This repository contains the backtest report and implementation details of the MACD Momentum Slowdown Strategy, tested on 15-minute intraday data of top Indian stocks.
The strategy leverages the behavior of the MACD Histogram to detect weakening bearish momentum and capture potential short-term reversals.
- Entry (Buy Signal):
- MACD Histogram is negative and shows significant slowdown (flattening).
- Exit (Sell Signal):
- Take Profit at 5%, or
- Stop Loss at 2.5%, or
- MACD turns positive with price weakness.
🔹 The aim is to catch early reversals in bearish intraday trends with dynamic confirmation.
- Fixed Take Profit: 5%
- Fixed Stop Loss: 2.5%
- Only one position per stock at a time (no pyramiding).
- Entry and exit are executed within the same day (intraday only).
| Company | Total Trades | Win Rate (%) | Avg Return/Trade (%) | Total Return (%) |
|---|---|---|---|---|
| RELIANCE | 35 | 80.00 | 0.30 | 10.45 |
| INFOSYS | 32 | 68.75 | 0.50 | 15.92 |
| HDFC | 34 | 70.59 | 0.17 | 5.67 |
| TATA | 32 | 56.25 | 0.16 | 5.25 |
| TCS | 35 | 57.14 | 0.27 | 9.31 |
| SBI | 38 | 65.79 | 0.77 | 29.23 |
- Refine detection of histogram momentum slowdown.
- Explore additional indicators (e.g., VWAP, RSI, Volume) to improve confirmation without reducing trades significantly.
- Optimize stop loss/take profit thresholds for better risk-reward ratio.