Study: Sell MCDOWELL-N when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when RSI is below 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 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
128350.2186483855.813665.2213073.91-3883.7-13838.050.941.190.016329.65
232396.5886394745.356560.719714.61-4754.7-24403.771.381.140.012376.7
319823.4686404646.517780.626089.75-6334.8-24556.031.231.070.006230.51
419475.5486473954.656836.2925993.42-7739.24-35427.070.881.060.0055226.46
521716.4186464053.497763.0122110.98-8384.55-38893.510.931.060.0056252.52
614813.8886483855.819088.0123817.93-11089.76-47051.530.821.040.0031172.25
7-23730.8586444251.1610453.8532556.17-11516.67-41297.710.910.95-0.0047-275.94
8-65275.3885444151.7610254.2728597.62-12596.67-40057.250.810.87-0.013-767.95
98973.3685473855.2911062.3354769.66-13446.21-41125.950.821.020.0016105.57
1010087885473855.2911884.7777566.93-12044.9-39704.20.991.220.0171186.8
Although, strategy looks good but profit factor on day 8 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
atrnil310.0511689682235928.0527706.7159562.56-8819.63-23225.063.141.220.0191425.56
atrtrail35.1215499.7993375639.7810949.6159562.56-6957.78-23225.061.571.040.0032166.66
atrtrail-15.5810459.5293375639.7810813.3857428.28-6957.78-23225.061.551.030.0022112.47
atrtrail24.556618.6694375739.3610998.5339708.37-7023.28-23225.061.571.020.001570.41
atrnil26.955994.5492316133.718286.0939708.37-9194.66-23225.061.991.010.001165.16

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 28.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Feb 2019 (-3.84%), 25 Mar 2019 (-2.91%), 17 Jun 2019 (-3.14%), 10 Jul 2019 (-2.94%), 13 Aug 2019 (-3.41%), 17 Sep 2019 (-2.74%)
2018407 Mar 2018 (-3.62%), 21 Jun 2018 (-2.87%), 28 Jun 2018 (10.48%), 04 Sep 2018 (10.23%)
2017207 Sep 2017 (-2.8%), 22 Sep 2017 (-2.95%)
20161006 Jan 2016 (8.68%), 27 Jan 2016 (-4.77%), 10 Mar 2016 (-5.17%), 11 Mar 2016 (-5.29%), 05 Apr 2016 (-3.96%), 19 May 2016 (-3.54%), 15 Jul 2016 (-2.8%), 01 Aug 2016 (9.58%), 23 Sep 2016 (-2.48%), 17 Oct 2016 (9.91%)
2015620 Apr 2015 (11.52%), 28 May 2015 (-4.46%), 17 Jun 2015 (-3.7%), 04 Aug 2015 (-3.28%), 24 Nov 2015 (10.19%), 30 Dec 2015 (-3.04%)
2014312 Jun 2014 (-1.59%), 05 Sep 2014 (-3.06%), 08 Oct 2014 (-3.04%)
2013520 Feb 2013 (-3.31%), 22 Mar 2013 (-3.69%), 26 Jul 2013 (10.65%), 10 Dec 2013 (-3.44%), 26 Dec 2013 (-3.09%)
2012213 Feb 2012 (-6.79%), 27 Jul 2012 (-5.13%)
2011906 Jan 2011 (12.87%), 18 Mar 2011 (-4.84%), 19 Apr 2011 (-3.73%), 25 May 2011 (-3.36%), 03 Jun 2011 (9.24%), 21 Jul 2011 (-3.61%), 25 Aug 2011 (12.77%), 02 Nov 2011 (-4.32%), 15 Nov 2011 (19.04%)
2010315 Jan 2010 (-3.92%), 17 Mar 2010 (10.65%), 20 May 2010 (11.03%)
2009409 Jan 2009 (29.78%), 24 Feb 2009 (-11.61%), 07 Aug 2009 (-6.18%), 08 Sep 2009 (-5.09%)
2008511 Jan 2008 (-5.5%), 13 Mar 2008 (-6.47%), 29 Apr 2008 (18.33%), 30 Jun 2008 (19.07%), 20 Aug 2008 (-4.86%)
2007412 Feb 2007 (13.54%), 16 Aug 2007 (-6.28%), 06 Nov 2007 (-7.75%), 21 Nov 2007 (-6.93%)
2006112 Dec 2006 (-5.0%)
2005209 Aug 2005 (-4.51%), 22 Nov 2005 (-6.06%)
2004317 Mar 2004 (-5.34%), 28 Apr 2004 (14.73%), 23 Jun 2004 (-5.01%)
2003607 Jan 2003 (-4.29%), 23 Jan 2003 (12.62%), 06 Mar 2003 (-3.8%), 29 Aug 2003 (-4.54%), 19 Sep 2003 (-4.48%), 20 Oct 2003 (-4.19%)
2002710 Jan 2002 (-8.63%), 28 Jan 2002 (25.17%), 17 Jul 2002 (17.36%), 16 Sep 2002 (11.18%), 25 Oct 2002 (-4.25%), 28 Oct 2002 (-4.77%), 18 Dec 2002 (-4.0%)



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