Study: Sell MCDOWELL-N when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when 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 MCDOWELL-N 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
122734.26146786853.423819.1613073.91-4046.48-23259.20.941.080.007155.71
2-122246146668045.215173.2319714.61-5795.99-31024.810.890.74-0.026-837.3
3-244466146618541.786582.9626089.75-7600.32-28628.630.870.62-0.043-1674.43
4-329530146628442.477077.6225993.42-9146.94-33770.780.770.57-0.049-2257.06
5-351053146677945.897208.222110.98-10556.99-38082.540.680.58-0.047-2404.47
6-400726146687846.588175.7723817.93-12265.1-47051.530.670.58-0.047-2744.7
7-516063146658144.529048.2732556.17-13632.1-59268.60.660.53-0.055-3534.68
8-565807145648144.149497.4425407.73-14489.42-74873.90.660.52-0.057-3902.12
9-422430145697647.5910007.1754769.66-14643.75-76844.260.680.62-0.042-2913.31
10-329784145667945.5211516.2877566.93-13795.68-69955.860.830.7-0.031-2274.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.08. 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 53.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.078%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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-1122734.26146786853.423819.1613073.91-4046.48-23259.20.941.080.007155.71
atrtrail24.34-1441671765911733.5210544.3939708.37-6549.45-23225.061.610.81-0.02-819.13
atrtrail34.82-1655931745911533.919854.6259562.56-6495.79-23225.061.520.78-0.021-951.68
atrnil39.11-2584091593212720.1326744.5659562.56-8773.5-23225.063.050.77-0.025-1625.21
atrnil26.42-2748121734912428.3217234.2139708.37-9026.52-23225.061.910.75-0.03-1588.51
atrtrail-15.09-1855351745911533.919516.6157428.28-6495.79-23225.061.470.75-0.024-1066.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 53.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.078%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, X=1, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019911 Feb 2019 (-0.17%), 25 Mar 2019 (0.62%), 03 May 2019 (1.68%), 17 Jun 2019 (0.77%), 10 Jul 2019 (-1.03%), 24 Jul 2019 (-0.57%), 13 Aug 2019 (-0.83%), 17 Sep 2019 (-0.74%), 04 Oct 2019 (-0.11%)
2018503 Jan 2018 (-2.52%), 07 Mar 2018 (2.22%), 21 Jun 2018 (-4.21%), 04 Sep 2018 (1.4%), 22 Nov 2018 (-1.65%)
2017716 Feb 2017 (-2.03%), 16 Jun 2017 (-0.76%), 24 Jul 2017 (1.72%), 07 Sep 2017 (0.1%), 22 Sep 2017 (0.81%), 14 Nov 2017 (1.3%), 30 Nov 2017 (2.23%)
20161027 Jan 2016 (0.31%), 11 Feb 2016 (-0.77%), 10 Mar 2016 (-1.53%), 05 Apr 2016 (2.13%), 28 Apr 2016 (-1.39%), 19 May 2016 (-0.02%), 15 Jul 2016 (-1.49%), 01 Aug 2016 (-0.21%), 23 Sep 2016 (0.43%), 17 Oct 2016 (-2.45%)
2015803 Feb 2015 (-0.21%), 13 Mar 2015 (-0.18%), 20 Apr 2015 (2.3%), 28 May 2015 (-6.12%), 17 Jun 2015 (1.07%), 04 Aug 2015 (-4.05%), 24 Nov 2015 (4.65%), 30 Dec 2015 (-2.29%)
2014817 Jan 2014 (-1.53%), 07 Apr 2014 (0.66%), 30 Apr 2014 (-0.24%), 11 Jun 2014 (0.54%), 05 Sep 2014 (0.44%), 08 Oct 2014 (-1.8%), 10 Nov 2014 (-1.06%), 24 Nov 2014 (1.71%)
2013920 Feb 2013 (1.94%), 21 Mar 2013 (2.54%), 15 May 2013 (-0.55%), 29 May 2013 (0.79%), 26 Jul 2013 (2.12%), 26 Sep 2013 (-6.61%), 17 Oct 2013 (-2.72%), 10 Dec 2013 (0.21%), 26 Dec 2013 (-0.62%)
2012713 Feb 2012 (-3.98%), 24 Apr 2012 (-8.92%), 26 Jul 2012 (3.25%), 10 Aug 2012 (-11.63%), 07 Sep 2012 (-1.1%), 15 Oct 2012 (-4.24%), 06 Dec 2012 (1.51%)
2011906 Jan 2011 (3.06%), 18 Mar 2011 (0.33%), 19 Apr 2011 (-1.61%), 25 May 2011 (0.93%), 21 Jul 2011 (-3.54%), 25 Aug 2011 (4.77%), 16 Sep 2011 (2.25%), 02 Nov 2011 (1.17%), 14 Dec 2011 (4.04%)
2010614 Jan 2010 (3.86%), 16 Mar 2010 (3.31%), 20 May 2010 (2.52%), 06 Jul 2010 (-0.27%), 11 Aug 2010 (0.89%), 23 Sep 2010 (-1.62%)
2009609 Jan 2009 (-2.33%), 24 Feb 2009 (-1.88%), 28 Apr 2009 (1.19%), 07 Aug 2009 (4.63%), 07 Sep 2009 (2.18%), 14 Dec 2009 (4.71%)
2008911 Jan 2008 (-4.1%), 13 Mar 2008 (2.02%), 29 Apr 2008 (2.41%), 03 Jun 2008 (0.64%), 30 Jun 2008 (3.64%), 15 Jul 2008 (-0.21%), 20 Aug 2008 (-0.21%), 05 Sep 2008 (-0.34%), 24 Dec 2008 (1.78%)
20071112 Feb 2007 (6.54%), 27 Apr 2007 (-3.09%), 06 Jun 2007 (0.48%), 05 Jul 2007 (0.01%), 27 Jul 2007 (-5.54%), 16 Aug 2007 (0.21%), 26 Sep 2007 (2.02%), 18 Oct 2007 (3.22%), 05 Nov 2007 (3.13%), 21 Nov 2007 (0.67%), 13 Dec 2007 (-1.88%)
2006906 Feb 2006 (0.69%), 24 Feb 2006 (-2.55%), 22 Mar 2006 (-1.02%), 13 Apr 2006 (3.67%), 23 Aug 2006 (0.54%), 25 Sep 2006 (-0.22%), 16 Nov 2006 (-3.25%), 11 Dec 2006 (4.52%), 29 Dec 2006 (-0.5%)
2005728 Mar 2005 (4.72%), 18 Apr 2005 (-0.97%), 27 May 2005 (-0.27%), 08 Aug 2005 (2.0%), 23 Sep 2005 (-5.19%), 07 Oct 2005 (0.84%), 22 Nov 2005 (-0.19%)
2004617 Mar 2004 (0.09%), 28 Apr 2004 (0.69%), 23 Jun 2004 (-2.08%), 24 Aug 2004 (1.82%), 16 Sep 2004 (-0.14%), 15 Dec 2004 (-2.59%)
20031107 Jan 2003 (-0.24%), 23 Jan 2003 (2.6%), 06 Mar 2003 (3.13%), 03 Jun 2003 (-1.97%), 24 Jun 2003 (-1.05%), 09 Jul 2003 (1.91%), 29 Aug 2003 (-1.95%), 19 Sep 2003 (1.22%), 20 Oct 2003 (2.74%), 21 Nov 2003 (-2.1%), 16 Dec 2003 (0.15%)
2002910 Jan 2002 (4.17%), 28 Jan 2002 (1.97%), 28 Feb 2002 (-2.04%), 19 Apr 2002 (0.66%), 27 Jun 2002 (-2.3%), 16 Jul 2002 (2.06%), 16 Sep 2002 (0.33%), 25 Oct 2002 (1.9%), 17 Dec 2002 (0.47%)



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