Study: Buy MRF 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 MRF 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 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. 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
111235084473755.954544.3817024.84-2736.1-10126.581.662.110.0571337.5
221168384533163.16659.1153489.2-4556.45-15377.831.462.50.0592520.03
320389084503459.527695.1864113.75-5319.67-17912.731.452.130.0482427.26
421329984523261.98388.4358986.12-6965.61-19313.361.21.960.0462539.27
523209784463854.7611371.1668275.5-7657.28-29922.871.491.80.042763.05
61182528442425011405.9763670.58-8590.44-28947.981.331.330.0211407.77
714165584414348.8112028.5862750.17-8174.8-32128.641.471.40.0251686.37
81344628442425012721.2364926.21-9519.76-32425.381.341.340.0221600.73
91111478442425012695.8664173.4-10049.5-37514.271.261.260.0181323.18
1015073284414348.8114242.2562983.11-10074.43-36680.11.411.350.0221794.43

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.5. 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 63.1%, which is good. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.059, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MRF Performance, X=2, Profit Factor:2.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Feb 2019 (2.75%), 16 May 2019 (1.99%), 09 Sep 2019 (3.04%), 30 Oct 2019 (0.11%)
2018111 Oct 2018 (-1.3%)
2017320 Apr 2017 (0.78%), 02 Jun 2017 (1.63%), 31 Aug 2017 (0.23%)
2016417 Feb 2016 (0.78%), 27 May 2016 (0.69%), 27 Jun 2016 (5.17%), 29 Aug 2016 (-0.11%)
2015318 May 2015 (-3.4%), 19 Jun 2015 (3.02%), 21 Sep 2015 (-1.17%)
2014405 Feb 2014 (-5.61%), 15 Apr 2014 (1.22%), 14 May 2014 (1.46%), 28 Nov 2014 (2.2%)
2013602 Jan 2013 (0.34%), 07 Mar 2013 (2.48%), 11 Jul 2013 (1.39%), 03 Nov 2013 (2.31%), 19 Nov 2013 (-0.86%), 10 Dec 2013 (5.69%)
2012304 Apr 2012 (0.99%), 25 May 2012 (1.95%), 04 Jul 2012 (2.55%)
2011221 Jan 2011 (-0.43%), 14 Feb 2011 (-0.8%)
2010414 Jan 2010 (-1.09%), 15 Jun 2010 (-1.46%), 14 Oct 2010 (-0.67%), 28 Oct 2010 (-2.24%)
2009710 Feb 2009 (1.18%), 17 Mar 2009 (2.31%), 18 May 2009 (-2.06%), 23 Jul 2009 (26.74%), 09 Sep 2009 (6.69%), 14 Oct 2009 (-1.12%), 11 Nov 2009 (1.99%)
2008405 Feb 2008 (-2.38%), 28 Mar 2008 (-2.48%), 01 Sep 2008 (0.41%), 04 Nov 2008 (-6.25%)
2007316 Mar 2007 (5.46%), 29 May 2007 (1.92%), 28 Jun 2007 (-1.76%)
2006321 Jun 2006 (2.53%), 06 Oct 2006 (7.73%), 14 Nov 2006 (-1.99%)
2005428 Feb 2005 (1.92%), 28 Apr 2005 (-6.43%), 12 May 2005 (-2.65%), 15 Sep 2005 (0.71%)
2004611 Feb 2004 (7.6%), 02 Apr 2004 (4.66%), 09 Jun 2004 (4.85%), 01 Jul 2004 (1.37%), 16 Sep 2004 (1.51%), 16 Nov 2004 (-0.63%)
2003201 Jul 2003 (13.73%), 11 Aug 2003 (2.57%)
2002408 Feb 2002 (3.94%), 05 Jun 2002 (0.04%), 06 Aug 2002 (-0.61%), 24 Oct 2002 (-2.6%)
2001414 May 2001 (1.37%), 13 Jun 2001 (-3.21%), 09 Jul 2001 (2.98%), 09 Aug 2001 (-0.81%)
2000421 Mar 2000 (-2.79%), 08 May 2000 (-4.17%), 18 Aug 2000 (-0.46%), 06 Dec 2000 (6.06%)
1998208 May 1998 (-7.69%), 26 Oct 1998 (4.25%)
1997428 Feb 1997 (1.58%), 20 Mar 1997 (-1.4%), 24 Nov 1997 (2.36%), 22 Dec 1997 (0.38%)
1996328 Mar 1996 (2.46%), 30 Apr 1996 (9.54%), 14 Jun 1996 (2.82%)

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-1221168384533163.16659.1153489.2-4556.45-15377.831.462.50.0592520.03
atrtrail-15.8413574693415244.0910091.8648849.24-5346.55-15777.51.891.490.0271459.63
atrtrail35.2512542493415244.099840.1134188.95-5346.55-15777.51.841.450.0281348.65
atrtrail24.5411743797435444.339681.5525245.85-5534.63-15777.51.751.390.0271210.69
atrnil39.0243352.3791276429.6719384.2739455.99-7500.36-15777.52.581.090.0075476.4
atrnil26.6930706.6796366037.513381.9426303.99-7517.39-15777.51.781.070.0061319.86

In the table above, row 1 shows the best exit criterion. Profit factor is 2.5. 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 63.1%, which is good. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.059, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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