Study: Sell ALBK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ALBK when there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ALBK 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
184914.59140697149.295208.7131283.42-3866.01-13333.331.351.310.024606.53
2-96431.08140667447.145821.3525693.04-6495.14-25668.450.90.8-0.02-688.79
3-136531140697149.295838.4418836.23-7596.95-31818.180.770.75-0.028-975.22
4-213291140647645.717529.8227354.53-9147.36-53623.190.820.69-0.033-1523.51
5-261690140627844.298283.3632846.72-9939.21-65797.10.830.66-0.034-1869.21
6-2417441406377459273.9135586.64-10727.28-84057.970.860.71-0.029-1726.75
7-206215139627744.610878.0346055.27-11437.05-84057.970.950.77-0.023-1483.56
8-281102139607943.1711256.9641074.98-12107.84-78550.720.930.71-0.031-2022.32
9-356841139607943.1711229.7943512.04-13045.93-54010.70.860.65-0.039-2567.2
10-345666139627744.611536.9140870.24-13778.64-58840.580.840.67-0.036-2486.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.31. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 49.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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-1184914.59140697149.295208.7131283.42-3866.01-13333.331.351.310.024606.53
atrtrail34.5912319.57154579737.0111113.6243485.58-6403.68-13484.541.741.020.001880
atrtrail-15.22-7692.76153569736.610885.6452267.71-6363.8-13484.541.710.99-0.0011-50.28
atrtrail24.15-32853.56156579936.5410426.9530334.96-6335.25-13484.541.650.95-0.0054-210.6
atrnil26.35-57661.271515010133.1116488.7230334.96-8733.64-21513.451.890.93-0.0077-381.86
atrnil38.08-1122561463511123.9724578.3443485.58-8761.24-21513.452.810.88-0.013-768.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 49.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
ALBK Performance, X=1, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Feb 2019 (-0.59%), 22 Mar 2019 (3.4%), 06 Jun 2019 (1.19%)
20181002 Jan 2018 (-0.07%), 29 Jan 2018 (1.02%), 07 Mar 2018 (-0.65%), 20 Apr 2018 (-1.55%), 25 Jun 2018 (-0.73%), 13 Jul 2018 (2.34%), 13 Aug 2018 (6.55%), 07 Sep 2018 (1.11%), 13 Nov 2018 (-3.48%), 06 Dec 2018 (3.9%)
2017716 Feb 2017 (0.35%), 23 Mar 2017 (-3.31%), 18 Apr 2017 (0.62%), 18 May 2017 (0.9%), 03 Aug 2017 (-0.14%), 25 Sep 2017 (-0.07%), 10 Nov 2017 (2.94%)
20161007 Jan 2016 (-0.47%), 11 Feb 2016 (3.84%), 08 Apr 2016 (-4.64%), 02 May 2016 (0.97%), 19 Jul 2016 (-0.13%), 29 Aug 2016 (-6.67%), 14 Sep 2016 (1.26%), 28 Oct 2016 (0.53%), 17 Nov 2016 (-0.92%), 20 Dec 2016 (0.79%)
20151206 Jan 2015 (0.72%), 26 Feb 2015 (-5.55%), 23 Mar 2015 (1.26%), 27 Apr 2015 (-1.23%), 12 May 2015 (-3.05%), 26 May 2015 (-2.94%), 29 Jun 2015 (0.46%), 27 Jul 2015 (0.42%), 13 Aug 2015 (-6.0%), 29 Oct 2015 (-0.6%), 18 Nov 2015 (-0.61%), 07 Dec 2015 (3.49%)
2014713 Jan 2014 (-0.16%), 07 May 2014 (4.37%), 13 Jun 2014 (-2.01%), 27 Aug 2014 (0.39%), 24 Sep 2014 (12.11%), 25 Nov 2014 (-0.4%), 15 Dec 2014 (5.23%)
20131111 Jan 2013 (-4.61%), 26 Feb 2013 (-0.98%), 20 Mar 2013 (4.16%), 07 May 2013 (2.61%), 23 May 2013 (-1.15%), 06 Jun 2013 (2.41%), 26 Jul 2013 (4.55%), 30 Sep 2013 (-3.16%), 17 Oct 2013 (-1.38%), 13 Nov 2013 (-2.01%), 13 Dec 2013 (1.91%)
2012524 Feb 2012 (8.4%), 31 May 2012 (1.76%), 12 Jul 2012 (0.87%), 09 Oct 2012 (3.29%), 19 Nov 2012 (1.61%)
20111110 Jan 2011 (-1.28%), 02 Feb 2011 (-2.72%), 28 Feb 2011 (-5.37%), 11 Apr 2011 (-1.42%), 21 Jun 2011 (0.29%), 28 Jul 2011 (-0.17%), 12 Sep 2011 (-1.56%), 03 Oct 2011 (5.63%), 26 Oct 2011 (-1.65%), 18 Nov 2011 (0.58%), 13 Dec 2011 (0.5%)
2010904 Feb 2010 (2.7%), 23 Mar 2010 (-1.64%), 16 Apr 2010 (-4.32%), 03 May 2010 (3.64%), 16 Jun 2010 (-0.97%), 20 Aug 2010 (-2.61%), 21 Sep 2010 (-0.63%), 08 Oct 2010 (-2.05%), 12 Nov 2010 (-0.83%)
2009715 Jan 2009 (-2.48%), 19 Feb 2009 (2.03%), 08 Jun 2009 (-0.89%), 07 Aug 2009 (4.03%), 05 Oct 2009 (2.05%), 27 Oct 2009 (-1.8%), 27 Nov 2009 (1.19%)
2008711 Jan 2008 (-3.68%), 21 Feb 2008 (0.7%), 23 May 2008 (4.2%), 21 Aug 2008 (0.16%), 12 Sep 2008 (4.68%), 29 Sep 2008 (-1.45%), 19 Nov 2008 (2.99%)
2007911 Jan 2007 (-2.86%), 05 Feb 2007 (0.62%), 03 Apr 2007 (-0.64%), 01 Jun 2007 (-0.12%), 27 Jul 2007 (-1.07%), 08 Oct 2007 (-3.41%), 12 Nov 2007 (-3.97%), 28 Nov 2007 (2.77%), 17 Dec 2007 (-0.13%)
20061001 Feb 2006 (-1.72%), 17 Feb 2006 (0.49%), 27 Mar 2006 (-0.0%), 18 Apr 2006 (0.69%), 22 May 2006 (-5.58%), 29 Jun 2006 (1.08%), 07 Sep 2006 (-2.07%), 11 Oct 2006 (-0.87%), 03 Nov 2006 (0.62%), 20 Nov 2006 (-0.38%)
2005710 Jan 2005 (6.15%), 28 Mar 2005 (3.31%), 04 Jun 2005 (-1.67%), 20 Jun 2005 (-1.83%), 05 Aug 2005 (3.17%), 22 Sep 2005 (-1.18%), 07 Oct 2005 (-0.0%)
2004922 Jan 2004 (-3.21%), 18 Feb 2004 (3.92%), 28 Apr 2004 (-4.2%), 14 May 2004 (15.64%), 30 Jul 2004 (0.81%), 13 Sep 2004 (0.14%), 20 Oct 2004 (2.3%), 13 Dec 2004 (-1.19%), 27 Dec 2004 (0.93%)
2003623 Apr 2003 (-1.39%), 22 May 2003 (-2.99%), 09 Jun 2003 (6.76%), 05 Aug 2003 (0.81%), 03 Sep 2003 (1.31%), 31 Oct 2003 (1.1%)



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