Study: Buy MOTHERSUMI when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when there is Bullish 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: 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
149151.3467382956.724608.5221233.74-4343.88-15349.411.061.390.027733.6
237023.1667373055.226064.0732312.21-6244.92-29642.670.971.20.013552.58
350430.2967373055.226758.5123751.57-6654.49-26509.421.021.250.018752.69
414214067373055.229411.2831844.66-6869.23-23305.761.371.690.0412121.5
515845467363153.7310238.8837472.77-6778.88-32001.411.511.750.0432364.99
619599067343350.7513085.2559611.65-7542.69-35627.531.731.790.0432925.22
714377367343350.7512809.2957087.38-8840.69-37810.241.451.490.0312145.87
815623067323547.7614522.0243042.67-8813.56-40873.091.651.510.0322331.79
978617.1667363153.7312765.8338793.1-12288.8-78571.431.041.210.0141173.39
1014818367402759.713313.9564271.84-14236.12-740000.941.390.0252211.68
Although, strategy looks good but profit factor on day 2 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
atrnil27.2320837078324641.0320842.5340552.48-9969.37-52540.82.091.450.0352671.41
atrnil39.8322486277255232.4730181.4260828.71-10186.03-52540.82.961.420.0312920.28
atrtrail24.7888218.1579324740.5113365.6630159.55-7223.04-20487.681.851.260.021116.69
atrtrail35.2754101.7678324641.0312256.9845239.32-7350.47-20487.681.671.160.012693.61
atrtrail-15.9-10326.5678324641.0310243.5943999.52-7350.47-20487.681.390.97-0.0025-132.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 41.03%, which is not acceptable. Avoid this strategy. Average return per trade is 1.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 May 2019 (-5.09%), 22 Aug 2019 (-4.99%), 23 Aug 2019 (10.28%)
2018609 Mar 2018 (-3.62%), 11 Jun 2018 (-2.92%), 04 Jul 2018 (-3.07%), 20 Jul 2018 (-3.19%), 23 Jul 2018 (6.66%), 15 Oct 2018 (-5.42%)
2017330 Jan 2017 (-2.59%), 28 Apr 2017 (4.39%), 31 Oct 2017 (-2.19%)
2016329 Jan 2016 (-4.34%), 29 Feb 2016 (11.49%), 28 Nov 2016 (8.84%)
2015218 Sep 2015 (-4.91%), 08 Oct 2015 (12.17%)
20141106 Jan 2014 (-3.61%), 07 Jan 2014 (7.69%), 05 Feb 2014 (10.01%), 27 Mar 2014 (7.54%), 13 May 2014 (-3.58%), 21 May 2014 (-4.15%), 22 May 2014 (9.62%), 19 Jun 2014 (-3.73%), 01 Jul 2014 (6.83%), 17 Jul 2014 (-3.93%), 23 Oct 2014 (7.8%)
2013412 Mar 2013 (-3.54%), 05 Nov 2013 (-3.68%), 27 Nov 2013 (-3.86%), 16 Dec 2013 (-3.42%)
2012602 Jan 2012 (10.44%), 03 Apr 2012 (-3.87%), 31 May 2012 (-3.63%), 06 Jun 2012 (-3.79%), 22 Jun 2012 (-3.51%), 09 Nov 2012 (8.8%)
2011727 Apr 2011 (-3.99%), 24 May 2011 (-3.95%), 25 May 2011 (8.46%), 01 Jul 2011 (8.06%), 07 Sep 2011 (-5.25%), 08 Sep 2011 (-5.6%), 12 Oct 2011 (12.2%)
2009312 Nov 2009 (10.66%), 13 Nov 2009 (-5.44%), 29 Dec 2009 (9.09%)
2008307 Feb 2008 (18.5%), 06 Nov 2008 (-10.3%), 04 Dec 2008 (20.28%)
2007202 Jan 2007 (-4.52%), 05 Nov 2007 (-4.86%)
2006219 Jun 2006 (-7.91%), 06 Oct 2006 (-4.67%)
2005603 Jan 2005 (-4.89%), 02 Feb 2005 (10.09%), 21 Mar 2005 (-7.17%), 26 Jul 2005 (-3.6%), 02 Sep 2005 (8.57%), 11 Nov 2005 (-5.48%)
2004302 Jan 2004 (-5.65%), 02 Apr 2004 (-26.27%), 03 Aug 2004 (11.01%)
2003407 Jul 2003 (-5.12%), 28 Jul 2003 (11.75%), 29 Dec 2003 (-5.1%), 30 Dec 2003 (-5.66%)
2002202 Jul 2002 (9.43%), 15 Nov 2002 (14.71%)
2001106 Jun 2001 (15.08%)
1999324 Mar 1999 (-5.57%), 08 Jun 1999 (12.92%), 12 Aug 1999 (9.1%)
1998207 Sep 1998 (-4.31%), 08 Sep 1998 (9.13%)
1997212 Nov 1997 (-3.35%), 15 Dec 1997 (11.88%)



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