Study: Sell MOTHERSUMI when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MOTHERSUMI when RSI is below 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 MOTHERSUMI 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
1-71940.9697504751.553847.2115826.56-5623.43-39472.240.680.73-0.023-741.66
214036397475048.459950.81162830-6546.5-337501.521.430.0171447.04
315216.8197425543.310256.3161708-7555.42-44687.51.361.040.0018156.87
421364.7297494850.5210597.07162505-10372.75-375001.021.040.0024220.25
553859.5597504751.5510694.03163446-10230.67-312501.051.110.006555.25
6-70949.2897425543.312033.06163337-10478.87-34572.271.150.88-0.0076-731.44
7-36751.1697475048.4512412.69163482-12402.95-35988.210.94-0.0038-378.88
8-32166.8397475048.4513165.95162505-13019.33-443751.010.95-0.0032-331.62
99480.1297445345.3615278.19164423-12504.91-50722.731.221.010.0009297.73
10-11217896415542.7115206.3164676-13375.2-45390.621.140.85-0.011-1168.52
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
atrtrail-15.23-160754108337530.5613601.24172094-8127.93-17816.711.670.74-0.017-1488.46
atrnil26.19-214635107317628.9719199.6444656.45-10655.58-23394.971.80.73-0.03-2005.94
atrtrail24.24-202412110357531.8211689.2530710.43-8153.81-17816.711.430.67-0.037-1840.11
atrtrail34.66-276672108337530.5610088.5632810.57-8127.93-17816.711.240.55-0.054-2561.78
atrnil38.98-43191098148414.2930094.6566984.67-10157.56-23394.972.960.49-0.062-4407.25

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:0.736

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019403 Jan 2019 (-1.45%), 24 Apr 2019 (17.7%), 09 Jul 2019 (3.27%), 01 Oct 2019 (3.45%)
2018804 May 2018 (-2.61%), 25 Jun 2018 (0.33%), 18 Jul 2018 (-2.49%), 10 Aug 2018 (-0.25%), 23 Aug 2018 (-2.69%), 31 Aug 2018 (1.48%), 15 Nov 2018 (-7.3%), 10 Dec 2018 (-5.17%)
2017210 Aug 2017 (-2.99%), 27 Dec 2017 (-2.85%)
2016810 Feb 2016 (-1.3%), 07 Apr 2016 (-4.16%), 29 Apr 2016 (-3.89%), 24 May 2016 (-4.36%), 24 Jun 2016 (-3.19%), 11 Aug 2016 (-4.32%), 02 Nov 2016 (3.52%), 23 Dec 2016 (-2.5%)
2015602 Feb 2015 (0.85%), 25 Feb 2015 (-2.88%), 22 Apr 2015 (3.23%), 19 May 2015 (-1.26%), 11 Aug 2015 (11.68%), 22 Sep 2015 (-6.36%)
2013425 Feb 2013 (-2.84%), 26 Mar 2013 (5.82%), 25 Jul 2013 (-0.15%), 21 Aug 2013 (-1.57%)
2012304 Jun 2012 (-3.85%), 20 Jun 2012 (-3.44%), 25 Jul 2012 (2.5%)
2011610 Jan 2011 (3.41%), 09 Feb 2011 (-4.95%), 16 Jun 2011 (2.13%), 20 Sep 2011 (7.44%), 09 Nov 2011 (6.51%), 19 Dec 2011 (-0.5%)
2010422 Mar 2010 (0.56%), 23 Apr 2010 (5.31%), 09 Dec 2010 (-4.33%), 15 Dec 2010 (-4.13%)
2009224 Feb 2009 (1.54%), 10 Aug 2009 (-3.79%)
2008610 Mar 2008 (-8.91%), 17 Mar 2008 (-7.39%), 04 Apr 2008 (-4.7%), 29 May 2008 (-3.37%), 16 Jul 2008 (-6.05%), 19 Nov 2008 (4.24%)
2007605 Feb 2007 (0.72%), 28 Feb 2007 (-4.35%), 05 Mar 2007 (-1.96%), 08 Jun 2007 (-4.52%), 27 Jul 2007 (-1.57%), 08 Nov 2007 (-5.16%)
2006616 Jan 2006 (-1.42%), 17 Feb 2006 (-3.63%), 31 Jul 2006 (-4.82%), 30 Aug 2006 (-4.33%), 04 Sep 2006 (-4.89%), 18 Oct 2006 (-3.93%)
2005122 Sep 2005 (-5.63%)
2004325 Feb 2004 (-6.05%), 26 Feb 2004 (-6.33%), 12 Mar 2004 (86.05%)
2003431 Jan 2003 (-5.05%), 05 Mar 2003 (-4.34%), 16 Sep 2003 (-2.35%), 17 Oct 2003 (4.15%)
2002825 Feb 2002 (-2.76%), 08 Mar 2002 (-4.83%), 11 Mar 2002 (3.19%), 03 Apr 2002 (-6.16%), 04 Apr 2002 (-5.83%), 26 Apr 2002 (-4.32%), 15 May 2002 (4.79%), 24 Sep 2002 (2.54%)
2001515 Jan 2001 (-7.46%), 23 Mar 2001 (-4.04%), 12 Apr 2001 (13.35%), 29 May 2001 (-2.15%), 06 Aug 2001 (3.5%)
2000625 May 2000 (-4.81%), 30 May 2000 (-4.55%), 27 Jul 2000 (-2.06%), 06 Sep 2000 (-6.65%), 09 Oct 2000 (2.96%), 15 Nov 2000 (2.88%)
1999122 Jan 1999 (-4.42%)
1998731 Mar 1998 (-4.81%), 27 Apr 1998 (-6.93%), 24 Jul 1998 (3.38%), 27 Aug 1998 (-4.91%), 28 Aug 1998 (-3.04%), 30 Sep 1998 (3.1%), 26 Nov 1998 (-5.02%)
1997714 Feb 1997 (1.35%), 21 Mar 1997 (-5.25%), 04 Jun 1997 (-2.94%), 23 Jun 1997 (-3.63%), 01 Jul 1997 (-4.14%), 14 Aug 1997 (-3.3%), 26 Nov 1997 (-8.49%)
1996109 Dec 1996 (7.54%)



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