Study: Buy M&M when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy M&M when there is Bullish 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: 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
125344.4192444847.834767.1523711.45-3841.88-15648.981.241.140.0087275.48
275761.1692543858.75680.8225922.39-6079.03-20020.020.931.330.021823.49
391333.7792494353.267915.8332160.8-6896.32-26153.491.151.310.021992.76
454912.6492484452.178440.2750753.77-7959.55-28365.351.061.160.01596.88
5-81801.5492415144.579758.1843863.37-9448.76-39209.011.030.83-0.014-889.15
6-52631.1292434946.7411026.4362897.53-10750.36-37704.371.030.9-0.0077-572.08
7-7277.7892444847.8311779.6763792.7-10949.65-34147.391.080.99-0.001-79.11
817183.4692494353.2611726.9458845.7-12963.64-45672.410.91.030.0023186.78
959576.4692504254.3512980.6863839.81-14034.7-49568.80.921.10.0073647.57
1080280.0692484452.1713870.3464075.38-13306.73-48318.961.041.140.0097872.61
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
atrtrail24.0897692.82108426638.8912840.2349551.59-6690.86-24902.321.921.220.015904.56
atrnil25.78109148108416737.9616869.0449551.59-8693.77-24902.321.941.190.0151010.63
atrnil38.9378913.44105307528.5724455.4874327.39-8730.01-24902.322.81.120.0091751.56
atrtrail34.926084.6910542634010540.0874327.39-6612.68-24902.321.591.060.0042248.43
atrtrail-15.18-26002.511054263409299.9140720.16-6612.68-24902.321.410.94-0.0048-247.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 38.89%, 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 0.015, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019506 Feb 2019 (-1.66%), 22 Feb 2019 (5.18%), 20 May 2019 (-2.5%), 21 May 2019 (5.38%), 09 Aug 2019 (-3.14%)
2018401 Feb 2018 (-2.05%), 02 Feb 2018 (-2.3%), 30 May 2018 (0.22%), 25 Oct 2018 (8.46%)
2017401 Jun 2017 (-1.76%), 04 Oct 2017 (4.15%), 10 Nov 2017 (1.25%), 18 Dec 2017 (0.24%)
2016525 Jan 2016 (1.45%), 15 Feb 2016 (-2.5%), 01 Nov 2016 (4.26%), 02 Nov 2016 (-1.14%), 06 Dec 2016 (-0.24%)
2014507 Apr 2014 (-1.32%), 22 Apr 2014 (4.97%), 03 Jul 2014 (-2.48%), 30 Oct 2014 (-1.33%), 12 Nov 2014 (-1.54%)
2013417 Apr 2013 (-0.26%), 31 Jul 2013 (-3.14%), 13 Aug 2013 (-3.26%), 05 Sep 2013 (8.05%)
2012429 May 2012 (-2.5%), 18 Sep 2012 (-2.02%), 20 Sep 2012 (4.21%), 29 Oct 2012 (0.98%)
2011801 Mar 2011 (-2.82%), 27 May 2011 (-3.12%), 13 Jun 2011 (-1.65%), 24 Jun 2011 (5.4%), 25 Jul 2011 (-2.6%), 26 Jul 2011 (-0.93%), 02 Dec 2011 (-2.45%), 22 Dec 2011 (-2.22%)
2010317 Feb 2010 (-3.83%), 26 Feb 2010 (7.55%), 02 Nov 2010 (6.03%)
2009429 Apr 2009 (11.76%), 04 May 2009 (-5.97%), 18 May 2009 (-5.94%), 19 May 2009 (0.59%)
2008804 Feb 2008 (-7.72%), 18 Feb 2008 (-4.19%), 25 Mar 2008 (-3.58%), 19 Jun 2008 (-4.02%), 09 Jul 2008 (-4.32%), 04 Nov 2008 (-11.49%), 24 Nov 2008 (-12.45%), 08 Dec 2008 (24.78%)
2007420 Mar 2007 (2.01%), 10 Apr 2007 (0.57%), 28 Aug 2007 (9.44%), 11 Oct 2007 (-2.4%)
2006431 Jan 2006 (5.15%), 07 Mar 2006 (-3.05%), 08 Mar 2006 (-3.35%), 04 May 2006 (7.87%)
2005831 Jan 2005 (-1.79%), 04 Mar 2005 (-3.03%), 25 Apr 2005 (-3.79%), 03 May 2005 (7.12%), 07 Jul 2005 (-1.36%), 25 Jul 2005 (-0.83%), 12 Sep 2005 (-2.84%), 03 Oct 2005 (0.84%)
2004104 Feb 2004 (11.2%)
2003417 Feb 2003 (2.41%), 16 Jun 2003 (5.38%), 30 Jul 2003 (-3.81%), 31 Oct 2003 (-0.98%)
2002303 Jun 2002 (-5.59%), 14 Aug 2002 (-4.5%), 30 Dec 2002 (-1.89%)
2001529 Mar 2001 (-6.86%), 10 Jul 2001 (-1.37%), 03 Aug 2001 (10.69%), 01 Oct 2001 (11.9%), 11 Dec 2001 (-5.29%)
2000711 Feb 2000 (-0.23%), 06 Apr 2000 (3.28%), 25 May 2000 (-9.14%), 26 May 2000 (19.51%), 16 Aug 2000 (11.87%), 17 Aug 2000 (-5.39%), 02 Nov 2000 (10.91%)
1999411 Feb 1999 (8.13%), 27 Jul 1999 (-5.66%), 20 Aug 1999 (-5.26%), 08 Oct 1999 (10.59%)
1998318 Feb 1998 (9.69%), 17 Jun 1998 (-6.63%), 13 Aug 1998 (0.19%)
1997507 Aug 1997 (-0.54%), 11 Sep 1997 (-3.93%), 10 Nov 1997 (-3.3%), 25 Nov 1997 (-4.19%), 22 Dec 1997 (8.27%)
1996629 Jan 1996 (1.07%), 30 Apr 1996 (-2.21%), 16 May 1996 (-3.17%), 17 May 1996 (-3.25%), 29 May 1996 (6.65%), 11 Oct 1996 (-0.74%)



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