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

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In this study, we evaluate the performance of strategy "Sell ADANIPORTS 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 ADANIPORTS 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
1-6411.137191851.352725.439419.32-3233.02-12849.360.840.89-0.012-173.27
2-24620.5637172045.954969.659766.01-5455.23-15245.010.910.77-0.031-665.42
3-18073.137181948.655840.1410240.04-6483.98-20924.150.90.85-0.019-488.46
4-53473.6837142337.845288.7413673.43-5544.18-27455.180.950.58-0.053-1445.23
5-59499.8337152240.546379.8520961.3-7054.43-25207.390.90.62-0.052-1608.1
6-33644.1937181948.65732021836.73-8705.49-30514.390.840.8-0.025-909.3
7-10464537122532.439701.7720979.59-8842.64-37925.021.10.53-0.071-2828.24
8-10535537142337.848002.317768.52-9451.62-38971.230.850.52-0.073-2847.44
9-70543.1937172045.957299.0720897.96-9731.37-34403.550.750.64-0.048-1906.57
10-52525.3937152240.548606.8122245.39-8255.8-29380.991.040.71-0.036-1419.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. 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 51.35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.087%, 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
atrnil26.789124.1537122532.4316869.3442360.53-7732.32-11396.772.181.050.0057246.6
nilnil-11-6411.137191851.352725.439419.32-3233.02-12849.360.840.89-0.012-173.27
atrtrail24.78-38280.7137102727.0310076.2842360.53-5149.76-11396.771.960.72-0.032-1034.61
atrnil39.14-90053.913773018.9221907.5141938.28-8113.55-21180.272.70.63-0.056-2433.89
atrtrail35.05-57986.753792824.329510.3736097.19-5127.86-11396.771.850.6-0.053-1567.21
atrtrail-15.27-70673.313792824.328100.7536097.19-5127.86-11396.771.580.51-0.068-1910.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 32.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0057, 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.
ADANIPORTS Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019427 Feb 2019 (-4.16%), 12 Apr 2019 (-2.54%), 24 Apr 2019 (4.58%), 17 Jun 2019 (5.08%)
2018207 Aug 2018 (-3.04%), 10 Dec 2018 (-3.23%)
2017312 Apr 2017 (-3.09%), 10 Aug 2017 (-2.47%), 13 Nov 2017 (5.29%)
2016507 Jan 2016 (5.68%), 11 Feb 2016 (-5.31%), 05 Apr 2016 (-4.18%), 26 Aug 2016 (-3.36%), 04 Nov 2016 (7.38%)
2015221 Jan 2015 (-3.09%), 08 Dec 2015 (-2.71%)
2014321 Mar 2014 (-3.5%), 29 Apr 2014 (-4.5%), 27 Nov 2014 (6.54%)
2013318 Feb 2013 (9.14%), 23 May 2013 (-4.33%), 25 Oct 2013 (-4.49%)
2012402 Jan 2012 (-5.7%), 15 Oct 2012 (-3.77%), 12 Nov 2012 (-3.77%), 24 Dec 2012 (-4.01%)
2011211 Jan 2011 (9.54%), 09 Jun 2011 (7.56%)
2010622 Jan 2010 (-4.47%), 12 Mar 2010 (-3.6%), 06 Apr 2010 (-3.62%), 25 Aug 2010 (5.28%), 09 Dec 2010 (-5.49%), 28 Dec 2010 (-4.92%)
2009215 Jun 2009 (13.98%), 15 Dec 2009 (-3.32%)
2008129 Oct 2008 (21.18%)



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