Study: Sell ANDHRABANK 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 ANDHRABANK 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 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
161850.3152302257.694517.5210913.02-3348.87-11722.911.351.840.0571189.43
28895.7652282453.854761.2112594.7-5184.09-20603.910.921.070.0065171.07
3-2754.1552282453.855555.4117048.35-6596.06-23550.720.840.98-0.0016-52.96
4-60781.9952213140.387238.7318801.84-6864.36-22463.771.050.71-0.032-1168.88
5-71414.9152213140.389012.9624356.22-8409.26-35036.51.070.73-0.03-1373.36
6-67269.9252213140.3811409.6338116.39-9899.1-48175.181.150.78-0.022-1293.65
7-16424.8752213140.3814131.6755886.27-10102.9-41849.151.40.95-0.0047-315.86
8-56640.0952213140.3813701.4634473.57-11108.73-46715.331.230.84-0.017-1089.23
9-36538.7152232944.2313668.2344780.1-12100.28-433091.130.9-0.01-702.67
10-91684.3752223042.3114838.3548202.61-13937.6-50252.951.060.78-0.022-1763.16

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.84. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1161850.3152302257.694517.5210913.02-3348.87-11722.911.351.840.0571189.43
atrtrail33.9826059.5460204033.3313065.0133241.07-5881.02-13363.92.221.110.0092434.33
atrnil37.1-4529.9760144623.3326790.6435036.29-8252.15-15499.973.250.99-0.0012-75.5
atrtrail-14.37-18505.6360204033.3310836.7640824.98-5881.02-13363.91.840.92-0.0073-308.43
atrtrail23.66-39252.9861204132.7910457.5923357.52-6058.65-13363.91.730.84-0.017-643.49
atrnil25.46-69091.6761174427.8717656.6325966.96-8392.14-15499.972.10.81-0.023-1132.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ANDHRABANK Performance, X=1, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018229 Jan 2018 (1.84%), 07 Mar 2018 (-0.25%)
2017516 Feb 2017 (0.37%), 19 Apr 2017 (-2.45%), 15 May 2017 (-2.91%), 23 Jun 2017 (3.95%), 08 Nov 2017 (-0.08%)
2016311 Feb 2016 (3.24%), 19 Jul 2016 (-0.93%), 20 Dec 2016 (-0.41%)
2014316 Apr 2014 (-2.45%), 12 Jun 2014 (5.04%), 20 Nov 2014 (-0.78%)
2013215 Jan 2013 (2.56%), 18 Nov 2013 (0.08%)
2012524 Feb 2012 (5.26%), 15 Mar 2012 (1.44%), 28 Aug 2012 (0.98%), 10 Oct 2012 (-1.58%), 21 Dec 2012 (-0.75%)
2011507 Jan 2011 (4.14%), 13 Sep 2011 (0.33%), 05 Oct 2011 (-1.73%), 24 Oct 2011 (0.57%), 13 Dec 2011 (0.38%)
2010314 May 2010 (1.69%), 28 Jul 2010 (-2.11%), 27 Aug 2010 (1.14%)
2009405 Jun 2009 (5.46%), 07 Aug 2009 (2.26%), 05 Oct 2009 (-1.35%), 29 Oct 2009 (0.18%)
2008111 Jan 2008 (-3.55%)
2007324 May 2007 (1.53%), 26 Jul 2007 (2.83%), 18 Dec 2007 (1.54%)
2006128 Aug 2006 (-1.63%)
2005223 Mar 2005 (1.28%), 05 Aug 2005 (4.97%)
2004609 Jan 2004 (-1.09%), 30 Apr 2004 (2.21%), 21 Jun 2004 (-0.25%), 12 Oct 2004 (1.09%), 16 Dec 2004 (0.98%), 30 Dec 2004 (-5.86%)
2003203 Jan 2003 (3.41%), 28 Jan 2003 (-3.68%)
2002428 Feb 2002 (-0.0%), 08 May 2002 (-0.0%), 25 Jun 2002 (5.21%), 25 Oct 2002 (-3.0%)
2001112 Nov 2001 (1.81%)



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