Study: Sell ARVIND 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 ARVIND 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 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
1-4238.1690375341.115653.7619527.24-4026.93-17241.381.40.98-0.0015-47.09
2-4723.66904545506865.9626002.06-6970.93-33411.760.980.98-0.0011-52.49
3-8589.590474352.228711.5936998.97-9721.73-34394.90.90.98-0.0016-95.44
467577.6290494154.4410856.4934532.37-11326.6-36624.20.961.150.011750.86
513880590513956.6711928.9532960.89-12040.3-39808.920.991.30.0211542.28
618487490484253.3314193.7731023.52-11819.68-52005.531.21.370.0252054.16
797515.3490504055.5612971.6227416.17-13776.64-48558.760.941.180.0131083.5
818459990504055.5614047.440160.64-12944.28-41241.691.091.360.0252051.1
930677890494154.4416091.6549397.59-11749.11-38580.931.371.640.043408.64
1050976190464451.1122425.31130250-11859.16-41391.691.891.980.0485664.01
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
atrnil38.2423897094296530.8531059.7653664.86-10180.98-22027.63.051.360.0262542.23
atrnil27.5203037101376436.6323331.24101765-10315.92-22027.62.261.310.0222010.27
atrtrail24.7637501.51103366734.9516467.9834162.31-8288.74-22027.61.991.070.0055364.09
atrtrail35.3235344.87101356634.6516689.6751243.46-8315.06-22027.62.011.060.0049349.95
atrtrail-15.78-74571.47101356634.6513549.2134780.55-8315.06-22027.61.630.86-0.012-738.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 30.85%, which is not acceptable. Avoid this strategy. Average return per trade is 1.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018215 May 2018 (9.55%), 13 Nov 2018 (-4.38%)
2017121 Sep 2017 (7.67%)
2016408 Jan 2016 (9.92%), 07 Apr 2016 (-3.95%), 03 Jun 2016 (-3.08%), 14 Dec 2016 (-4.06%)
2015307 May 2015 (-5.01%), 20 May 2015 (-4.49%), 27 Jul 2015 (-4.01%)
2014417 Jan 2014 (-3.94%), 28 Apr 2014 (-3.73%), 09 Jul 2014 (-4.27%), 17 Sep 2014 (-4.49%)
2013511 Jan 2013 (-3.0%), 22 Mar 2013 (-4.61%), 06 Nov 2013 (-3.74%), 26 Nov 2013 (-4.03%), 05 Dec 2013 (-3.73%)
2012521 Feb 2012 (15.49%), 10 Oct 2012 (-3.88%), 19 Nov 2012 (-3.37%), 13 Dec 2012 (-3.61%), 24 Dec 2012 (-3.38%)
2011710 Jan 2011 (-5.6%), 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%)
2010818 Jan 2010 (-4.17%), 19 Jan 2010 (12.59%), 22 Feb 2010 (-4.44%), 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%)
2009328 Apr 2009 (-11.01%), 10 Jun 2009 (26.83%), 06 Oct 2009 (-5.86%)
2008407 Jan 2008 (-5.17%), 08 Jan 2008 (16.87%), 07 Mar 2008 (-9.62%), 09 May 2008 (20.46%)
2007409 Feb 2007 (13.04%), 25 Jul 2007 (-4.79%), 26 Jul 2007 (14.19%), 19 Oct 2007 (-9.28%)
2006121 Jul 2006 (-8.33%)
2005305 Jan 2005 (14.02%), 15 Apr 2005 (-4.07%), 04 Jun 2005 (10.56%)
2004306 Jan 2004 (14.23%), 26 Feb 2004 (-7.18%), 10 Dec 2004 (-3.8%)
2003602 Jun 2003 (-5.42%), 15 Jul 2003 (-5.15%), 01 Aug 2003 (-4.75%), 15 Sep 2003 (-6.47%), 21 Oct 2003 (-5.54%), 12 Dec 2003 (-4.32%)
2002508 Mar 2002 (-7.31%), 14 May 2002 (16.02%), 03 Jul 2002 (-6.1%), 16 Jul 2002 (-5.85%), 10 Dec 2002 (-4.02%)
2001412 Apr 2001 (-8.53%), 08 Jun 2001 (23.42%), 03 Sep 2001 (-6.81%), 13 Dec 2001 (-7.48%)
2000320 Apr 2000 (25.62%), 26 Jun 2000 (22.61%), 19 Dec 2000 (21.26%)
1999619 Jan 1999 (-5.79%), 21 Jan 1999 (-5.51%), 28 Jan 1999 (18.0%), 17 Jun 1999 (-7.14%), 02 Jul 1999 (-6.08%), 19 Jul 1999 (20.06%)
1998412 Jan 1998 (12.95%), 22 Apr 1998 (17.37%), 11 Aug 1998 (-5.75%), 12 Aug 1998 (-5.78%)
1997520 Jan 1997 (-3.95%), 26 Feb 1997 (-3.21%), 11 Mar 1997 (-4.46%), 12 Mar 1997 (13.34%), 22 Jul 1997 (-3.03%)
1996309 May 1996 (-5.32%), 19 Jun 1996 (8.5%), 10 Sep 1996 (-4.84%)
1995119 Oct 1995 (9.52%)



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