Study: Buy MOTHERSUMI when RSI is below 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 below 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
15045.1355292652.735215.5529097.28-5623.3-16422.020.931.030.002691.73
2-40861.0655253045.457919.8923137.6-7961.94-29642.670.990.83-0.015-742.93
358683.86553322609257.5636816.66-11218.89-30847.460.831.240.0171066.98
451981.4555302554.5510805.6634213.46-10887.54-31100.920.991.190.014945.12
571022.6855302554.5510814.0232748.54-10135.92-32001.411.071.280.021291.32
611135455292652.7313750.5659611.65-11054.31-35627.531.241.390.0252024.62
714889255243143.6418910.7957087.38-9837.64-37810.241.921.490.0312707.13
8-46641.0955262947.2717046.7845614.04-16891.64-1640221.010.9-0.0063-848.02
91960655302554.5518499.1950353.29-21414.79-1629360.861.040.0024356.47
1042078.045533226017931.1664271.84-24984.1-1637060.721.080.005765.06
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
atrnil310.1830958962233937.133886.1362050.13-12045.96-52540.82.811.660.0454993.37
atrnil26.9421191862273543.5523247.0241366.75-11878.61-52540.81.961.510.0393418.04
atrtrail24.26-14362.4162233937.114590.0641366.75-8972.66-20487.681.630.96-0.0037-231.65
atrtrail-15.31-22184.7562233937.114249.9650569.27-8972.66-20487.681.590.94-0.0053-357.82
atrtrail34.61-24391.2362233937.114154.0245239.32-8972.66-20487.681.580.93-0.0062-393.41

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 37.1%, which is not acceptable. Avoid this strategy. Average return per trade is 2.5%, which is very good. Sharpe Ratio is 0.045, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Feb 2019 (12.82%), 28 May 2019 (-5.09%), 22 Aug 2019 (-4.99%), 23 Aug 2019 (15.42%)
2018609 Mar 2018 (-3.62%), 11 Jun 2018 (-2.92%), 04 Jul 2018 (-3.07%), 23 Jul 2018 (9.99%), 15 Oct 2018 (-5.42%), 28 Nov 2018 (-5.53%)
2016329 Jan 2016 (-4.34%), 29 Feb 2016 (17.24%), 28 Nov 2016 (13.26%)
2015311 Jun 2015 (10.9%), 18 Sep 2015 (-4.91%), 08 Oct 2015 (18.26%)
2013123 Apr 2013 (14.5%)
2012302 Jan 2012 (15.67%), 31 May 2012 (-3.63%), 06 Jun 2012 (-3.79%)
2011431 Jan 2011 (-4.74%), 04 Jul 2011 (11.86%), 08 Sep 2011 (-5.6%), 12 Oct 2011 (-6.1%)
2010103 Mar 2010 (-5.73%)
2009117 Mar 2009 (31.03%)
2008607 Feb 2008 (-9.25%), 23 May 2008 (-5.22%), 18 Jun 2008 (-5.38%), 18 Jul 2008 (16.73%), 06 Nov 2008 (-10.3%), 04 Dec 2008 (30.41%)
2007402 Mar 2007 (-4.32%), 22 Mar 2007 (18.78%), 06 Nov 2007 (-5.05%), 14 Nov 2007 (14.35%)
2006119 Jun 2006 (-7.91%)
2005121 Mar 2005 (-7.17%)
2004204 Mar 2004 (-5.81%), 02 Apr 2004 (-26.27%)
2003105 Nov 2003 (15.2%)
2002402 Apr 2002 (-5.53%), 20 Aug 2002 (-5.38%), 21 Aug 2002 (-5.61%), 15 Nov 2002 (22.07%)
2001417 Jan 2001 (20.25%), 21 Mar 2001 (-9.01%), 23 May 2001 (-7.64%), 06 Jun 2001 (22.62%)
2000304 Apr 2000 (-5.64%), 01 Jun 2000 (13.31%), 06 Dec 2000 (-7.96%)
1999118 Nov 1999 (-4.83%)
1998418 Aug 1998 (-3.86%), 19 Aug 1998 (-4.16%), 07 Sep 1998 (-4.31%), 08 Sep 1998 (13.7%)
1997306 May 1997 (17.64%), 12 Nov 1997 (-3.35%), 15 Dec 1997 (-5.94%)
1996205 Dec 1996 (-5.51%), 26 Dec 1996 (13.7%)



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