Study: Sell ARVIND when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ARVIND 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 ARVIND 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
1-1172082048412041.184653.8617468.81-4234.43-225001.10.77-0.02-574.55
2-2085792049411046.085510.1121996.19-6604.81-33411.760.830.71-0.025-1022.45
3-2877122049910548.536347.6924157.66-8725.08-40341.880.730.69-0.028-1410.35
4-18343620410310150.498320.1530514.94-10301.11-46153.850.810.82-0.014-899.2
5-1677212041059951.479586.3132960.89-11861.45-47179.490.810.86-0.011-822.16
6-19398420410410050.9810990.4750428.27-13369.93-65641.030.820.85-0.012-950.9
7-3938062041079752.4510721.9944004.28-15887.21-82828.280.670.74-0.022-1930.42
8-3547532049710747.5512240.3140160.64-14411.81-65898.170.850.77-0.02-1738.99
9-2222912049810648.0413751.1349397.59-14810.4-66666.670.930.86-0.012-1089.66
1075746.652041021025016392.02130250-15649.41-74074.071.051.050.0034371.31
Although, strategy looks good but profit factor on day 3 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
atrnil39.092079422035514827.0929936.6158710.94-9720.08-22027.63.081.140.0111024.34
atrnil27.161520812207414633.6421278.96101765-9743.58-22027.62.181.110.0086691.28
atrtrail35.02-1233332297415532.3113925.1251243.46-7443.82-22027.61.870.89-0.0086-538.57
atrtrail24.6-1556202317515632.4713396.3134162.31-7438.1-22027.61.80.87-0.012-673.68
atrtrail-15.41-3029382277315432.1611305.8734979.99-7326.4-22027.61.540.73-0.025-1334.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 27.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
ARVIND Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018802 Jan 2018 (-2.96%), 18 Jan 2018 (9.33%), 19 Mar 2018 (-3.53%), 27 Apr 2018 (-2.85%), 15 May 2018 (9.55%), 27 Jun 2018 (-2.82%), 07 Aug 2018 (10.7%), 13 Nov 2018 (-4.38%)
20171107 Feb 2017 (-2.89%), 08 Feb 2017 (-2.89%), 22 Mar 2017 (-2.68%), 07 Apr 2017 (-2.42%), 12 May 2017 (8.65%), 27 Jun 2017 (-2.57%), 25 Jul 2017 (-2.27%), 21 Aug 2017 (-3.0%), 21 Sep 2017 (7.67%), 14 Nov 2017 (-3.72%), 01 Dec 2017 (-2.99%)
2016808 Jan 2016 (9.92%), 07 Apr 2016 (-3.95%), 06 May 2016 (-3.62%), 03 Jun 2016 (-3.08%), 24 Jun 2016 (-3.4%), 13 Jul 2016 (9.19%), 14 Oct 2016 (-3.03%), 14 Dec 2016 (-4.06%)
2015908 Jan 2015 (-3.7%), 25 Feb 2015 (-4.02%), 05 Mar 2015 (11.57%), 21 Apr 2015 (-4.03%), 07 May 2015 (-5.01%), 20 May 2015 (-4.49%), 27 Jul 2015 (-4.01%), 26 Oct 2015 (-3.41%), 09 Dec 2015 (-3.33%)
20141017 Jan 2014 (-3.94%), 13 Mar 2014 (-3.73%), 28 Apr 2014 (-3.73%), 09 Jul 2014 (-4.27%), 25 Jul 2014 (-4.73%), 11 Aug 2014 (-5.2%), 17 Sep 2014 (-4.49%), 11 Nov 2014 (-4.08%), 24 Nov 2014 (-3.54%), 09 Dec 2014 (-4.31%)
20131211 Jan 2013 (-3.0%), 22 Mar 2013 (-4.61%), 26 Apr 2013 (-4.76%), 14 May 2013 (-4.2%), 20 May 2013 (-4.32%), 13 Jun 2013 (-4.31%), 14 Jun 2013 (12.69%), 06 Aug 2013 (-5.59%), 24 Sep 2013 (-3.84%), 06 Nov 2013 (-3.74%), 26 Nov 2013 (-4.03%), 05 Dec 2013 (-3.73%)
2012807 Feb 2012 (-5.28%), 21 Feb 2012 (15.49%), 23 Mar 2012 (-5.94%), 10 May 2012 (17.55%), 10 Oct 2012 (-3.88%), 19 Nov 2012 (-3.37%), 13 Dec 2012 (-3.61%), 24 Dec 2012 (-3.38%)
2011910 Jan 2011 (-5.6%), 07 Mar 2011 (-5.97%), 18 Mar 2011 (-5.81%), 29 Apr 2011 (-4.92%), 10 Jun 2011 (-4.84%), 02 Aug 2011 (12.91%), 05 Oct 2011 (-5.01%), 28 Oct 2011 (11.4%), 12 Dec 2011 (17.29%)
20101318 Jan 2010 (-4.17%), 19 Jan 2010 (12.59%), 22 Feb 2010 (-4.44%), 15 Mar 2010 (-3.88%), 25 Mar 2010 (-4.38%), 20 Apr 2010 (-3.62%), 05 May 2010 (12.71%), 08 Jun 2010 (-4.48%), 09 Jul 2010 (-3.51%), 20 Jul 2010 (-3.31%), 27 Aug 2010 (-4.64%), 08 Oct 2010 (-3.96%), 15 Nov 2010 (14.69%)
2009707 Jan 2009 (-10.63%), 19 Feb 2009 (21.04%), 28 Apr 2009 (-11.01%), 10 Jun 2009 (26.83%), 17 Aug 2009 (-6.13%), 06 Oct 2009 (-5.86%), 26 Nov 2009 (-5.14%)
2008507 Jan 2008 (-5.17%), 08 Jan 2008 (16.87%), 07 Mar 2008 (-9.62%), 09 May 2008 (20.46%), 22 Aug 2008 (17.59%)
20071109 Feb 2007 (13.04%), 27 Apr 2007 (-4.21%), 14 May 2007 (-4.12%), 24 May 2007 (-4.06%), 06 Jun 2007 (-3.63%), 25 Jul 2007 (-4.79%), 26 Jul 2007 (14.19%), 19 Sep 2007 (-5.24%), 19 Oct 2007 (-9.28%), 31 Oct 2007 (-7.98%), 20 Dec 2007 (-6.72%)
2006616 Mar 2006 (-3.79%), 24 Apr 2006 (13.87%), 12 May 2006 (15.31%), 21 Jul 2006 (-8.33%), 19 Sep 2006 (-4.77%), 12 Oct 2006 (11.67%)
2005905 Jan 2005 (14.02%), 17 Feb 2005 (-4.74%), 09 Mar 2005 (11.61%), 15 Apr 2005 (-4.07%), 04 Jun 2005 (10.56%), 09 Aug 2005 (-3.32%), 22 Sep 2005 (-4.07%), 07 Oct 2005 (10.65%), 19 Dec 2005 (9.51%)
20041206 Jan 2004 (14.23%), 26 Feb 2004 (-7.18%), 29 Apr 2004 (-5.2%), 14 May 2004 (23.85%), 17 May 2004 (-9.95%), 03 Jun 2004 (-7.77%), 14 Jun 2004 (-6.67%), 08 Jul 2004 (-5.64%), 26 Jul 2004 (-5.05%), 10 Sep 2004 (-2.98%), 14 Oct 2004 (-3.17%), 10 Dec 2004 (-3.8%)
2003927 Jan 2003 (-4.46%), 10 Mar 2003 (-4.3%), 02 Jun 2003 (-5.42%), 15 Jul 2003 (-5.15%), 01 Aug 2003 (-4.75%), 22 Aug 2003 (-5.39%), 15 Sep 2003 (-6.47%), 21 Oct 2003 (-5.54%), 12 Dec 2003 (-4.32%)
2002808 Mar 2002 (-7.31%), 23 Apr 2002 (-6.76%), 14 May 2002 (16.02%), 03 Jul 2002 (-6.1%), 16 Jul 2002 (-5.85%), 22 Aug 2002 (-5.6%), 25 Sep 2002 (-5.08%), 10 Dec 2002 (-4.02%)
2001712 Apr 2001 (-8.53%), 08 Jun 2001 (23.42%), 26 Jul 2001 (-5.75%), 27 Jul 2001 (-5.61%), 03 Sep 2001 (-6.81%), 09 Oct 2001 (-6.77%), 13 Dec 2001 (-7.48%)
2000614 Jan 2000 (19.32%), 06 Mar 2000 (29.36%), 20 Apr 2000 (25.62%), 26 Jun 2000 (22.61%), 22 Sep 2000 (-9.12%), 19 Dec 2000 (21.26%)
19991019 Jan 1999 (-5.79%), 21 Jan 1999 (-5.51%), 28 Jan 1999 (18.0%), 09 Apr 1999 (-6.68%), 01 Jun 1999 (-8.0%), 17 Jun 1999 (-7.14%), 02 Jul 1999 (-6.08%), 19 Jul 1999 (20.06%), 14 Sep 1999 (16.6%), 29 Oct 1999 (15.02%)
1998912 Jan 1998 (12.95%), 22 Apr 1998 (17.37%), 02 Jun 1998 (19.7%), 27 Jul 1998 (-5.89%), 11 Aug 1998 (-5.75%), 12 Aug 1998 (-5.78%), 30 Sep 1998 (12.83%), 03 Nov 1998 (-6.02%), 26 Nov 1998 (-5.05%)
1997820 Jan 1997 (-3.95%), 26 Feb 1997 (-3.21%), 11 Mar 1997 (-4.46%), 12 Mar 1997 (13.34%), 26 May 1997 (-2.88%), 22 Jul 1997 (-3.03%), 28 Oct 1997 (-3.73%), 29 Oct 1997 (11.43%)
1996609 Jan 1996 (12.55%), 11 Mar 1996 (-4.41%), 09 May 1996 (-5.32%), 19 Jun 1996 (8.5%), 10 Sep 1996 (-4.84%), 27 Sep 1996 (-3.77%)
1995221 Apr 1995 (8.6%), 19 Oct 1995 (9.52%)



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