Study: Sell MOTHERSUMI 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 MOTHERSUMI 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 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
16570.4297514652.583536.415500-3777.96-16184.970.941.040.002867.74
23950.8797504751.556799.966764.71-7149.88-27191.010.951.010.0007840.73
3-52268.1597475048.457233.768529.41-7845.04-33015.550.920.87-0.0098-538.85
4-62033.5497484949.488156.673039.22-9256.13-52134.830.880.86-0.01-639.52
5-14565897465147.428011.3775686.27-10081.98-45860.510.790.72-0.023-1501.63
6-16604997475048.459223.2675196.08-11990.84-60898.880.770.72-0.023-1711.84
7-20765597484949.489482.4772843.14-13526.8-70769.230.70.69-0.026-2140.77
8-21255197484949.4810125.0463921.57-14256.18-92564.10.710.7-0.026-2191.25
9-22897597465147.4211623.9167549.02-14974.02-1156410.780.7-0.024-2360.57
10-29165797435444.3311820.3868431.37-14813.58-1410260.80.64-0.029-3006.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 52.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.034%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, 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. Win loss ratio is less than 1 which is bad, avoid 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-116570.4297514652.583536.415500-3777.96-16184.970.941.040.002867.74
atrnil26.41-154599111337829.7316785.6926703.29-9083.67-22310.481.850.78-0.024-1392.78
atrnil38.57-298960111199217.1227099.8840054.94-8846.28-22310.483.060.63-0.041-2693.33
atrtrail24.37-199140111357631.538963.2120716.44-6748.06-14067.051.330.61-0.044-1794.06
atrtrail-14.95-265494111347730.637489.7664735.52-6755.15-14067.051.110.49-0.054-2391.84
atrtrail34.71-268390111347730.637404.628717.28-6755.15-14067.051.10.48-0.062-2417.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 52.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.034%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, X=1, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Jan 2019 (1.53%)
2018316 Jan 2018 (-1.67%), 03 May 2018 (3.34%), 09 Aug 2018 (0.9%)
20171017 Jan 2017 (-1.38%), 23 Feb 2017 (1.06%), 23 Mar 2017 (-0.41%), 12 Apr 2017 (-0.48%), 21 Jun 2017 (0.55%), 27 Jul 2017 (-1.44%), 11 Aug 2017 (-0.09%), 29 Sep 2017 (-1.04%), 27 Oct 2017 (-2.06%), 28 Dec 2017 (-2.13%)
2016404 Jan 2016 (-1.26%), 28 Apr 2016 (2.3%), 25 May 2016 (-2.97%), 27 Oct 2016 (-0.99%)
2015709 Jan 2015 (0.51%), 30 Jan 2015 (0.93%), 24 Mar 2015 (0.73%), 21 Apr 2015 (2.57%), 09 Jul 2015 (-0.29%), 23 Jul 2015 (2.6%), 03 Dec 2015 (0.92%)
2014817 Jan 2014 (-1.41%), 10 Mar 2014 (-0.86%), 16 Apr 2014 (-0.91%), 16 May 2014 (1.03%), 11 Jun 2014 (-3.07%), 15 Jul 2014 (-3.9%), 22 Sep 2014 (1.52%), 26 Nov 2014 (0.55%)
2013531 May 2013 (3.1%), 28 Oct 2013 (-1.21%), 12 Nov 2013 (2.43%), 10 Dec 2013 (-2.5%), 24 Dec 2013 (0.24%)
2012406 Mar 2012 (0.22%), 12 Apr 2012 (-0.22%), 20 Nov 2012 (0.28%), 26 Dec 2012 (0.96%)
2011511 Mar 2011 (0.23%), 11 Apr 2011 (0.81%), 03 May 2011 (0.07%), 15 Jun 2011 (2.36%), 27 Jul 2011 (-1.34%)
2010620 Jan 2010 (1.91%), 22 Apr 2010 (0.75%), 28 Jun 2010 (-1.22%), 23 Aug 2010 (1.25%), 09 Sep 2010 (0.59%), 19 Oct 2010 (-0.54%)
2009413 Jan 2009 (-1.2%), 27 Apr 2009 (1.72%), 07 Oct 2009 (-1.08%), 27 Nov 2009 (-0.88%)
2008204 Jan 2008 (2.39%), 18 Sep 2008 (0.11%)
2007531 Jan 2007 (-1.64%), 09 May 2007 (-0.41%), 07 Jun 2007 (1.37%), 26 Jul 2007 (1.61%), 05 Oct 2007 (2.91%)
2006407 Apr 2006 (1.67%), 04 Oct 2006 (-4.05%), 11 Dec 2006 (0.2%), 27 Dec 2006 (-3.69%)
2005513 Jan 2005 (0.32%), 22 Feb 2005 (2.21%), 01 Jun 2005 (-0.31%), 22 Jul 2005 (-2.84%), 21 Sep 2005 (1.32%)
2004330 Jul 2004 (-3.15%), 14 Sep 2004 (1.32%), 01 Dec 2004 (-1.29%)
2003603 Feb 2003 (0.69%), 10 Jul 2003 (-0.41%), 13 Aug 2003 (-3.59%), 16 Oct 2003 (2.13%), 15 Dec 2003 (-0.32%), 31 Dec 2003 (-6.76%)
2002228 Jun 2002 (-4.32%), 16 Jul 2002 (1.03%)
2001123 Feb 2001 (1.19%)
2000525 Jan 2000 (-0.0%), 23 Feb 2000 (-8.0%), 26 Jul 2000 (5.19%), 05 Sep 2000 (6.53%), 06 Oct 2000 (7.75%)
1999525 Jan 1999 (-8.09%), 22 Feb 1999 (-0.0%), 18 Mar 1999 (-1.44%), 09 Aug 1999 (-0.05%), 23 Aug 1999 (0.32%)
1998124 Apr 1998 (7.74%)
1997113 Aug 1997 (4.24%)



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