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

home > technical-strategy > mrpl > 27

In this study, we evaluate the performance of strategy "Sell MRPL 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 MRPL 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
123748.26804436554013.7327212.02-4246-19840.360.951.160.01296.85
2-46379.1380394148.755364.3224373.96-6233.85-19607.840.860.82-0.016-579.74
3-8791.61804040506089.6737037.04-6309.46-25925.930.970.97-0.0026-109.9
4-9926.880463457.56462.2640740.74-9035.02-48529.410.720.97-0.0022-124.08
527441.779443555.79233.9240751.73-10824.31-39705.880.851.070.0052347.36
688038.9579473259.4910084.2553086.42-12060.02-45588.240.841.230.0151114.42
715678679463358.2311916.0850154.32-11859.2-54411.7611.40.0251984.64
812231879463358.2313132.762191.36-14599.59-65019.010.91.250.0171548.32
911184179493062.0313131.6957407.41-17720.41-86764.710.741.210.0141415.7
1011363.4279483160.7613851.6355555.56-21081.12-1176470.661.020.0012143.84
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
atrtrail24.8615105.7696336334.3814796.9346128.3-7511-18545.861.971.030.0025157.35
atrnil26.85483.5995326333.6821886.8746128.3-11030.1-21991.111.981.010.0007357.72
atrtrail35.71-43040.5294336135.1112564.1652853.05-7502.59-18545.861.670.91-0.0074-457.88
atrnil315.03-82379.8990216923.3332806.5952853.05-11178.53-23064.152.930.89-0.0098-915.33
atrtrail-16.11-79231.2994336135.1111467.4746196.57-7502.59-18545.861.530.83-0.015-842.89

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 34.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.079%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0025, 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.
MRPL Performance, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Apr 2019 (5.31%)
2018720 Mar 2018 (0.21%), 16 Apr 2018 (5.82%), 04 May 2018 (5.4%), 21 May 2018 (-0.18%), 19 Jun 2018 (-3.37%), 28 Jun 2018 (-4.9%), 29 Jun 2018 (1.34%)
2017120 Jan 2017 (-4.54%)
2016503 Aug 2016 (-4.65%), 04 Aug 2016 (3.14%), 29 Sep 2016 (-4.03%), 30 Sep 2016 (-3.92%), 18 Oct 2016 (-2.22%)
2015603 Mar 2015 (-4.37%), 13 Mar 2015 (-3.85%), 22 Apr 2015 (2.48%), 21 Jul 2015 (0.81%), 10 Dec 2015 (-3.79%), 23 Dec 2015 (0.21%)
2014517 Jan 2014 (2.9%), 07 May 2014 (-1.42%), 29 May 2014 (-5.23%), 10 Jun 2014 (9.41%), 08 Jul 2014 (-2.05%)
2013305 Nov 2013 (-3.67%), 11 Nov 2013 (0.34%), 29 Nov 2013 (-2.07%)
2012223 Feb 2012 (-2.82%), 23 Jul 2012 (-3.61%)
2011709 Feb 2011 (-0.91%), 02 May 2011 (-0.75%), 26 Sep 2011 (-0.59%), 25 Oct 2011 (-3.95%), 09 Nov 2011 (0.01%), 30 Nov 2011 (-4.79%), 01 Dec 2011 (11.06%)
2010222 Jan 2010 (-0.08%), 19 Jul 2010 (6.56%)
2009323 Apr 2009 (-6.53%), 13 May 2009 (-2.86%), 17 Jun 2009 (-1.37%)
2008411 Mar 2008 (19.74%), 23 Jun 2008 (14.7%), 07 Oct 2008 (15.71%), 20 Nov 2008 (-6.17%)
2007502 Feb 2007 (8.41%), 24 May 2007 (1.77%), 09 Oct 2007 (-9.27%), 28 Nov 2007 (-8.25%), 13 Dec 2007 (-2.99%)
2006421 Mar 2006 (-0.72%), 15 May 2006 (-5.7%), 18 Jul 2006 (-6.69%), 11 Sep 2006 (-4.1%)
2005307 Jan 2005 (-4.19%), 10 Jan 2005 (8.46%), 12 Aug 2005 (-2.7%)
2004520 Jan 2004 (11.73%), 21 Jan 2004 (-7.59%), 31 May 2004 (23.06%), 06 Aug 2004 (9.31%), 22 Dec 2004 (-2.05%)
20031028 Feb 2003 (-4.3%), 11 Mar 2003 (0.49%), 09 Jun 2003 (-2.38%), 20 Jun 2003 (-6.25%), 23 Jun 2003 (-6.07%), 26 Jun 2003 (-0.11%), 04 Sep 2003 (-2.59%), 21 Nov 2003 (-5.59%), 28 Nov 2003 (-5.49%), 19 Dec 2003 (-1.82%)
2002613 Mar 2002 (-2.16%), 18 Apr 2002 (-0.61%), 21 May 2002 (-7.23%), 19 Jun 2002 (-8.53%), 20 Jun 2002 (3.03%), 11 Jul 2002 (17.62%)
2001317 Sep 2001 (-9.27%), 18 Sep 2001 (-7.06%), 07 Dec 2001 (12.91%)
2000119 Jan 2000 (11.41%)
1999218 Jan 1999 (-2.81%), 01 Sep 1999 (-3.04%)
1998123 Apr 1998 (12.47%)
1997514 Jan 1997 (-4.39%), 17 Jan 1997 (9.67%), 19 Aug 1997 (-4.47%), 02 Dec 1997 (-4.5%), 03 Dec 1997 (-1.87%)
1996429 Feb 1996 (-0.56%), 26 Apr 1996 (1.1%), 20 Sep 1996 (7.6%), 27 Nov 1996 (-2.28%)
1995120 Mar 1995 (-0.25%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play