Study: Sell ALBK 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 ALBK 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 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
173826.1155292652.736418.5431283.42-4319.67-11162.791.491.660.0451342.29
2424.2955292652.737040.0925693.04-7836.09-25668.450.910.00027.71
3-27886.3755302554.556383.2118836.23-8775.31-31818.180.730.87-0.013-507.02
4-12169555253045.458364.7427354.53-11027.1-53623.190.760.63-0.04-2212.63
5-20268955272849.097718.6924110.38-14681.91-65797.10.530.51-0.055-3685.25
6-24137455243143.648429.0328903.41-14311.94-84057.970.590.46-0.06-4388.61
7-23189655233241.829701.3131663.04-14219.55-84057.970.680.49-0.058-4216.28
8-23455755213438.1812154.5840059.79-14405.99-78550.720.840.52-0.055-4264.68
9-24089155243143.6410939.6748031.89-16240.09-54010.70.670.52-0.057-4379.83
10-24014355262947.2710859.6556502.24-18017.03-58840.580.60.54-0.055-4366.24

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.66. 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 52.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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-1173826.1155292652.736418.5431283.42-4319.67-11162.791.491.660.0451342.29
atrtrail34.2820602.2760233738.3311335.5242394.85-6489.58-13484.541.751.090.0073343.37
atrtrail23.8116654.262233937.111426.1530334.96-6311.47-13484.541.811.070.0063268.62
atrtrail-15.0312108.1260223836.6711819.146480.87-6524-13484.541.811.050.004201.8
atrnil26.1-10558862184429.0317239.6930334.96-9452.33-21513.451.820.75-0.033-1703.03
atrnil38.15-18122760114918.3325622.8742394.85-9450.58-21513.452.710.61-0.053-3020.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 52.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Mar 2019 (3.4%)
2018329 Jan 2018 (1.02%), 07 Mar 2018 (-0.65%), 13 Nov 2018 (-3.48%)
2017316 Feb 2017 (0.35%), 18 May 2017 (0.9%), 10 Nov 2017 (2.94%)
2016211 Feb 2016 (3.84%), 19 Jul 2016 (-0.13%)
2015226 Feb 2015 (-5.55%), 29 Jun 2015 (0.46%)
2014207 May 2014 (4.37%), 13 Jun 2014 (-2.01%)
2013511 Jan 2013 (-4.61%), 26 Feb 2013 (-0.98%), 20 Mar 2013 (4.16%), 06 Jun 2013 (2.41%), 26 Jul 2013 (4.55%)
2012324 Feb 2012 (8.4%), 31 May 2012 (1.76%), 09 Oct 2012 (3.29%)
2011610 Jan 2011 (-1.28%), 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%)
2010616 Apr 2010 (-4.32%), 03 May 2010 (3.64%), 20 Aug 2010 (-2.61%), 21 Sep 2010 (-0.63%), 08 Oct 2010 (-2.05%), 12 Nov 2010 (-0.83%)
2009308 Jun 2009 (-0.89%), 05 Oct 2009 (2.05%), 27 Oct 2009 (-1.8%)
2008204 Mar 2008 (1.2%), 21 Aug 2008 (0.16%)
2007203 Apr 2007 (-0.64%), 27 Jul 2007 (-1.07%)
2006418 Apr 2006 (0.69%), 22 May 2006 (-5.58%), 29 Jun 2006 (1.08%), 07 Sep 2006 (-2.07%)
2005210 Jan 2005 (6.15%), 28 Mar 2005 (3.31%)
2004622 Jan 2004 (-3.21%), 28 Apr 2004 (-4.2%), 14 May 2004 (15.64%), 20 Oct 2004 (2.3%), 13 Dec 2004 (-1.19%), 27 Dec 2004 (0.93%)
2003322 May 2003 (-2.99%), 09 Jun 2003 (6.76%), 31 Oct 2003 (1.1%)



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