Study: Sell ANDHRABANK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK 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 ANDHRABANK 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
170958.49132636947.734870.9833725.49-3419.03-16187.051.421.30.022537.56
24277.68132676550.764981.8850588.24-5069.36-20603.910.981.010.001132.41
335427.37132726054.555881.9436274.51-6467.87-23550.720.911.090.0078268.39
41439.46132656749.247412.5839411.76-7169.82-22467.41.0310.0002710.9
530484.36132627046.979054.0532745.1-7583.81-35036.51.191.060.0051230.94
6-14831.02132646848.489461.1538116.39-9122.71-48175.181.040.98-0.0022-112.36
717095.96131646748.8510488.1555886.27-9763.37-41849.151.071.030.0023130.5
812811.5131636848.0910984.5840494.3-9988.49-46715.331.11.020.001797.8
976596.53131676451.1511992.4944780.1-11357.81-433091.061.110.0092584.71
1020099.39131696252.6712139.448202.61-13185.79-50252.950.921.020.0022153.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.3. 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 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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-1170958.49132636947.734870.9833725.49-3419.03-16187.051.421.30.022537.56
atrtrail23.87-21189.181595210732.711668.8934908.08-5868.89-13363.91.990.97-0.0033-133.27
atrnil37.24-40345.171533811524.8423857.3135162.97-8234.11-17454.042.90.96-0.0044-263.69
atrtrail34.22-29979.471575010731.8511741.1736021.35-5766.71-13363.92.040.95-0.0045-190.95
atrnil25.45-48142.421585010831.6516683.1634908.08-8169.45-15499.972.040.95-0.0061-304.7
atrtrail-14.59-1101001564910731.4110345.6740824.98-5766.71-13363.91.790.82-0.018-705.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
ANDHRABANK Performance, X=1, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018729 Jan 2018 (1.84%), 07 Mar 2018 (-0.25%), 19 Apr 2018 (5.89%), 20 Jun 2018 (1.17%), 13 Jul 2018 (3.59%), 13 Aug 2018 (1.23%), 05 Sep 2018 (1.61%)
2017916 Feb 2017 (0.37%), 22 Mar 2017 (-1.1%), 19 Apr 2017 (-2.45%), 15 May 2017 (-2.91%), 23 Jun 2017 (3.95%), 03 Aug 2017 (-2.09%), 29 Sep 2017 (-0.36%), 08 Nov 2017 (-0.08%), 28 Dec 2017 (1.27%)
20161007 Jan 2016 (-0.0%), 11 Feb 2016 (3.24%), 28 Mar 2016 (-0.4%), 03 May 2016 (5.13%), 19 Jul 2016 (-0.93%), 29 Aug 2016 (-4.83%), 16 Sep 2016 (-1.19%), 02 Nov 2016 (2.02%), 21 Nov 2016 (1.15%), 20 Dec 2016 (-0.41%)
2015807 Jan 2015 (-2.82%), 23 Apr 2015 (2.47%), 03 Jun 2015 (1.19%), 24 Jul 2015 (-2.17%), 12 Aug 2015 (-0.21%), 23 Oct 2015 (2.29%), 20 Nov 2015 (-1.35%), 07 Dec 2015 (2.36%)
2014610 Jan 2014 (-0.89%), 16 Apr 2014 (-2.45%), 12 Jun 2014 (5.04%), 25 Sep 2014 (-6.41%), 20 Nov 2014 (-0.78%), 09 Dec 2014 (-5.98%)
2013615 Jan 2013 (2.56%), 09 Apr 2013 (-0.88%), 23 May 2013 (0.29%), 11 Jun 2013 (-0.18%), 16 Jul 2013 (2.47%), 18 Nov 2013 (0.08%)
2012724 Feb 2012 (5.26%), 15 Mar 2012 (1.44%), 23 Apr 2012 (-0.79%), 04 Jul 2012 (-0.85%), 28 Aug 2012 (0.98%), 10 Oct 2012 (-1.58%), 21 Dec 2012 (-0.75%)
20111007 Jan 2011 (4.14%), 25 Feb 2011 (0.59%), 13 Apr 2011 (0.74%), 18 May 2011 (0.73%), 15 Jun 2011 (2.85%), 04 Aug 2011 (-0.34%), 13 Sep 2011 (0.33%), 05 Oct 2011 (-1.73%), 24 Oct 2011 (0.57%), 13 Dec 2011 (0.38%)
20101027 Jan 2010 (-0.54%), 25 Feb 2010 (-4.21%), 17 Mar 2010 (-0.65%), 14 May 2010 (1.69%), 11 Jun 2010 (-0.51%), 28 Jul 2010 (-2.11%), 27 Aug 2010 (1.14%), 23 Sep 2010 (-1.69%), 08 Oct 2010 (-1.8%), 05 Nov 2010 (1.07%)
2009807 Jan 2009 (2.66%), 17 Feb 2009 (1.43%), 05 Jun 2009 (5.46%), 07 Aug 2009 (2.26%), 26 Aug 2009 (-0.06%), 05 Oct 2009 (-1.35%), 29 Oct 2009 (0.18%), 13 Nov 2009 (-0.65%)
2008711 Jan 2008 (-3.55%), 05 Mar 2008 (4.16%), 13 May 2008 (-0.12%), 19 Aug 2008 (-0.54%), 15 Sep 2008 (-8.09%), 23 Oct 2008 (16.86%), 22 Dec 2008 (1.99%)
2007725 Jan 2007 (-0.35%), 02 Apr 2007 (0.7%), 08 May 2007 (-1.67%), 24 May 2007 (1.53%), 26 Jul 2007 (2.83%), 05 Oct 2007 (8.63%), 18 Dec 2007 (1.54%)
2006424 Apr 2006 (0.19%), 16 May 2006 (-3.73%), 28 Aug 2006 (-1.63%), 20 Nov 2006 (-0.44%)
2005816 Feb 2005 (2.06%), 23 Mar 2005 (1.28%), 02 Jun 2005 (-1.43%), 20 Jun 2005 (-0.51%), 05 Aug 2005 (4.97%), 23 Sep 2005 (-2.94%), 13 Oct 2005 (1.59%), 23 Dec 2005 (-5.23%)
2004909 Jan 2004 (-1.09%), 23 Feb 2004 (-0.43%), 16 Mar 2004 (-0.7%), 30 Apr 2004 (2.21%), 21 Jun 2004 (-0.25%), 12 Aug 2004 (-0.24%), 12 Oct 2004 (1.09%), 16 Dec 2004 (0.98%), 30 Dec 2004 (-5.86%)
2003903 Jan 2003 (3.41%), 28 Jan 2003 (-3.68%), 28 Feb 2003 (-2.74%), 22 Apr 2003 (3.4%), 20 May 2003 (-4.08%), 03 Jun 2003 (-2.84%), 01 Aug 2003 (0.86%), 23 Oct 2003 (-2.07%), 06 Nov 2003 (0.44%)
2002528 Feb 2002 (-0.0%), 08 May 2002 (-0.0%), 25 Jun 2002 (5.21%), 28 Aug 2002 (-0.0%), 25 Oct 2002 (-3.0%)
2001205 Sep 2001 (2.42%), 05 Nov 2001 (-0.0%)



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