Study: Buy M&M when RSI is above 50 and there is Bullish Crossover in MACD

home > technical-strategy > m&m > 30

In this study, we evaluate the performance of strategy "Buy M&M when RSI is above 50 and there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
149311.22151747749.014067.1223711.45-3268.26-14974.071.241.20.013326.56
2111642151876457.625045.3426781.12-5114.1-19577.590.991.340.022739.35
3138418151846755.636213.6335845.49-5724.28-23928.161.091.360.022916.67
478869.06151757649.677667.7950753.77-6529.15-28365.351.171.160.01522.31
540791.61151737848.348589.7148425.29-7516.12-39209.011.141.070.0049270.14
634158.08151718047.029453.4145226.13-7962.93-36478.771.191.050.0039226.21
788573.76151757649.679959.5535472.41-8663.06-32920.011.151.130.0099586.58
8108003151817053.6410052.852332.47-10089.62-34042.5511.150.011715.25
9148478151787351.6611051.8343718.59-9774.85-35589.941.131.210.015983.3
10240834151747749.0113284.749011.08-9639.4-39651.841.381.320.0221594.93
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
atrnil38.53111591564910731.4121348.5440929.52-6868.41-12766.523.111.420.0291994.61
atrnil25.681915641656210337.5814321.2127286.35-6760.69-12766.522.121.280.0221160.99
atrtrail-15.11141621686110736.3110544.9855912.29-4944.69-12766.522.131.220.013679.54
atrtrail34.571075281686110736.3110436.2339063.22-4944.69-12766.522.111.20.014640.05
atrtrail23.9378886.211716111035.6710289.3726042.15-4988.78-12766.522.061.140.011461.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 31.41%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
M&M Performance, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Apr 2019 (-2.13%), 20 May 2019 (-2.5%)
2018901 Feb 2018 (-2.05%), 02 Feb 2018 (-2.3%), 12 Mar 2018 (7.34%), 30 May 2018 (-2.39%), 09 Jul 2018 (-2.21%), 31 Jul 2018 (-1.96%), 06 Aug 2018 (5.74%), 30 Nov 2018 (-2.95%), 13 Dec 2018 (-3.25%)
20171025 Jan 2017 (-2.03%), 01 Mar 2017 (-2.12%), 02 Mar 2017 (-2.26%), 25 Apr 2017 (5.0%), 31 May 2017 (-2.4%), 17 Jul 2017 (-1.97%), 05 Oct 2017 (6.17%), 10 Nov 2017 (6.59%), 15 Dec 2017 (-1.78%), 18 Dec 2017 (-2.01%)
2016615 Feb 2016 (10.94%), 03 Jun 2016 (-2.25%), 24 Jun 2016 (6.72%), 02 Sep 2016 (-1.88%), 03 Oct 2016 (-2.24%), 02 Nov 2016 (-2.33%)
2015719 Feb 2015 (-3.12%), 11 Mar 2015 (-3.03%), 06 Apr 2015 (-2.98%), 01 Jun 2015 (-2.97%), 17 Jun 2015 (8.25%), 23 Jul 2015 (-2.29%), 03 Aug 2015 (7.52%)
2014922 Jan 2014 (-2.34%), 06 Feb 2014 (8.41%), 07 Apr 2014 (-2.28%), 22 Apr 2014 (7.46%), 03 Jul 2014 (-2.95%), 25 Jul 2014 (-2.62%), 05 Aug 2014 (8.04%), 31 Oct 2014 (-2.72%), 23 Dec 2014 (-2.65%)
2013509 Jan 2013 (-1.74%), 17 Apr 2013 (8.13%), 01 Jul 2013 (-3.51%), 30 Oct 2013 (-2.98%), 18 Nov 2013 (-2.91%)
2012810 Jan 2012 (-3.55%), 21 Mar 2012 (-3.29%), 19 Apr 2012 (-2.42%), 08 Aug 2012 (6.36%), 18 Sep 2012 (-2.02%), 20 Sep 2012 (6.31%), 29 Oct 2012 (8.03%), 18 Dec 2012 (-2.06%)
2011920 Jan 2011 (-2.83%), 03 Mar 2011 (-4.67%), 27 May 2011 (-3.12%), 24 Jun 2011 (8.11%), 25 Jul 2011 (-2.6%), 26 Jul 2011 (-2.92%), 12 Aug 2011 (-3.59%), 30 Aug 2011 (9.92%), 25 Oct 2011 (-2.68%)
2010904 Jan 2010 (-3.17%), 02 Mar 2010 (-3.74%), 26 Apr 2010 (-3.65%), 31 May 2010 (13.52%), 28 Jul 2010 (-2.97%), 02 Sep 2010 (8.14%), 01 Nov 2010 (-2.99%), 07 Dec 2010 (-3.45%), 30 Dec 2010 (-2.88%)
2009712 Feb 2009 (-6.28%), 29 Apr 2009 (17.63%), 18 May 2009 (-5.94%), 19 May 2009 (20.46%), 20 Jul 2009 (15.34%), 28 Aug 2009 (14.49%), 06 Nov 2009 (13.96%)
2008225 Mar 2008 (-5.95%), 29 Aug 2008 (-4.83%)
2007512 Jan 2007 (-3.47%), 29 May 2007 (-2.92%), 22 Jun 2007 (-3.27%), 11 Oct 2007 (-4.42%), 03 Dec 2007 (13.62%)
2006931 Jan 2006 (7.73%), 07 Mar 2006 (-3.05%), 08 Mar 2006 (-3.35%), 04 Apr 2006 (-2.82%), 04 May 2006 (-3.94%), 28 Jul 2006 (16.54%), 26 Sep 2006 (-3.08%), 26 Oct 2006 (9.55%), 22 Dec 2006 (10.86%)
2005731 Jan 2005 (-3.58%), 04 Mar 2005 (-3.03%), 07 Jul 2005 (8.2%), 25 Jul 2005 (-2.79%), 12 Sep 2005 (-3.12%), 03 Oct 2005 (-3.64%), 08 Nov 2005 (11.95%)
2004804 Feb 2004 (-5.6%), 01 Apr 2004 (-4.51%), 06 May 2004 (-3.84%), 25 May 2004 (-6.38%), 09 Jun 2004 (-5.73%), 10 Aug 2004 (-3.74%), 05 Oct 2004 (-2.5%), 29 Oct 2004 (-3.07%)
2003921 Mar 2003 (-2.73%), 04 Apr 2003 (8.27%), 16 Jun 2003 (8.07%), 30 Jul 2003 (-4.3%), 11 Sep 2003 (-4.41%), 23 Sep 2003 (15.72%), 31 Oct 2003 (-4.63%), 01 Dec 2003 (-3.97%), 23 Dec 2003 (12.0%)
2002407 Jan 2002 (17.15%), 05 Apr 2002 (-3.72%), 01 Nov 2002 (7.64%), 30 Dec 2002 (-3.06%)
2001322 Jan 2001 (10.08%), 22 May 2001 (-4.73%), 11 Dec 2001 (-5.29%)
2000211 Feb 2000 (-6.1%), 17 Aug 2000 (-6.19%)
19991111 Feb 1999 (12.19%), 20 Apr 1999 (-5.94%), 09 Jun 1999 (18.63%), 07 Jul 1999 (14.6%), 27 Jul 1999 (-5.66%), 20 Aug 1999 (-5.26%), 08 Oct 1999 (-5.29%), 02 Nov 1999 (-5.82%), 12 Nov 1999 (-5.85%), 15 Nov 1999 (19.53%), 29 Dec 1999 (13.72%)
1998325 Mar 1998 (-3.9%), 02 Apr 1998 (-3.81%), 09 Nov 1998 (-4.95%)
1997629 Jan 1997 (-3.89%), 13 Feb 1997 (-3.09%), 06 Mar 1997 (-3.56%), 21 Apr 1997 (9.54%), 10 Jun 1997 (8.97%), 07 Aug 1997 (-2.99%)
1996403 Apr 1996 (12.22%), 30 Jul 1996 (-3.78%), 08 Nov 1996 (-2.81%), 09 Dec 1996 (11.8%)
1995217 Jul 1995 (5.87%), 26 Sep 1995 (-2.17%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play