Study: Buy MOTHERSUMI when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when RSI is above 50 and there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1135432139756453.965368.0721233.74-4174.59-15942.031.291.510.034974.33
2173507139736652.527016.3837132.68-5131.64-30434.781.371.510.031248.25
3221713139697049.649150.8645905.17-5852.8-40579.711.561.540.0321595.06
4279976139726751.810587.1365301.72-7198.47-36231.881.471.580.0342014.22
5355463139746553.2412056.486637.93-8257.09-40579.711.461.660.0372557.29
6278330139726751.812149.6397413.79-8902.15-40282.021.361.470.0282002.37
7187005139706950.3612264.0797844.83-9731.59-38405.81.261.280.0181345.36
8225245139697049.6413480.8678017.24-10070.49-44559.341.341.320.0211620.47
9116290139736652.5212919.5677048.62-12527.85-1649191.031.140.0085836.62
10195053139756453.961424799217.95-13648-1638601.041.220.0131403.26

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 1.66. 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 53.24%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study.

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-15355463139746553.2412056.486637.93-8257.09-40579.711.461.660.0372557.29
atrtrail24.16234556160659540.6213211.3727026.63-6570.35-18485.952.011.380.0281465.98
atrnil25.83251761155619439.3517857.6927026.63-8910.2-19160.3721.30.0261624.26
atrnil38.252307031474410329.9326442.1540199.31-9055.84-19160.372.921.250.021569.41
atrtrail34.71138193157629539.4912665.5640199.31-6811.29-18485.951.861.210.016880.21
atrtrail-15.45109502155619439.3512275.9684394.9-6801.4-18485.951.81.170.012706.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 53.24%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
MOTHERSUMI Performance, X=5, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Apr 2019 (-3.63%)
2018511 Jan 2018 (-1.79%), 20 Jul 2018 (6.79%), 20 Aug 2018 (-2.06%), 27 Nov 2018 (3.43%), 13 Dec 2018 (5.44%)
20171027 Jan 2017 (-1.22%), 01 Mar 2017 (-1.91%), 29 Mar 2017 (1.24%), 27 Apr 2017 (1.58%), 19 Jul 2017 (-1.24%), 02 Aug 2017 (-1.23%), 06 Sep 2017 (2.08%), 10 Oct 2017 (2.43%), 31 Oct 2017 (0.67%), 29 Nov 2017 (-1.91%)
2016801 Feb 2016 (0.95%), 18 Apr 2016 (0.69%), 16 May 2016 (-1.44%), 30 May 2016 (-1.34%), 14 Jul 2016 (4.1%), 03 Oct 2016 (0.64%), 30 Oct 2016 (-4.85%), 30 Dec 2016 (1.59%)
2015919 Jan 2015 (4.71%), 12 Feb 2015 (2.14%), 05 Mar 2015 (2.92%), 31 Mar 2015 (-0.83%), 11 May 2015 (-2.38%), 10 Jun 2015 (-0.69%), 17 Jul 2015 (-3.43%), 04 Aug 2015 (-6.99%), 23 Dec 2015 (0.22%)
2014906 Jan 2014 (-0.98%), 05 Feb 2014 (13.59%), 27 Mar 2014 (4.9%), 13 May 2014 (-1.27%), 19 Jun 2014 (-1.87%), 17 Jul 2014 (-5.78%), 28 Aug 2014 (4.13%), 23 Oct 2014 (4.96%), 19 Dec 2014 (3.67%)
2013914 Feb 2013 (-1.77%), 12 Mar 2013 (3.22%), 22 Apr 2013 (1.78%), 04 Jul 2013 (0.43%), 08 Aug 2013 (6.04%), 11 Sep 2013 (6.4%), 05 Nov 2013 (-3.01%), 27 Nov 2013 (-3.84%), 16 Dec 2013 (-0.23%)
2012503 Apr 2012 (-3.29%), 22 Jun 2012 (-0.85%), 09 Aug 2012 (5.3%), 09 Nov 2012 (0.28%), 26 Nov 2012 (-0.78%)
2011803 Jan 2011 (-2.84%), 28 Jan 2011 (2.11%), 14 Feb 2011 (4.81%), 21 Mar 2011 (0.14%), 27 Apr 2011 (-5.51%), 24 May 2011 (2.29%), 01 Jul 2011 (1.24%), 07 Sep 2011 (-7.25%)
2010802 Mar 2010 (6.11%), 07 Apr 2010 (7.99%), 28 May 2010 (1.63%), 30 Jun 2010 (0.79%), 16 Jul 2010 (8.84%), 03 Sep 2010 (-4.32%), 05 Oct 2010 (1.71%), 30 Nov 2010 (-0.85%)
2009606 Feb 2009 (13.41%), 18 Mar 2009 (-8.03%), 29 Jun 2009 (-4.01%), 24 Aug 2009 (4.32%), 12 Nov 2009 (12.97%), 29 Dec 2009 (5.67%)
2008212 Mar 2008 (-9.7%), 28 Mar 2008 (-4.84%)
2007802 Jan 2007 (-1.81%), 22 Jan 2007 (-2.18%), 23 Feb 2007 (-1.65%), 21 Mar 2007 (0.52%), 18 May 2007 (13.4%), 04 Jul 2007 (4.33%), 24 Aug 2007 (11.66%), 05 Nov 2007 (-7.73%)
2006707 Feb 2006 (-1.43%), 27 Feb 2006 (7.41%), 01 Sep 2006 (6.93%), 06 Oct 2006 (3.71%), 08 Nov 2006 (-2.24%), 24 Nov 2006 (-1.45%), 15 Dec 2006 (-2.25%)
2005502 Feb 2005 (2.7%), 15 Jun 2005 (2.08%), 26 Jul 2005 (-1.24%), 02 Sep 2005 (6.18%), 11 Nov 2005 (5.9%)
2004516 Feb 2004 (-5.26%), 03 Mar 2004 (-4.42%), 03 Aug 2004 (14.34%), 27 Oct 2004 (12.66%), 31 Dec 2004 (-3.36%)
2003826 Feb 2003 (-7.21%), 04 Apr 2003 (18.53%), 07 Jul 2003 (0.41%), 28 Jul 2003 (2.77%), 09 Sep 2003 (-8.16%), 29 Sep 2003 (10.44%), 04 Nov 2003 (13.12%), 29 Dec 2003 (-2.74%)
2002618 Jan 2002 (-6.79%), 06 Mar 2002 (-13.61%), 28 Mar 2002 (0.37%), 30 Apr 2002 (-0.6%), 03 Jun 2002 (9.33%), 02 Jul 2002 (16.13%)
2001220 Mar 2001 (-14.5%), 03 Apr 2001 (-15.27%)
2000508 Feb 2000 (19.82%), 03 Apr 2000 (-20.29%), 10 Aug 2000 (9.28%), 29 Sep 2000 (-13.28%), 25 Oct 2000 (0.0%)
1999606 Jan 1999 (13.39%), 27 Jan 1999 (-0.94%), 01 Mar 1999 (43.32%), 24 Mar 1999 (-5.07%), 08 Jun 1999 (2.19%), 12 Aug 1999 (-0.95%)
1998310 Apr 1998 (3.73%), 25 Jun 1998 (-4.21%), 23 Oct 1998 (5.36%)
1997413 Mar 1997 (-11.76%), 07 May 1997 (3.07%), 19 Jun 1997 (0.0%), 10 Jul 1997 (12.68%)



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