Optimizing Market Strategies: Positive Insights from MACD across Indian Financial and Commodity Markets

Description

DOI: https://doi.org/10.5281/zenodo.21274690

Bhawna Sachdeva and Mohit Gupta (School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab)

The Moving Average Convergence Divergence (MACD) is one of the most used momentum-based indicators in technical analysis. This study evaluates the performance of this widely used tool in the Indian Stock and Commodity markets. Secondary data from January 1, 2011 to 31st December, 2021 were collected from stock indices, individual stocks, and individual agricultural and non-agricultural commodities. The performance of Moving Average Convergence Divergence (MACD) was evaluated in the study with respect to various performance metrics such as: success rate (%), profit factor, Sharpe ratio, Sortino ratio, maximum drawdown (%), etc. and were compared across indices, stocks, and commodities. Risk-adjusted performance measures such as the Sharpe ratio and Sortino ratio were comparatively strong, especially in stocks and non-agricultural commodities, reflecting better reward relative to volatility and downside risk. Profit factor values suggest that MACD was more effective in capturing sustained price movements rather than short-term fluctuations.