Study: Buy MCDOWELL-N when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when RSI is above 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 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. 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
154918.46106545250.944974.7722059.77-4109.98-19750.641.211.260.019518.1
21377791065353508476.5672872.08-5876.96-40157.281.441.440.0251299.8
3191921106574953.7710305.7368621.83-8071.55-36439.771.281.490.0311810.57
4153233106574953.7710823.475484.76-9463.29-36613.391.141.330.0231445.59
5225511106555151.8912708.566671.63-9283.46-36909.561.371.480.0332127.46
622422810653535013697.4360828.46-9466.72-40484.091.451.450.0322115.36
717283910653535014364.0462309.72-11102.92-51943.011.291.290.0221630.56
8133982106456142.4517173.8869455.51-10472.83-53781.341.641.210.0161263.98
9204940106565052.8314495.4472284.04-12136.08-50084.261.191.340.0251933.4
10384418105594656.1916816.0279943.43-13211.47-49583.821.271.630.0413661.12
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
atrtrail-15.41215299116476940.5214964.18150432-7072.71-16293.352.121.440.0241856.03
atrnil38.14251732111367532.4325681.8343088.98-8970.85-22000.172.861.370.0322267.86
atrnil25.48170300123497439.8417018.8628725.99-8967.89-22000.171.91.260.0251384.55
atrtrail24.23112416123507340.6512621.3728725.99-7104.83-16293.351.781.220.019913.95
atrtrail34.8679280.36118487040.6811970.6433660.91-7075.86-16293.351.691.160.014671.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 40.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
MCDOWELL-N Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019811 Apr 2019 (-1.22%), 20 May 2019 (-2.71%), 25 Jun 2019 (3.28%), 15 Jul 2019 (-0.34%), 08 Aug 2019 (-1.92%), 28 Aug 2019 (1.41%), 23 Sep 2019 (0.67%), 01 Nov 2019 (-0.84%)
2018305 Jan 2018 (-2.62%), 29 May 2018 (-3.16%), 15 Oct 2018 (-4.61%)
2017304 Jul 2017 (0.57%), 30 Aug 2017 (1.85%), 20 Nov 2017 (1.05%)
2016616 Mar 2016 (-1.32%), 03 May 2016 (6.51%), 29 Jun 2016 (6.3%), 28 Jul 2016 (-2.82%), 30 Sep 2016 (-2.9%), 03 Oct 2016 (2.26%)
2015608 Jan 2015 (21.19%), 03 Mar 2015 (3.17%), 18 Mar 2015 (-2.02%), 08 Apr 2015 (-3.65%), 14 May 2015 (-0.78%), 15 Jun 2015 (-3.7%)
2014601 Jan 2014 (4.13%), 15 Apr 2014 (-2.3%), 23 May 2014 (0.93%), 16 Sep 2014 (-1.46%), 13 Oct 2014 (-1.73%), 02 Dec 2014 (-3.05%)
20131001 Feb 2013 (1.78%), 08 Mar 2013 (1.91%), 12 Apr 2013 (7.84%), 22 May 2013 (-3.19%), 23 May 2013 (2.69%), 03 Jul 2013 (7.64%), 30 Sep 2013 (-4.05%), 14 Oct 2013 (0.66%), 22 Nov 2013 (0.19%), 19 Dec 2013 (-1.64%)
2012814 Mar 2012 (-7.64%), 26 Apr 2012 (-5.5%), 27 Apr 2012 (-3.97%), 07 Jun 2012 (1.36%), 02 Aug 2012 (-2.73%), 14 Aug 2012 (5.54%), 24 Sep 2012 (15.16%), 08 Nov 2012 (29.36%)
2011230 May 2011 (-2.86%), 09 Nov 2011 (-4.17%)
2010606 Jan 2010 (-3.85%), 08 Feb 2010 (1.67%), 03 May 2010 (-3.29%), 31 May 2010 (-2.92%), 13 Jul 2010 (5.07%), 01 Sep 2010 (-2.91%)
2009706 Jan 2009 (-6.81%), 07 Jan 2009 (-7.9%), 09 Feb 2009 (-6.13%), 19 May 2009 (3.73%), 16 Jul 2009 (-0.96%), 27 Aug 2009 (-5.24%), 22 Sep 2009 (-2.06%)
2008501 Jan 2008 (-0.21%), 19 Feb 2008 (-4.9%), 03 Apr 2008 (9.44%), 29 May 2008 (-1.41%), 28 Aug 2008 (-3.75%)
20071224 Jan 2007 (2.98%), 03 May 2007 (-2.33%), 17 May 2007 (17.88%), 26 Jun 2007 (-1.1%), 23 Jul 2007 (-4.51%), 24 Jul 2007 (-5.64%), 31 Jul 2007 (-2.85%), 29 Aug 2007 (5.09%), 16 Oct 2007 (-5.28%), 29 Oct 2007 (-5.56%), 19 Nov 2007 (-6.11%), 30 Nov 2007 (-5.91%)
2006813 Feb 2006 (-3.13%), 28 Feb 2006 (3.69%), 08 Mar 2006 (4.88%), 24 Mar 2006 (-4.15%), 06 Sep 2006 (-1.12%), 23 Oct 2006 (17.76%), 06 Dec 2006 (-4.27%), 19 Dec 2006 (-3.95%)
2005924 Jan 2005 (9.86%), 05 Apr 2005 (1.81%), 22 Apr 2005 (-4.33%), 20 May 2005 (0.23%), 29 Jun 2005 (-4.47%), 26 Aug 2005 (-1.7%), 28 Sep 2005 (-0.56%), 08 Nov 2005 (-3.56%), 22 Dec 2005 (11.02%)
2004301 Apr 2004 (10.7%), 27 Aug 2004 (3.61%), 02 Nov 2004 (75.22%)
2003901 Jan 2003 (-4.36%), 13 Jan 2003 (-3.77%), 10 Jun 2003 (5.64%), 02 Jul 2003 (-4.35%), 12 Aug 2003 (1.47%), 10 Sep 2003 (-3.37%), 06 Oct 2003 (-4.14%), 05 Nov 2003 (16.21%), 27 Nov 2003 (0.02%)
2002507 Jan 2002 (-8.15%), 18 Jan 2002 (-7.57%), 18 Mar 2002 (-6.48%), 05 Jun 2002 (4.98%), 01 Jul 2002 (11.24%)



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