Study: Buy MRF when RSI is above 50 and 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 RSI is above 50 and 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
176473.0653272650.945133.1317024.84-2389.28-10126.582.152.230.0581442.89
217645453332062.267585.6453489.2-3693.59-15377.832.053.390.073329.33
321348553312258.499592.6164113.75-3813-14652.862.523.540.0714028.02
427061153351866.0410399.2158986.12-5186.75-15496.9823.90.0875105.86
529693153322160.3813298.5868275.5-6124.91-16093.812.173.310.0755602.48
620173453272650.9414008.8463670.58-6788.63-25875.162.062.140.0533806.31
720187353282552.8313404.1762750.17-6937.75-23933.061.932.160.0543808.93
820596053282552.8314513.5364926.21-8016.75-24177.121.812.030.0533886.04
921326153282552.8315201.8164173.4-8495.58-25022.371.7920.0534023.8
1022588653292454.7215931.4962983.11-9838.65-23551.981.621.960.0514261.99

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 3.9. Strategy is very good and impressively bullish. Percentage of profitable trades is 66.04%, which is good. Average return per trade is 2.55%, which is very good. Sharpe Ratio is 0.087, 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=4, Profit Factor:3.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (1.01%)
2017220 Apr 2017 (8.42%), 02 Jun 2017 (5.04%)
2016327 May 2016 (-0.35%), 28 Jun 2016 (6.69%), 29 Aug 2016 (3.69%)
2015121 Sep 2015 (-0.42%)
2014405 Feb 2014 (-3.83%), 15 Apr 2014 (-5.27%), 14 May 2014 (3.99%), 28 Nov 2014 (12.14%)
2013502 Jan 2013 (0.23%), 07 Mar 2013 (0.48%), 03 Nov 2013 (1.92%), 19 Nov 2013 (1.02%), 10 Dec 2013 (6.88%)
2012304 Apr 2012 (0.59%), 25 May 2012 (0.75%), 05 Jul 2012 (-1.28%)
2010414 Jan 2010 (-3.97%), 15 Jun 2010 (-0.65%), 14 Oct 2010 (0.11%), 28 Oct 2010 (-0.27%)
2009518 May 2009 (5.73%), 23 Jul 2009 (29.49%), 09 Sep 2009 (8.33%), 14 Oct 2009 (3.51%), 11 Nov 2009 (-0.27%)
2008101 Sep 2008 (-0.04%)
2007229 May 2007 (2.21%), 28 Jun 2007 (-1.9%)
2006206 Oct 2006 (9.04%), 14 Nov 2006 (-2.61%)
2005228 Feb 2005 (9.76%), 15 Sep 2005 (-3.96%)
2004411 Feb 2004 (3.01%), 05 Apr 2004 (2.0%), 16 Sep 2004 (1.15%), 16 Nov 2004 (-1.93%)
2003201 Jul 2003 (15.32%), 11 Aug 2003 (1.36%)
2002408 Feb 2002 (4.71%), 05 Jun 2002 (4.03%), 06 Aug 2002 (1.96%), 04 Nov 2002 (-2.59%)
2000106 Dec 2000 (10.82%)
1998208 May 1998 (-5.1%), 27 Oct 1998 (-4.5%)
1997228 Feb 1997 (1.59%), 20 Mar 1997 (-7.75%)
1996328 Mar 1996 (1.05%), 30 Apr 1996 (12.61%), 14 Jun 1996 (1.36%)

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-1427061153351866.0410399.2158986.12-5186.75-15496.9823.90.0875105.86
atrtrail-15.3315671058263244.8311720.2448849.24-4625.49-10979.092.532.060.0472701.9
atrtrail23.8115411862293346.7710897.4922792.63-4906.34-10979.092.221.950.0562485.78
atrtrail34.5913385658263244.8310841.2234188.95-4625.49-10979.092.341.90.0472307.86
atrnil25.0712056861273444.2613046.5722792.63-6814.39-11898.771.911.520.0391976.52
atrnil37.4591135.1456183832.1419229.8634188.95-6710.59-11898.772.871.360.0261627.41

In the table above, row 1 shows the best exit criterion. Profit factor is 3.9. Strategy is very good and impressively bullish. Percentage of profitable trades is 66.04%, which is good. Average return per trade is 2.55%, which is very good. Sharpe Ratio is 0.087, 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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