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

home > technical-strategy > mrf > 27

In this study, we evaluate the performance of strategy "Sell MRF 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 MRF 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
161227.1296504652.083689.0315997.81-2678.79-11298.321.381.50.029637.78
210421396534355.215084.3328316.02-3843.17-12991.111.321.630.0361085.55
311444.0596474948.965977.0320120.28-5499.52-34208.891.091.040.0031119.21
424057.9196504652.086506.0127774.74-6548.75-31733.330.991.080.0058250.6
530399.5296415542.718507.1434193.36-5788.97-23699.71.471.10.0067316.66
621784.3396435344.798545.5231601.97-6522.14-208471.311.060.0046226.92
7-34901.0296415542.719197.5128589.39-7490.89-21186.821.230.92-0.0072-363.55
8-10856696415542.718401.1527125.67-8236.6-25371.881.020.76-0.022-1130.9
9-12927596474948.967324.8422210.12-9664.14-31541.440.760.73-0.026-1346.62
10-23378896445245.837425.6829385.21-10779.18-33650.510.690.58-0.042-2435.29
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
atrnil26.6181443.43111407136.0414844.1931807.9-7215.83-17191.342.061.160.013733.72
atrtrail24.53-29151.45112337929.4611014.9431807.9-4970.18-17191.342.220.93-0.0062-260.28
atrnil39.67-71772.96109248522.0222780.8442474.41-7276.63-17191.343.130.88-0.01-658.47
atrtrail35.25-80338.081103377309207.8334082.23-4989.57-17191.341.850.79-0.018-730.35
atrtrail-15.43-1261871103377307818.4628070.57-4989.57-17191.341.570.67-0.033-1147.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 36.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
MRF Performance, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Sep 2019 (-1.93%), 17 Sep 2019 (-2.09%), 03 Oct 2019 (-2.87%)
2018210 Jan 2018 (4.1%), 24 Apr 2018 (-1.79%)
2017512 Apr 2017 (-2.34%), 08 May 2017 (4.82%), 22 Jun 2017 (4.86%), 30 Nov 2017 (3.73%), 01 Dec 2017 (-2.16%)
2016217 Oct 2016 (-3.31%), 18 Oct 2016 (6.78%)
2015204 Jun 2015 (5.62%), 13 Aug 2015 (-3.08%)
2014807 Feb 2014 (-2.8%), 28 Mar 2014 (-2.58%), 22 Apr 2014 (7.38%), 13 Jun 2014 (-2.58%), 25 Sep 2014 (-2.98%), 19 Nov 2014 (-2.38%), 17 Dec 2014 (-3.3%), 18 Dec 2014 (-3.27%)
20131011 Jan 2013 (4.31%), 21 Mar 2013 (-3.58%), 23 May 2013 (-2.67%), 24 May 2013 (5.36%), 01 Aug 2013 (-4.35%), 29 Oct 2013 (-2.66%), 12 Nov 2013 (-2.59%), 21 Nov 2013 (-2.35%), 02 Dec 2013 (-2.37%), 26 Dec 2013 (-2.72%)
2012427 Feb 2012 (-3.89%), 28 Feb 2012 (-3.81%), 28 Aug 2012 (6.08%), 31 Dec 2012 (-2.08%)
2011611 Jan 2011 (-3.73%), 31 Jan 2011 (7.71%), 04 May 2011 (-2.92%), 05 May 2011 (-3.05%), 26 Jul 2011 (5.79%), 14 Dec 2011 (-3.34%)
2010621 Jan 2010 (6.65%), 01 Jun 2010 (-2.72%), 08 Jul 2010 (5.57%), 22 Sep 2010 (-3.24%), 22 Oct 2010 (-2.98%), 01 Nov 2010 (-3.04%)
20091009 Jan 2009 (10.73%), 05 Mar 2009 (-3.88%), 05 May 2009 (-5.52%), 12 Jun 2009 (-5.95%), 11 Aug 2009 (-6.42%), 06 Oct 2009 (-5.03%), 07 Oct 2009 (-5.0%), 22 Oct 2009 (9.1%), 19 Nov 2009 (-4.38%), 26 Nov 2009 (-4.08%)
2008412 Feb 2008 (-8.6%), 17 Mar 2008 (-7.34%), 12 May 2008 (-4.36%), 28 Aug 2008 (8.11%)
2007323 May 2007 (-2.4%), 27 Jul 2007 (7.72%), 14 Nov 2007 (15.9%)
2006424 Feb 2006 (-4.27%), 25 Apr 2006 (9.78%), 25 Aug 2006 (-4.19%), 20 Oct 2006 (8.45%)
2005417 Mar 2005 (8.33%), 02 May 2005 (-3.55%), 05 Sep 2005 (-4.0%), 21 Sep 2005 (7.95%)
2004429 Jun 2004 (-3.87%), 27 Aug 2004 (-4.18%), 23 Sep 2004 (-3.54%), 27 Dec 2004 (-4.25%)
2003403 Jun 2003 (8.42%), 18 Jul 2003 (-3.71%), 22 Aug 2003 (8.67%), 31 Dec 2003 (-5.64%)
2002531 Jan 2002 (-4.59%), 28 Feb 2002 (-3.71%), 11 Jul 2002 (-3.2%), 14 Aug 2002 (7.47%), 29 Oct 2002 (-2.54%)
2001303 May 2001 (9.1%), 25 Jul 2001 (8.13%), 13 Dec 2001 (11.36%)
2000424 Apr 2000 (14.16%), 22 Jun 2000 (6.41%), 24 Nov 2000 (-2.59%), 19 Dec 2000 (-3.27%)
1999229 Jan 1999 (9.29%), 29 Jul 1999 (-5.62%)
1998424 Apr 1998 (-5.04%), 13 May 1998 (11.81%), 06 Oct 1998 (-3.53%), 07 Oct 1998 (6.96%)
1997510 Mar 1997 (3.61%), 11 Mar 1997 (-2.06%), 25 Mar 1997 (4.5%), 09 Jun 1997 (3.56%), 04 Dec 1997 (7.22%)
1996629 Feb 1996 (-3.22%), 08 Apr 1996 (-3.86%), 09 Apr 1996 (-3.88%), 20 May 1996 (-3.62%), 21 May 1996 (-3.75%), 03 Jul 1996 (5.19%)
1995115 Nov 1995 (6.23%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play