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

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In this study, we evaluate the performance of strategy "Buy M&M when RSI is below 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
19838.6473363749.323919.4321452.15-3547.59-15648.981.11.070.005134.78
2-12794.3273373650.685457.9917491.75-5965-20020.020.920.94-0.0049-175.26
311210.6373383552.057419.220232.77-7734.83-26153.490.961.040.0033153.57
420009.1373343946.589998.7133356.89-8203.77-32215.531.221.060.0048274.1
5-54415.8573353847.959775.1543863.37-10435.42-35117.770.940.86-0.011-745.42
6-47794.4873373650.6810349.8262897.53-11964.94-51249.110.870.89-0.0085-654.72
7-39121.1273353847.9511879.0363792.7-11970.72-45681.660.990.91-0.0067-535.91
850437.7273403354.7912498.6558845.7-13621.47-45672.410.921.110.0081690.93
972930.9873433058.912585.4863839.81-15608.16-49568.80.811.160.011999.05
1092295.9173413256.1613034.5164075.38-13816.22-49678.80.941.210.0141264.33
Although, strategy looks good but profit factor on day 5 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
atrnil25.9817211283364743.3717167.8149551.59-9487.86-24902.321.811.390.0292073.64
atrtrail24.1712866283354842.1713816.0649551.59-7393.74-24902.321.871.360.0241550.15
atrtrail35.1351281.7183354842.1711605.1874327.39-7393.74-24902.321.571.140.0093617.85
atrnil310.1620738.5282226026.8326245.4774327.39-9277.7-24902.322.831.040.0029252.91
atrtrail-15.654953.3883354842.1710281.5249743.29-7393.74-24902.321.391.010.00159.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 43.37%, which is not acceptable. Avoid this strategy. Average return per trade is 1.04%, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019406 Feb 2019 (-2.51%), 22 Feb 2019 (5.18%), 21 May 2019 (5.38%), 09 Aug 2019 (-3.14%)
2018305 Mar 2018 (-2.36%), 13 Mar 2018 (4.77%), 25 Oct 2018 (8.46%)
2017104 Oct 2017 (4.15%)
2016425 Jan 2016 (-3.16%), 04 Oct 2016 (-2.35%), 01 Nov 2016 (4.26%), 06 Dec 2016 (6.42%)
2015209 Jan 2015 (4.58%), 11 May 2015 (6.06%)
2014523 Jan 2014 (-2.48%), 03 Feb 2014 (-2.63%), 30 Oct 2014 (-2.74%), 12 Nov 2014 (5.44%), 24 Dec 2014 (-2.74%)
2013607 Feb 2013 (-2.13%), 08 Feb 2013 (-2.25%), 04 Mar 2013 (4.91%), 31 Jul 2013 (-3.14%), 13 Aug 2013 (-3.29%), 05 Sep 2013 (8.05%)
2012311 Jan 2012 (-3.58%), 20 Mar 2012 (6.82%), 29 May 2012 (-2.86%)
2011401 Mar 2011 (-4.82%), 13 Jun 2011 (-2.85%), 02 Dec 2011 (-3.76%), 22 Dec 2011 (-4.15%)
2010217 Feb 2010 (-3.83%), 26 Feb 2010 (7.55%)
2008804 Feb 2008 (-7.72%), 18 Feb 2008 (-6.57%), 21 Apr 2008 (10.22%), 19 Jun 2008 (-4.02%), 09 Jul 2008 (-6.74%), 04 Nov 2008 (-11.49%), 24 Nov 2008 (-12.45%), 08 Dec 2008 (24.78%)
2007520 Mar 2007 (-5.16%), 10 Apr 2007 (9.59%), 28 May 2007 (5.82%), 28 Aug 2007 (9.44%), 30 Nov 2007 (9.24%)
2005225 Apr 2005 (-3.79%), 03 May 2005 (7.12%)
2004526 May 2004 (-6.47%), 08 Jun 2004 (-6.04%), 28 Jun 2004 (9.58%), 11 Aug 2004 (-3.87%), 31 Aug 2004 (6.88%)
2003117 Feb 2003 (6.01%)
2002407 May 2002 (-3.83%), 03 Jun 2002 (-5.59%), 14 Aug 2002 (-4.63%), 31 Oct 2002 (5.21%)
2001629 Mar 2001 (-6.86%), 30 May 2001 (-4.44%), 10 Jul 2001 (-5.08%), 03 Aug 2001 (10.69%), 07 Sep 2001 (-4.35%), 01 Oct 2001 (11.9%)
2000628 Mar 2000 (-9.55%), 06 Apr 2000 (-9.94%), 25 May 2000 (-9.14%), 26 May 2000 (19.51%), 16 Aug 2000 (11.87%), 02 Nov 2000 (10.91%)
1998518 Feb 1998 (9.69%), 17 Jun 1998 (-6.63%), 13 Aug 1998 (12.79%), 06 Nov 1998 (10.3%), 09 Dec 1998 (7.72%)
1997411 Sep 1997 (-3.93%), 10 Nov 1997 (-3.66%), 25 Nov 1997 (-4.19%), 22 Dec 1997 (8.27%)
1996329 Jan 1996 (9.46%), 11 Oct 1996 (-3.19%), 07 Nov 1996 (-2.9%)



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