Study: Buy MCDOWELL-N when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when there is bullish divergence in RSI 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
130861.071210283.334031.8210010.65-4728.56-5323.780.854.260.132571.76
273449.571211191.677606.4820494.62-10221.66-10221.660.748.190.176120.8
379705.8612937511601.3632706.87-8235.47-17481.371.414.230.126642.15
444720.191293758732.1518439.72-11289.73-20075.50.772.320.0843726.68
557652.112937511027.9232729.01-13866.39-21043.460.82.390.084804.34
677167.6312937513677.547051.53-15309.97-28290.960.892.680.0796430.64
768490.3127558.3318104.148463.36-11647.68-42956.711.552.180.0615707.52
811867812937520202.1448429.17-21046.96-50809.860.962.880.0899889.87
915744612937524330.6559046.28-20509.88-49533.721.193.560.1113120.52
1017745212937525342.5266858.35-16876.83-41994.71.54.50.1314787.68

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 8.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 91.67%, which is excellent. Average return per trade is 3.06%, which is very good. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MCDOWELL-N Performance, X=2, Profit Factor:8.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Oct 2018 (-5.11%)
2017127 Apr 2017 (4.58%)
2016201 Feb 2016 (3.07%), 24 Nov 2016 (3.59%)
2014108 Jul 2014 (0.13%)
2008215 Jul 2008 (0.15%), 20 Oct 2008 (9.1%)
2006202 Jun 2006 (1.88%), 19 Jun 2006 (10.25%)
2004103 Feb 2004 (0.81%)
2002231 May 2002 (7.92%), 30 Sep 2002 (0.35%)

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-1273449.571211191.677606.4820494.62-10221.66-10221.660.748.190.176120.8
atrtrail-19.54109447138561.5419090.1455904.57-8654.76-16464.642.213.530.0998419.02
atrtrail37.3185270.09138561.5416067.9842336.21-8654.76-16464.641.862.970.0916559.24
atrtrail26.7763953.71138561.5413403.4429573.2-8654.76-16464.641.552.480.0824919.52
atrnil311.77121932136746.1536541.7751414.15-13902.59-30010.282.632.250.0839379.42
atrnil29.6248848.91136746.1524361.1834276.1-13902.59-30010.281.751.50.0433757.61

In the table above, row 1 shows the best exit criterion. Profit factor is 8.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 91.67%, which is excellent. Average return per trade is 3.06%, which is very good. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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