-15380343162737.215279.6417476.05-8825.1-29419.780.60.35-0.073-3576.82
4-13581443152834.889006.5923205.27-9675.46-39400.070.930.5-0.051-3158.47
5-10008143202346.518812.3334302.11-12014.25-34883.720.730.64-0.035-2327.47
6-14571243162737.211011125101.81-11388.44-24934.710.890.53-0.054-3388.65
7-10458343182541.8610482.4335546.75-11730.69-34430.170.890.64-0.035-2432.17
8-66163.5343182541.861270139312.85-11791.26-39689.461.080.78-0.02-1538.69
9-12432.0243192444.1913111.5633396.83-10897.99-40070.831.20.95-0.0038-289.12
1039096.0143172639.5318489.3854857.14-10585.51-40588.41.751.140.0098909.21
Although, strategy looks good but profit factor on day 3 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
atrnil25.02-14817547113623.416841.7331114.23-9262.06-25777.311.820.56-0.053-3152.66
atrtrail34.17-11160347103721.2813053.2632924.14-6544.21-21459.691.990.54-0.049-2374.54
atrtrail23.98-11262647103721.2812950.9425426.43-6544.21-21459.691.980.53-0.052-2396.31
atrnil36.87-1775304673915.2225841.746671.35-9190.3-25777.312.810.5-0.057-3859.34
atrtrail-14.45-16341847103721.287871.7417147.46-6544.21-21459.691.20.33-0.096-3476.99

In the table above, row 1 shows the best exit criterion. Profit factor is 0.56. 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.
M&M Performance, Profit Factor:0.556

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Aug 2019 (-3.58%)
2018103 Sep 2018 (-2.03%)
2017222 May 2017 (-2.04%), 02 Nov 2017 (-1.92%)
2016311 Feb 2016 (-3.5%), 12 Feb 2016 (-3.68%), 11 Nov 2016 (7.06%)
2015123 Oct 2015 (5.22%)
2014415 Apr 2014 (-2.38%), 10 Jul 2014 (-3.28%), 10 Nov 2014 (-2.83%), 11 Nov 2014 (-2.77%)
2013202 Aug 2013 (-3.55%), 16 Aug 2013 (6.98%)
2011403 May 2011 (6.83%), 31 May 2011 (7.34%), 20 Jun 2011 (-2.99%), 12 Dec 2011 (-4.05%)
2010124 Feb 2010 (-3.8%)
2009110 Aug 2009 (-6.5%)
2008411 Feb 2008 (-8.08%), 17 Mar 2008 (-6.45%), 24 Jun 2008 (-4.38%), 20 Nov 2008 (-12.89%)
2007305 Apr 2007 (-5.17%), 08 Oct 2007 (-4.78%), 19 Oct 2007 (-5.78%)
2006118 May 2006 (10.97%)
2005418 Feb 2005 (-3.75%), 10 Mar 2005 (6.07%), 27 Apr 2005 (-3.79%), 14 Oct 2005 (-4.05%)
2004221 Jan 2004 (-5.59%), 26 Feb 2004 (-5.12%)
2003107 Jan 2003 (-3.31%)
2001326 Feb 2001 (-6.01%), 27 Jul 2001 (-5.06%), 03 Sep 2001 (-4.83%)
2000317 Feb 2000 (15.56%), 04 Apr 2000 (-10.73%), 22 Dec 2000 (-5.09%)
1999121 May 1999 (12.71%)
1997319 Aug 1997 (6.18%), 19 Nov 1997 (-4.12%), 05 Dec 1997 (7.71%)
1996112 Mar 1996 (-4.27%)
1995128 Apr 1995 (-4.55%)



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