Study: Buy M&M when RSI is above 50 and 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 RSI is above 50 and 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
115683.38502426484518.123711.45-3567.35-11874.021.271.170.011313.67
236111.37503218644449.9619488.69-5904.85-11637.10.751.340.022722.23
333306.64502822566063.132160.8-6202.74-20601.350.981.240.016666.13
424462.04503020606500.1650753.77-8527.14-28365.350.761.140.0088489.24
5-45161.59502228448069.0438190.95-7952.87-39209.011.010.8-0.017-903.23
6-26086.465022284410055.8345226.13-8832.66-35383.741.140.89-0.0083-521.73
711697.815023274611022.8235427.14-8956.56-32920.011.231.050.0036233.96
8-17770.51502624529772.3738190.95-11327.17-34042.550.860.93-0.0053-355.41
93100.245026245211486.8443718.59-12314.9-35589.940.931.010.0008362
10-9970.055024264812873.4942964.82-12266.69-39651.841.050.97-0.0025-199.4
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
atrnil37.759645.8857164128.0719379.7340929.52-7327.56-12384.242.641.030.0027169.23
atrnil25.595769.8458203834.4814049.9727286.35-7242.88-12384.241.941.020.001999.48
atrtrail24.07-786.6558203834.4810305.123511.62-5444.44-11940.691.891-0.00031-13.56
atrtrail-14.98-20403.5157203735.098727.2340720.16-5268.87-11875.631.660.9-0.0083-357.96
atrtrail34.74-21891.3557203735.098652.8324376.16-5268.87-11875.631.640.89-0.0096-384.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 28.07%, which is not acceptable. Avoid this strategy. Average return per trade is 0.085%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0027, 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:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-2.5%)
2018301 Feb 2018 (-2.05%), 02 Feb 2018 (-2.3%), 30 May 2018 (-2.39%)
2017401 Jun 2017 (-2.34%), 05 Oct 2017 (6.17%), 10 Nov 2017 (6.59%), 18 Dec 2017 (-2.01%)
2016215 Feb 2016 (10.94%), 02 Nov 2016 (-2.33%)
2014407 Apr 2014 (-2.28%), 22 Apr 2014 (7.46%), 03 Jul 2014 (-2.95%), 31 Oct 2014 (-2.72%)
2013117 Apr 2013 (8.13%)
2012318 Sep 2012 (-2.02%), 20 Sep 2012 (6.31%), 29 Oct 2012 (8.03%)
2011503 Mar 2011 (-4.67%), 27 May 2011 (-3.12%), 24 Jun 2011 (8.11%), 25 Jul 2011 (-2.6%), 26 Jul 2011 (-2.92%)
2010202 Mar 2010 (-3.74%), 02 Nov 2010 (9.05%)
2009329 Apr 2009 (17.63%), 18 May 2009 (-5.94%), 19 May 2009 (20.46%)
2008125 Mar 2008 (-5.95%)
2007111 Oct 2007 (-4.42%)
2006431 Jan 2006 (7.73%), 07 Mar 2006 (-3.05%), 08 Mar 2006 (-3.35%), 04 May 2006 (-3.94%)
2005631 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%)
2004104 Feb 2004 (-5.6%)
2003316 Jun 2003 (8.07%), 30 Jul 2003 (-4.3%), 31 Oct 2003 (-4.63%)
2002130 Dec 2002 (-3.06%)
2001111 Dec 2001 (-5.29%)
2000211 Feb 2000 (-6.1%), 17 Aug 2000 (-6.19%)
1999411 Feb 1999 (12.19%), 27 Jul 1999 (-5.66%), 20 Aug 1999 (-5.26%), 08 Oct 1999 (-5.29%)
1997107 Aug 1997 (-2.99%)
1996430 Apr 1996 (-3.68%), 16 May 1996 (-3.17%), 17 May 1996 (-3.25%), 29 May 1996 (9.97%)



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