Study: Sell AJANTPHARM 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 AJANTPHARM 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 AJANTPHARM 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
1-29494.3280344642.55482.9715665.5-4693.81-46376.811.170.86-0.011-368.68
2-7841.74804040507262.920576.77-7458.94-44927.540.970.97-0.0022-98.02
3-32677.28804040508115.4527591.58-8932.38-47826.090.910.91-0.0077-408.47
4-26637.6880433753.757903.1326188.62-9904.66-50168.580.80.93-0.0061-332.97
5-93327.3580413951.259547.9334871.79-12430.57-58530.010.770.81-0.017-1166.59
6-150485804040508827.4531788.66-12589.58-62032.90.70.7-0.028-1881.07
7-15556380394148.759747.6638566.34-13066.4-78076.780.750.71-0.026-1944.54
8-18986080374346.2511542.5950089.45-14347.34-1071800.80.69-0.027-2373.25
9-182096804040501160176744.19-16153.39-1328660.720.72-0.024-2276.2
10-3668948036444511173.5355545.62-17480.48-1231990.640.52-0.049-4586.17
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail24.12-162675102297328.4314187.0535476.7-7864.38-21013.481.80.72-0.032-1594.85
atrtrail34.54-18270510029712912897.5853215.05-7841.33-21013.481.640.67-0.036-1827.05
atrnil38.3-30894997178017.5330640.453215.05-10372.95-21013.482.950.63-0.045-3185.04
atrnil25.89-28968599257425.2519472.4135476.7-10493.19-21013.481.860.63-0.05-2926.12
atrtrail-14.82-21946610029712911629.9459367.29-7841.33-21013.481.480.61-0.045-2194.66

In the table above, row 1 shows the best exit criterion. Profit factor is 0.72. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, Profit Factor:0.717

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018325 Jan 2018 (5.96%), 04 Sep 2018 (-3.08%), 24 Oct 2018 (-3.5%)
2017821 Feb 2017 (-1.04%), 29 May 2017 (-4.03%), 07 Jun 2017 (-1.93%), 20 Jun 2017 (-1.35%), 12 Jul 2017 (5.52%), 05 Dec 2017 (5.88%), 06 Dec 2017 (-3.36%), 28 Dec 2017 (-3.17%)
2016508 Jan 2016 (6.31%), 17 Mar 2016 (-2.05%), 20 May 2016 (5.04%), 26 Aug 2016 (-0.47%), 16 Dec 2016 (6.22%)
2015619 Mar 2015 (8.77%), 20 Mar 2015 (-5.33%), 24 Apr 2015 (1.94%), 10 Jun 2015 (2.65%), 09 Dec 2015 (-3.37%), 10 Dec 2015 (-1.4%)
2014308 Jul 2014 (2.39%), 06 Aug 2014 (3.68%), 16 Dec 2014 (8.78%)
2013716 Jan 2013 (-2.84%), 19 Mar 2013 (9.48%), 11 Apr 2013 (-2.89%), 24 May 2013 (10.08%), 26 Jul 2013 (-4.94%), 29 Jul 2013 (11.39%), 07 Oct 2013 (-5.27%)
2012627 Feb 2012 (-4.2%), 28 Feb 2012 (-1.78%), 26 Mar 2012 (-2.42%), 02 May 2012 (-2.2%), 05 Jun 2012 (0.31%), 09 Jul 2012 (-3.9%)
2011610 May 2011 (-4.2%), 19 May 2011 (-2.63%), 21 Jun 2011 (-0.52%), 11 Jul 2011 (-3.79%), 02 Aug 2011 (7.84%), 15 Nov 2011 (7.94%)
20101106 Jan 2010 (-5.44%), 07 Jan 2010 (-2.45%), 06 Feb 2010 (-6.15%), 23 Feb 2010 (0.03%), 15 Apr 2010 (-3.36%), 08 Jul 2010 (-4.01%), 09 Jul 2010 (-3.89%), 15 Jul 2010 (-3.66%), 16 Jul 2010 (-0.57%), 16 Sep 2010 (-3.26%), 29 Oct 2010 (-3.32%)
2009406 May 2009 (-7.05%), 14 May 2009 (-6.98%), 09 Jun 2009 (-3.58%), 16 Dec 2009 (-5.84%)
2008209 Jan 2008 (17.74%), 13 May 2008 (17.26%)
2007512 Feb 2007 (-6.3%), 13 Feb 2007 (-6.24%), 24 May 2007 (-2.36%), 03 Jul 2007 (-4.61%), 24 Sep 2007 (-3.75%)
2006301 Feb 2006 (-2.14%), 15 May 2006 (-6.83%), 18 Oct 2006 (-3.97%)
2005730 May 2005 (-5.1%), 31 May 2005 (-5.0%), 13 Jun 2005 (-4.83%), 15 Jul 2005 (-1.61%), 07 Dec 2005 (-4.66%), 08 Dec 2005 (-4.58%), 14 Dec 2005 (-1.3%)
2004905 May 2004 (13.03%), 23 Aug 2004 (-3.91%), 08 Oct 2004 (-4.92%), 12 Oct 2004 (2.56%), 19 Nov 2004 (-5.49%), 02 Dec 2004 (-3.53%), 16 Dec 2004 (-5.22%), 17 Dec 2004 (-5.3%), 29 Dec 2004 (-5.55%)
2003607 May 2003 (-3.74%), 12 Jun 2003 (-1.68%), 17 Jul 2003 (4.77%), 06 Aug 2003 (-0.9%), 16 Sep 2003 (16.44%), 30 Dec 2003 (-4.15%)
2002326 Apr 2002 (-7.12%), 21 May 2002 (-10.51%), 18 Dec 2002 (-0.39%)
2001807 Mar 2001 (1.21%), 08 May 2001 (14.96%), 25 Jun 2001 (-3.31%), 06 Aug 2001 (-7.54%), 25 Sep 2001 (-9.37%), 09 Nov 2001 (-5.94%), 19 Nov 2001 (2.28%), 29 Nov 2001 (5.27%)



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