Study: Sell MOTHERSUMI when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell MOTHERSUMI when there is Bearish 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: 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
1-42260.8481414050.623313.4813068.65-4452.84-160000.740.76-0.022-521.74
2-64494.9881374445.687034.2666764.71-7380.97-27191.010.950.8-0.015-796.23
3-90854.1181404149.387097.9868529.41-9140.81-33015.550.780.76-0.019-1121.66
4-92533.7181433853.097897.7373039.22-11372-52134.830.690.79-0.016-1142.39
5-16234881394248.158349.2475686.27-11618.29-45860.510.720.67-0.027-2004.29
6-23846681384346.919043.2875196.08-13537.45-60898.880.670.59-0.036-2944.02
7-23158381374445.6810994.4572843.14-14508.57-70769.230.760.64-0.031-2859.04
8-27949381364544.4411020.1163921.57-15027.04-92564.10.730.59-0.036-3450.53
9-19460881354643.2112729.9567549.02-13916.44-1156410.910.7-0.024-2402.57
10-28728081324939.5112662.6268431.37-14132.33-1410260.90.59-0.032-3546.67
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
atrnil26.54-20710695276828.4218111.144656.45-10236.85-23394.971.770.7-0.034-2180.06
atrtrail24.47-18812495316432.639469.4124348.13-7526.19-16970.991.260.61-0.044-1980.26
atrnil39.81-38690793138013.9830625.6466984.67-9813-23394.973.120.51-0.058-4160.29
atrtrail-15.07-26348594296530.857775.3564735.52-7522.61-16970.991.030.46-0.058-2803.03
atrtrail34.9-27198294296530.857482.3332040.09-7522.61-16970.990.990.44-0.069-2893.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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:0.702

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020401 Jan 2020 (-2.9%), 02 Jan 2020 (5.7%), 11 Jun 2020 (-6.01%), 26 Aug 2020 (-4.18%)
2019221 Nov 2019 (-4.52%), 22 Nov 2019 (-4.43%)
2018225 Jun 2018 (-3.37%), 18 Jul 2018 (-3.22%)
2017321 Jun 2017 (4.65%), 27 Oct 2017 (-2.22%), 08 Nov 2017 (4.62%)
2016224 Jun 2016 (-4.27%), 11 Aug 2016 (-4.32%)
2015430 Jan 2015 (-3.4%), 21 Apr 2015 (6.71%), 22 Sep 2015 (-6.36%), 03 Dec 2015 (7.27%)
2014917 Jan 2014 (7.93%), 10 Mar 2014 (-4.16%), 16 Apr 2014 (-4.08%), 16 May 2014 (-4.19%), 11 Jun 2014 (-4.14%), 23 Jun 2014 (-3.79%), 15 Jul 2014 (-4.19%), 22 Jul 2014 (-3.81%), 22 Sep 2014 (8.8%)
2013625 Jul 2013 (8.33%), 28 Oct 2013 (-3.77%), 12 Nov 2013 (-3.83%), 10 Dec 2013 (-3.62%), 11 Dec 2013 (-3.66%), 24 Dec 2013 (-3.85%)
2012606 Mar 2012 (-5.15%), 04 Jun 2012 (-3.85%), 20 Jun 2012 (-3.44%), 25 Jul 2012 (5.86%), 20 Nov 2012 (-3.95%), 26 Dec 2012 (7.38%)
2011811 Apr 2011 (-3.5%), 03 May 2011 (-4.29%), 15 Jun 2011 (8.47%), 27 Jul 2011 (7.28%), 20 Sep 2011 (10.75%), 21 Sep 2011 (12.17%), 09 Nov 2011 (10.68%), 19 Dec 2011 (-5.81%)
2010220 Jan 2010 (9.74%), 13 Sep 2010 (-4.41%)
2009327 Apr 2009 (-8.83%), 07 Oct 2009 (-7.44%), 27 Nov 2009 (-6.09%)
2008119 Nov 2008 (-11.7%)
2007503 Jan 2007 (-4.46%), 31 Jan 2007 (7.07%), 07 Jun 2007 (-6.4%), 05 Oct 2007 (8.36%), 08 Nov 2007 (-5.16%)
2006307 Apr 2006 (9.05%), 04 Oct 2006 (-4.49%), 17 Oct 2006 (-3.87%)
2005613 Jan 2005 (-7.03%), 14 Jan 2005 (-7.87%), 22 Feb 2005 (7.74%), 01 Jun 2005 (8.63%), 22 Jul 2005 (-3.7%), 21 Sep 2005 (-5.76%)
2004501 Jan 2004 (-5.73%), 06 Jan 2004 (13.16%), 30 Jul 2004 (-5.97%), 14 Sep 2004 (-4.93%), 01 Dec 2004 (-5.46%)
2003631 Jan 2003 (-5.05%), 03 Feb 2003 (10.36%), 10 Jul 2003 (-5.33%), 13 Aug 2003 (-6.14%), 15 Dec 2003 (-5.63%), 31 Dec 2003 (-5.99%)
2002228 Jun 2002 (-5.19%), 16 Jul 2002 (9.74%)
2001129 May 2001 (-8.75%)
2000523 Feb 2000 (-5.28%), 24 Feb 2000 (-5.07%), 26 Jul 2000 (8.35%), 05 Sep 2000 (-6.04%), 15 Nov 2000 (22.33%)
1999522 Feb 1999 (-4.71%), 18 Mar 1999 (-6.48%), 30 Mar 1999 (-6.14%), 09 Aug 1999 (-4.84%), 20 Aug 1999 (-5.63%)
1998301 Apr 1998 (-7.71%), 27 Aug 1998 (-4.91%), 28 Aug 1998 (-5.09%)
1997213 Aug 1997 (13.35%), 26 Nov 1997 (-8.49%)



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