Study: Sell MCDOWELL-N when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-40465.4682404248.783614.919430.17-4406.23-23259.20.820.78-0.021-493.48
2-19007482354742.683235.2111061.43-6453.32-31024.810.50.37-0.078-2317.97
3-27011282364643.94523.4312351.15-9412.07-28628.630.480.38-0.087-3294.05
4-37377182295335.376593.4114009.7-10659.99-33770.780.620.34-0.096-4558.18
5-32981182364643.97329.7530139.82-12906.13-38082.540.570.44-0.069-4022.08
6-37906682354742.687454.139150.86-13616.16-43351.960.550.41-0.074-4622.76
7-46380682354742.687989.4525493.82-15817.81-59268.60.510.38-0.083-5656.17
8-47444382325039.029732.8128318.22-15717.86-74873.90.620.4-0.078-5785.89
9-37344182354742.689545.8532136.45-15054.17-76844.260.630.47-0.063-4554.16
10-34151282325039.0211654.2333393.18-14288.95-69955.860.820.52-0.057-4164.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.78. 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 48.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.

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-11-40465.4682404248.783614.919430.17-4406.23-23259.20.820.78-0.021-493.48
atrtrail34.5-12087698277127.5511256.4639819.15-5983.11-14929.371.880.72-0.028-1233.43
atrtrail24.15-12432598277127.5511128.7126546.1-5983.11-14929.371.860.71-0.033-1268.62
atrtrail-14.76-15566698277127.559967.9447147.15-5983.11-14929.371.670.63-0.04-1588.43
atrnil26.1-25819498247424.4916303.0426546.1-8776.58-15560.841.860.6-0.055-2634.64
atrnil38.22-34696297148314.4326205.6739819.15-8600.5-15560.843.050.51-0.066-3576.93

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 48.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, X=1, Profit Factor:0.781

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Jul 2019 (-3.73%), 25 Jul 2019 (-1.68%), 14 Aug 2019 (-0.17%), 18 Sep 2019 (0.54%)
2018303 Jan 2018 (-2.52%), 22 Jun 2018 (1.06%), 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%)
2016118 Oct 2016 (0.9%)
2015403 Feb 2015 (-0.21%), 13 Mar 2015 (-0.18%), 29 May 2015 (1.58%), 05 Aug 2015 (1.6%)
2014617 Jan 2014 (-1.53%), 07 Apr 2014 (0.66%), 30 Apr 2014 (-0.24%), 11 Jun 2014 (0.54%), 10 Nov 2014 (-1.06%), 24 Nov 2014 (1.71%)
2013521 Mar 2013 (2.54%), 15 May 2013 (-0.55%), 29 May 2013 (0.79%), 26 Sep 2013 (-6.61%), 17 Oct 2013 (-2.72%)
2012714 Feb 2012 (-1.96%), 24 Apr 2012 (-8.92%), 26 Jul 2012 (3.25%), 10 Aug 2012 (-11.63%), 07 Sep 2012 (-1.1%), 15 Oct 2012 (-4.24%), 06 Dec 2012 (1.51%)
2011122 Jul 2011 (-0.71%)
2010514 Jan 2010 (3.86%), 16 Mar 2010 (3.31%), 06 Jul 2010 (-0.27%), 11 Aug 2010 (0.89%), 23 Sep 2010 (-1.62%)
2009328 Apr 2009 (1.19%), 07 Sep 2009 (2.18%), 14 Dec 2009 (4.71%)
2008314 Jan 2008 (-1.46%), 05 Sep 2008 (-0.34%), 24 Dec 2008 (1.78%)
2007827 Apr 2007 (-3.09%), 06 Jun 2007 (0.48%), 05 Jul 2007 (0.01%), 27 Jul 2007 (-5.54%), 26 Sep 2007 (2.02%), 18 Oct 2007 (3.22%), 05 Nov 2007 (3.13%), 13 Dec 2007 (-1.88%)
2006906 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%), 16 Nov 2006 (-3.25%), 11 Dec 2006 (4.52%), 29 Dec 2006 (-0.5%)
2005628 Mar 2005 (4.72%), 18 Apr 2005 (-0.97%), 27 May 2005 (-0.27%), 08 Aug 2005 (2.0%), 23 Sep 2005 (-5.19%), 07 Oct 2005 (0.84%)
2004324 Aug 2004 (1.82%), 16 Sep 2004 (-0.14%), 15 Dec 2004 (-2.59%)
2003603 Jun 2003 (-1.97%), 24 Jun 2003 (-1.05%), 09 Jul 2003 (1.91%), 01 Sep 2003 (0.21%), 21 Nov 2003 (-2.1%), 16 Dec 2003 (0.15%)
2002327 Jun 2002 (-2.3%), 16 Jul 2002 (2.06%), 17 Dec 2002 (0.47%)



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