Study: Buy MRPL when there is Bullish Crossover in MACD and ADX is Trending

home > technical-strategy > mrpl > 31

In this study, we evaluate the performance of strategy "Buy MRPL 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 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. 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
1-6055.6678334542.315186.529398.41-3938-13318.781.320.97-0.0024-77.64
2-11287178304838.466013.9423042-6110.19-22655.120.980.62-0.039-1447.06
3-16760878354344.876540.9224858.12-9221.87-31730.770.710.58-0.041-2148.82
4-14721178334542.318456.6643445.69-9472.91-33333.330.890.65-0.032-1887.32
5-10483678294937.1812128.6642509.36-9317.69-31557.381.30.77-0.02-1344.05
6-50421.7178314739.7413245.3455621.3-9809.09-38114.751.350.89-0.0088-646.43
7-12246578265233.3315451.6366272.19-10080.9-43989.071.530.77-0.019-1570.06
8-12597378245430.7717321.6548520.71-10031.35-57650.271.730.77-0.019-1615.04
9-15563878275134.6216653.6648756.91-11868.37-69945.361.40.74-0.022-1995.36
10-19341278285035.918171.3856721.92-14044.21-67349.731.290.72-0.025-2479.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 42.31%, which is not acceptable. Avoid this strategy. Average return per trade is -0.039%, we advise you not to use this strategy.

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
atrnil38.3712548.389216823.634400.5858908.65-10439.17-25045.983.31.020.0015140.99
nilnil-11-6055.6678334542.315186.529398.41-3938-13318.781.320.97-0.0024-77.64
atrnil26.73-54359.3192286430.4322013.3939272.43-10480.22-25045.982.10.92-0.0078-590.86
atrtrail24.62-12105093306332.2613744.4639272.43-8466.41-25045.981.620.77-0.022-1301.61
atrtrail35.08-15467491276429.6714411.0844444.58-8496.46-25045.981.70.72-0.027-1699.72
atrtrail-15.47-20214689266329.2112735.441707.66-8464.54-25045.981.50.62-0.039-2271.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 23.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.07%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0015, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (9.13%), 28 May 2019 (-3.36%)
20181026 Feb 2018 (-3.6%), 05 Apr 2018 (-3.11%), 25 Apr 2018 (-2.78%), 08 May 2018 (-2.66%), 09 May 2018 (-2.72%), 08 Jun 2018 (-3.65%), 25 Jun 2018 (-3.56%), 12 Jul 2018 (-4.04%), 13 Jul 2018 (-4.18%), 11 Oct 2018 (-6.53%)
2016501 Mar 2016 (-5.44%), 02 Mar 2016 (17.63%), 10 Oct 2016 (-3.77%), 25 Nov 2016 (11.79%), 28 Nov 2016 (-4.4%)
2015301 Apr 2015 (-3.96%), 10 Sep 2015 (20.82%), 18 Dec 2015 (-3.91%)
2014520 May 2014 (13.72%), 21 May 2014 (-5.08%), 05 Jun 2014 (-4.92%), 01 Jul 2014 (-4.33%), 26 Dec 2014 (12.08%)
2013502 Jul 2013 (12.67%), 22 Aug 2013 (18.09%), 07 Nov 2013 (-3.71%), 27 Nov 2013 (-4.86%), 26 Dec 2013 (-3.98%)
2012118 May 2012 (-4.64%)
2011907 Feb 2011 (-3.03%), 08 Feb 2011 (-3.26%), 07 Mar 2011 (14.33%), 02 Sep 2011 (-5.07%), 11 Oct 2011 (-3.72%), 12 Oct 2011 (-4.21%), 28 Oct 2011 (-4.1%), 28 Nov 2011 (-4.27%), 29 Nov 2011 (-4.88%)
2010202 Jun 2010 (-3.5%), 15 Dec 2010 (-4.3%)
2009511 May 2009 (-5.7%), 18 May 2009 (-5.68%), 19 May 2009 (19.62%), 21 Jul 2009 (-6.32%), 11 Nov 2009 (-4.34%)
2008606 Feb 2008 (-12.52%), 26 Mar 2008 (29.45%), 18 Jun 2008 (-6.78%), 10 Jul 2008 (27.57%), 03 Nov 2008 (-9.89%), 04 Dec 2008 (24.13%)
2007419 Mar 2007 (14.07%), 21 Jun 2007 (-3.81%), 31 Oct 2007 (-7.45%), 04 Dec 2007 (-8.36%)
2006220 Jun 2006 (-9.1%), 25 Jul 2006 (17.99%)
2005203 Jan 2005 (-3.26%), 09 Nov 2005 (-4.07%)
2004405 Jan 2004 (12.25%), 26 May 2004 (-9.97%), 10 Jun 2004 (-8.07%), 29 Jun 2004 (23.85%)
2003420 Feb 2003 (-5.41%), 05 Mar 2003 (-5.9%), 16 Jun 2003 (-6.33%), 25 Nov 2003 (17.49%)
2002615 Jan 2002 (-7.12%), 16 Apr 2002 (-8.34%), 06 May 2002 (-6.28%), 27 May 2002 (-6.28%), 28 May 2002 (22.22%), 02 Jul 2002 (-6.99%)
2001218 Jul 2001 (-12.03%), 14 Nov 2001 (-6.1%)
2000118 Feb 2000 (-6.15%)
1999124 Nov 1999 (-5.88%)
1998125 Feb 1998 (11.37%)
1997316 Jan 1997 (-4.68%), 25 Nov 1997 (-3.37%), 12 Dec 1997 (10.92%)
1996212 Feb 1996 (-4.07%), 23 Oct 1996 (-5.11%)
1995404 Apr 1995 (-3.15%), 19 Sep 1995 (-3.2%), 30 Nov 1995 (-4.55%), 01 Dec 1995 (-5.13%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play