Study: Sell M&M when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell M&M when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-33558.3964848503387.6115481.28-4086.74-13735.190.830.83-0.014-349.57
2-12334496465047.923613.9718069.87-5791.73-22180.320.620.57-0.04-1284.84
3-73336.9596455146.885546.0825286.88-6331.58-24537.420.880.77-0.02-763.93
4-90361.2196435344.797228.5724786.15-7569.61-25946.240.950.77-0.02-941.26
5-19687396405641.677288.6822583.33-8721.78-52837.690.840.6-0.037-2050.76
6-18325096445245.838389.5227048.81-10622.86-57301.120.790.67-0.028-1908.85
7-18954796425443.759264.8426659.7-10716.12-69615.350.860.67-0.027-1974.45
8-21748896445245.839049.0827870.52-11839.37-60292.220.760.65-0.029-2265.5
9-3490679538574010416.8830156.17-13068.57-56804.040.80.53-0.044-3674.39
10-38225495336234.7412943.1436028.51-13054.48-67068.430.990.53-0.045-4023.73

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.83. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.

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-11-33558.3964848503387.6115481.28-4086.74-13735.190.830.83-0.014-349.57
atrnil25.1-148809111298226.1314633.1424813.38-6989.88-13895.132.090.74-0.027-1340.62
atrtrail23.8-111193111387334.238233.4424813.38-5809.09-13386.21.420.74-0.025-1001.74
atrtrail34.13-150157111387334.237208.0824646.49-5809.09-13386.21.240.65-0.035-1352.76
atrtrail-14.45-153836111387334.237111.2539253.18-5809.09-13386.21.220.64-0.035-1385.91
atrnil37.33-306532111189316.2219950.7936223.82-7157.48-13895.132.790.54-0.053-2761.55

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
M&M Performance, X=1, Profit Factor:0.829

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Nov 2019 (1.07%)
2018505 Feb 2018 (1.14%), 10 May 2018 (-1.47%), 15 Jun 2018 (-0.49%), 13 Jul 2018 (0.7%), 03 Aug 2018 (-1.28%)
2017327 Feb 2017 (-1.41%), 19 May 2017 (2.04%), 30 Nov 2017 (-0.2%)
2016204 May 2016 (0.01%), 15 Jun 2016 (0.86%)
2015408 Jul 2015 (1.18%), 30 Jul 2015 (-3.48%), 13 Aug 2015 (-2.88%), 21 Oct 2015 (0.8%)
2014320 Mar 2014 (0.8%), 10 Jun 2014 (0.49%), 05 Sep 2014 (0.94%)
2013423 May 2013 (-0.93%), 28 Oct 2013 (-3.66%), 04 Dec 2013 (-0.06%), 31 Dec 2013 (-0.4%)
2012618 Apr 2012 (-2.07%), 16 Jul 2012 (1.34%), 31 Aug 2012 (0.77%), 11 Oct 2012 (-0.45%), 15 Nov 2012 (0.8%), 20 Dec 2012 (1.64%)
2011402 May 2011 (4.52%), 20 Jul 2011 (0.43%), 23 Sep 2011 (0.57%), 08 Nov 2011 (2.71%)
2010620 Jan 2010 (0.05%), 21 May 2010 (1.7%), 28 Jun 2010 (1.44%), 10 Aug 2010 (2.21%), 11 Oct 2010 (-1.11%), 18 Nov 2010 (3.51%)
2009722 Apr 2009 (-4.71%), 11 May 2009 (-4.21%), 17 Jun 2009 (0.95%), 10 Sep 2009 (0.1%), 29 Sep 2009 (-3.66%), 21 Oct 2009 (-0.68%), 26 Nov 2009 (0.64%)
2008207 Jan 2008 (-2.0%), 21 May 2008 (2.12%)
2007310 Jan 2007 (-3.94%), 25 Jul 2007 (-2.8%), 09 Oct 2007 (-2.44%)
2006320 Feb 2006 (-0.49%), 09 Mar 2006 (-2.33%), 20 Nov 2006 (-2.32%)
2005529 Jun 2005 (-0.41%), 13 Jul 2005 (-0.41%), 11 Aug 2005 (-0.26%), 13 Oct 2005 (2.08%), 20 Dec 2005 (-0.11%)
2004520 Jan 2004 (7.74%), 25 Feb 2004 (4.91%), 21 Apr 2004 (-2.68%), 19 Jul 2004 (1.2%), 30 Dec 2004 (-2.22%)
2003706 Jan 2003 (2.07%), 03 Jun 2003 (1.07%), 22 Jul 2003 (-1.0%), 14 Aug 2003 (-3.58%), 19 Sep 2003 (-0.45%), 23 Oct 2003 (-6.84%), 05 Dec 2003 (-1.5%)
2002320 Feb 2002 (-2.45%), 11 Jul 2002 (2.08%), 10 Dec 2002 (0.67%)
2001226 Nov 2001 (4.4%), 14 Dec 2001 (3.76%)
2000125 Jan 2000 (1.57%)
1999619 Jan 1999 (-4.77%), 10 Mar 1999 (-0.0%), 24 May 1999 (0.69%), 28 Jun 1999 (1.24%), 23 Jul 1999 (-6.87%), 12 Aug 1999 (2.47%)
1998223 Mar 1998 (-4.32%), 16 Apr 1998 (-0.84%)
1997417 Jan 1997 (1.29%), 21 Feb 1997 (3.75%), 07 Jul 1997 (-0.67%), 18 Aug 1997 (1.43%)
1996526 Apr 1996 (-1.94%), 21 May 1996 (-0.81%), 28 Jun 1996 (0.5%), 16 Aug 1996 (2.6%), 10 Sep 1996 (0.27%)
1995320 Jun 1995 (-4.39%), 24 Aug 1995 (-0.21%), 20 Oct 1995 (-1.86%)



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