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

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when there is Bearish 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: 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
113039.89683434503763.779430.17-3380.25-17838.161.111.110.0092191.76
2-85736.1168323647.065011.1915285.97-6835.95-31024.810.730.65-0.036-1260.83
3-16115868254336.767349.9226089.75-8021.06-28617.840.920.53-0.057-2369.96
4-29460868234533.827935.9825993.42-10603.02-33770.780.750.38-0.084-4332.48
5-35165268293942.656299.6519226.14-13701.08-36869.480.460.34-0.092-5171.36
6-42234668254336.767805.5123817.93-14360.08-47051.530.540.32-0.097-6210.97
7-50413468244435.297053.9713939.69-15305.2-59268.60.460.25-0.11-7413.73
8-48688668254336.767901.625314.18-15916.88-74873.90.50.29-0.1-7160.09
9-41024268293942.658399.9932136.45-16765.18-76844.260.50.37-0.082-6032.97
10-41372768274139.719711.5633393.18-16486.31-69955.860.590.39-0.081-6084.21

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.11. 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 0.096%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0092, 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.

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-1113039.89683434503763.779430.17-3380.25-17838.161.111.110.0092191.76
atrnil38.56-17421878146417.9527847.3238704.82-8813.75-14929.373.160.69-0.036-2233.56
atrnil26.36-18460081216025.9317267.7925803.21-9120.39-14929.371.890.66-0.045-2279.01
atrtrail23.98-17575881225927.169732.5725803.21-6608.04-14929.371.470.55-0.057-2169.85
atrtrail34.31-19600181225927.168812.4234836.35-6608.04-14929.371.330.5-0.063-2419.77
atrtrail-14.38-23180781225927.167184.8622408.95-6608.04-14929.371.090.41-0.089-2861.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 0.096%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0092, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, X=1, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Feb 2019 (-0.17%)
2018303 Jan 2018 (-2.52%), 07 Mar 2018 (2.22%), 22 Nov 2018 (-1.65%)
2017516 Feb 2017 (-2.03%), 16 Jun 2017 (-0.76%), 24 Jul 2017 (1.72%), 14 Nov 2017 (1.3%), 30 Nov 2017 (2.23%)
2016327 Jan 2016 (0.31%), 11 Feb 2016 (-0.77%), 26 Sep 2016 (-0.14%)
2015403 Feb 2015 (-0.21%), 13 Mar 2015 (-0.18%), 24 Nov 2015 (4.65%), 30 Dec 2015 (-2.29%)
2014307 Apr 2014 (0.66%), 30 Apr 2014 (-0.24%), 10 Nov 2014 (-1.06%)
2013215 May 2013 (-0.55%), 29 May 2013 (0.79%)
2012424 Apr 2012 (-8.92%), 26 Jul 2012 (3.25%), 15 Oct 2012 (-4.24%), 06 Dec 2012 (1.51%)
2011118 Mar 2011 (0.33%)
2010416 Mar 2010 (3.31%), 21 May 2010 (-0.82%), 11 Aug 2010 (0.89%), 23 Sep 2010 (-1.62%)
2009207 Aug 2009 (4.63%), 14 Dec 2009 (4.71%)
2008413 Mar 2008 (2.02%), 30 Jun 2008 (3.64%), 15 Jul 2008 (-0.21%), 20 Aug 2008 (-0.21%)
2007506 Jun 2007 (0.48%), 05 Jul 2007 (0.01%), 27 Jul 2007 (-5.54%), 16 Aug 2007 (0.21%), 26 Sep 2007 (2.02%)
2006606 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%)
2005628 Mar 2005 (4.72%), 18 Apr 2005 (-0.97%), 27 May 2005 (-0.27%), 23 Sep 2005 (-5.19%), 07 Oct 2005 (0.84%), 22 Nov 2005 (-0.19%)
2004428 Apr 2004 (0.69%), 24 Aug 2004 (1.82%), 16 Sep 2004 (-0.14%), 15 Dec 2004 (-2.59%)
2003807 Jan 2003 (-0.24%), 23 Jan 2003 (2.6%), 03 Jun 2003 (-1.97%), 24 Jun 2003 (-1.05%), 09 Jul 2003 (1.91%), 20 Oct 2003 (2.74%), 21 Nov 2003 (-2.1%), 16 Dec 2003 (0.15%)
2002319 Apr 2002 (0.66%), 16 Jul 2002 (2.06%), 28 Oct 2002 (-4.85%)



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