Study: Buy MCDOWELL-N when RSI is above 50 and 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 RSI is above 50 and 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
1-43044.3840152537.53974.5710393.7-4106.52-19750.640.970.58-0.047-1076.11
268541.38402020509236.8972872.08-5809.82-23057.221.591.590.031713.53
395422.814020205010874.668621.83-6103.46-22155.421.781.780.0412385.57
469651.1740211952.511629.5375484.76-9187.84-29629.381.271.40.0251741.28
515877140192147.517468.1166671.63-8243.93-23291.382.121.920.0533969.29
61429844020205016600.560828.46-9451.32-22859.591.761.760.0483574.59
714070840211952.517113.4262309.72-11509.12-31121.581.491.640.0433517.71
81760954018224521368.1569455.51-9478.72-36700.912.251.840.0514402.37
91530364020205018523.0572284.04-10871.26-37542.811.71.70.0443825.89
1018995840231757.517122.7579943.43-11992.09-41709.471.431.930.0534748.94
Although, strategy looks good but profit factor on day 1 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
atrnil38.814765944152934.0928794.1643088.98-9801.85-22000.172.941.520.0423355.88
atrnil25.5326614.2247173036.1718778.7528725.99-9754.15-22000.171.931.090.0094566.26
atrtrail24.2618815.9247173036.1713875.728725.99-7235.7-16293.351.921.090.0081400.34
atrtrail-15.2911525.5445172837.7812847.6158727.78-7388.71-16293.351.741.060.0045256.12
atrtrail35.07-10299.0245172837.7811563.8233660.91-7388.71-16293.351.570.95-0.0047-228.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. 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 34.09%, which is not acceptable. Avoid this strategy. Average return per trade is 1.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018305 Jan 2018 (-2.62%), 29 May 2018 (-3.25%), 15 Oct 2018 (-4.69%)
2017204 Jul 2017 (-3.24%), 20 Nov 2017 (9.24%)
2015204 Mar 2015 (-3.65%), 18 Mar 2015 (-4.09%)
2014215 Apr 2014 (-3.08%), 16 Sep 2014 (-2.92%)
2013222 May 2013 (-3.19%), 23 May 2013 (-3.56%)
2012514 Mar 2012 (-7.64%), 26 Apr 2012 (-5.5%), 27 Apr 2012 (-5.82%), 07 Jun 2012 (19.28%), 08 Nov 2012 (15.92%)
2010131 May 2010 (-4.42%)
2009109 Feb 2009 (-11.0%)
2008319 Feb 2008 (-6.85%), 03 Apr 2008 (16.83%), 29 Aug 2008 (-3.97%)
2007426 Jun 2007 (15.45%), 23 Jul 2007 (-4.51%), 24 Jul 2007 (-5.64%), 31 Jul 2007 (-5.71%)
2006513 Feb 2006 (-3.79%), 28 Feb 2006 (11.71%), 24 Mar 2006 (-4.15%), 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%)
2004127 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%)
2002207 Jan 2002 (-8.15%), 05 Jun 2002 (16.38%)



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