Study: Buy MCDOWELL-N when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when there is Bullish 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: 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
137831.31663333505431.2227698.81-4284.81-19750.641.271.270.02573.2
21330686633335010338.5372872.08-6306.16-23057.221.641.640.0352016.18
31786886633335012455.7968621.83-7041-22502.351.771.770.0442707.39
419220366382857.5812539.5175484.76-10153.5-29629.381.231.680.0412912.17
527025066363054.5515519.6566671.63-9615.24-37063.781.611.940.0564094.7
624487166372956.0615419.560828.46-11229.32-36973.531.371.750.053710.17
727460866363054.5516649.8362309.72-10826.2-30633.271.541.850.0544160.72
831464266353153.0318266.6369455.51-10473.86-34935.321.741.970.0594767.31
930401166323448.4818972.3472284.04-8914.82-33723.232.1320.0594606.23
1034496666382857.5816497.1479943.43-10068.75-38108.021.642.220.0675226.76
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MCDOWELL-N Performance, X=10, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Feb 2019 (-6.44%), 21 Feb 2019 (4.09%)
2018505 Jan 2018 (-6.05%), 16 Feb 2018 (-1.66%), 29 May 2018 (1.23%), 27 Jul 2018 (1.72%), 12 Oct 2018 (2.9%)
2017325 Apr 2017 (2.13%), 04 Jul 2017 (8.22%), 20 Nov 2017 (2.02%)
2016522 Jan 2016 (-5.49%), 08 Feb 2016 (-4.81%), 22 Feb 2016 (-1.69%), 22 Aug 2016 (6.41%), 28 Nov 2016 (0.09%)
2015404 Mar 2015 (-0.04%), 19 Mar 2015 (-4.36%), 14 Sep 2015 (-5.23%), 24 Dec 2015 (-7.35%)
2014215 Apr 2014 (-2.76%), 16 Sep 2014 (1.46%)
2013222 May 2013 (1.05%), 02 Sep 2013 (10.51%)
2012506 Jan 2012 (21.35%), 14 Mar 2012 (-2.17%), 26 Apr 2012 (-19.05%), 07 Jun 2012 (6.17%), 08 Nov 2012 (39.97%)
2011225 Mar 2011 (6.09%), 29 Jun 2011 (9.6%)
2010231 May 2010 (0.4%), 01 Dec 2010 (0.74%)
2009106 Feb 2009 (-7.52%)
2008618 Feb 2008 (4.44%), 02 Apr 2008 (18.94%), 26 Jun 2008 (-11.55%), 11 Jul 2008 (11.1%), 29 Aug 2008 (-2.47%), 28 Oct 2008 (4.83%)
2007314 Mar 2007 (10.79%), 26 Jun 2007 (-3.7%), 23 Jul 2007 (-4.66%)
2006613 Feb 2006 (-0.9%), 28 Feb 2006 (12.27%), 24 Mar 2006 (18.35%), 20 Jun 2006 (-5.54%), 06 Sep 2006 (7.9%), 23 Oct 2006 (24.64%)
2005624 Jan 2005 (8.59%), 05 Apr 2005 (5.95%), 22 Apr 2005 (-10.47%), 28 Sep 2005 (-1.35%), 08 Nov 2005 (-2.91%), 22 Dec 2005 (15.11%)
2004312 Feb 2004 (6.82%), 08 Jun 2004 (-3.97%), 27 Aug 2004 (5.51%)
2003502 Jan 2003 (0.35%), 10 Jun 2003 (3.13%), 02 Jul 2003 (-7.53%), 07 Oct 2003 (-5.23%), 27 Nov 2003 (9.53%)
2002407 Jan 2002 (6.01%), 04 Jun 2002 (13.03%), 20 Aug 2002 (-3.51%), 04 Oct 2002 (-2.55%)

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
atrnil39.9727743673254834.2530016.2943679.84-9853.56-29511.093.051.590.0463800.5
atrtrail-15.9616731174284637.8416692.1158727.78-6523.22-16293.352.561.560.0362260.96
atrtrail24.6817278976284836.8417251.5759022.19-6463.65-16293.352.671.560.0392273.54
atrtrail35.3616234374284637.8416514.6943679.84-6523.22-16293.352.531.540.0372193.83
atrnil26.1316204176294738.1620900.459022.19-9448.31-23585.922.211.360.0322132.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 34.25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Feb 2019 (-3.24%), 08 Feb 2019 (-3.54%), 21 Feb 2019 (-3.61%)
2018505 Jan 2018 (-2.62%), 16 Feb 2018 (-4.09%), 29 May 2018 (-3.25%), 27 Jul 2018 (-3.88%), 12 Oct 2018 (14.6%)
2017325 Apr 2017 (-2.87%), 04 Jul 2017 (-3.24%), 20 Nov 2017 (9.24%)
2016601 Jan 2016 (-2.87%), 22 Jan 2016 (-3.95%), 05 Feb 2016 (-5.15%), 19 Feb 2016 (16.11%), 22 Aug 2016 (10.7%), 28 Nov 2016 (-4.06%)
2015404 Mar 2015 (-3.65%), 18 Mar 2015 (-4.09%), 14 Sep 2015 (-3.74%), 24 Dec 2015 (-2.94%)
2014215 Apr 2014 (-3.08%), 16 Sep 2014 (-2.92%)
2013322 May 2013 (-3.19%), 23 May 2013 (-3.56%), 02 Sep 2013 (15.82%)
2012606 Jan 2012 (20.99%), 14 Mar 2012 (-7.64%), 26 Apr 2012 (-5.5%), 27 Apr 2012 (-5.82%), 07 Jun 2012 (19.28%), 08 Nov 2012 (15.92%)
2011225 Mar 2011 (12.41%), 29 Jun 2011 (10.41%)
2010231 May 2010 (-4.42%), 01 Dec 2010 (-4.45%)
2009106 Feb 2009 (-11.79%)
2008718 Feb 2008 (-7.26%), 02 Apr 2008 (17.8%), 26 Jun 2008 (-5.95%), 11 Jul 2008 (-6.76%), 18 Jul 2008 (21.84%), 29 Aug 2008 (-3.97%), 28 Oct 2008 (-14.76%)
2007514 Mar 2007 (18.1%), 26 Jun 2007 (15.45%), 23 Jul 2007 (-4.51%), 24 Jul 2007 (-5.64%), 31 Jul 2007 (-5.71%)
2006613 Feb 2006 (-3.79%), 28 Feb 2006 (11.71%), 24 Mar 2006 (-4.15%), 20 Jun 2006 (-8.2%), 06 Sep 2006 (10.38%), 23 Oct 2006 (13.24%)
2005624 Jan 2005 (21.54%), 05 Apr 2005 (14.16%), 22 Apr 2005 (-4.64%), 28 Sep 2005 (-6.71%), 08 Nov 2005 (-6.32%), 22 Dec 2005 (10.69%)
2004312 Feb 2004 (16.86%), 08 Jun 2004 (-5.47%), 27 Aug 2004 (14.81%)
2003502 Jan 2003 (-4.45%), 10 Jun 2003 (11.5%), 02 Jul 2003 (-4.35%), 07 Oct 2003 (-4.22%), 27 Nov 2003 (14.83%)
2002407 Jan 2002 (-8.15%), 04 Jun 2002 (16.81%), 20 Aug 2002 (-4.9%), 04 Oct 2002 (-3.43%)



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