Study: Sell MCDOWELL-N when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when RSI is below 50 and 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 MCDOWELL-N 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
130939.541611568.753476.299294.12-1459.93-4571.572.385.240.141933.72
261885.681611568.757142.315285.97-3335.93-5874.312.144.710.153867.86
390064.621610662.510564.1215667.28-2596.1-7571.874.076.780.25629.04
480551.0816124757577.9926563.13-2596.2-7145.962.928.760.175034.44
540219.3516124757210.9626467.06-11578.03-32729.010.621.870.0532513.71
630104.311611568.759640.5219718.2-15188.29-47051.530.631.40.0311881.52
7-589.13169756.259527.424297.49-12333.68-41297.710.770.99-0.00064-36.82
8-6064.521610662.59080.7914391.36-16145.4-40057.250.560.94-0.0066-379.03
9-745.211611568.758722.8515093.67-19339.31-41125.950.450.99-0.00078-46.58
102838.011610662.510633.3922999.45-17249.31-39704.20.621.030.0027177.38

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 8.76. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 2.52%, which is very good.
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.
MCDOWELL-N Performance, X=4, Profit Factor:8.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016227 Jan 2016 (5.11%), 11 Feb 2016 (0.17%)
2015224 Nov 2015 (7.12%), 30 Dec 2015 (-0.7%)
2011118 Mar 2011 (0.77%)
2009107 Aug 2009 (1.86%)
2008413 Mar 2008 (4.51%), 27 Jun 2008 (13.28%), 15 Jul 2008 (-0.18%), 20 Aug 2008 (-3.57%)
2007116 Aug 2007 (2.9%)
2005122 Nov 2005 (-0.75%)
2004128 Apr 2004 (1.81%)
2003223 Jan 2003 (4.62%), 20 Oct 2003 (2.0%)
2002119 Apr 2002 (1.33%)

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-1480551.0816124757577.9926563.13-2596.2-7145.962.928.760.175034.44
atrnil313.621222.911551033.3325520.4235164.81-10637.92-13042.932.41.20.0211414.86
atrnil29.1820901.61771041.1818604.4426085.86-10932.95-14112.071.71.190.0211229.51
atrtrail25-5215.63178947.067206.1826085.86-6985.01-14112.071.030.92-0.0083-306.8
atrtrail35.53-21260.53178947.065200.5713656.36-6985.01-14112.070.740.66-0.043-1250.62
atrtrail-15.53-21260.53178947.065200.5713656.36-6985.01-14112.070.740.66-0.043-1250.62

In the table above, row 1 shows the best exit criterion. Profit factor is 8.76. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 2.52%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.