Study: Sell ASHOKLEY 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 ASHOKLEY 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 ASHOKLEY 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
1-834.41101554654.464809.8915510.2-5769.09-36986.30.831-0.00023-8.26
2-27632.77101554654.466706.8529813.66-8619.77-55650.680.780.93-0.005-273.59
3-41383.83101524951.498085.4242608.7-9425.01-57363.010.860.91-0.0063-409.74
46922.88101515050.59188.2851925.47-9233.59-68007.6611.010.0009868.54
5-5945.54101505149.510745.4547080.75-10651.33-69731.81.010.99-0.00076-58.87
6-1716.67101515050.512558.0656461.23-12843.55-80555.560.981-0.00018-17
711529.17101485347.5213901.1772365.81-12372.21-74712.641.121.020.0012114.15
856189.1210051495113725.5954782.61-13139.1-65996.171.041.090.0062561.89
912179910056445613374.4356858.85-14253.84-70019.160.941.190.0131217.99
1058167.0110057435713448.9550894.63-16474.95-80459.770.821.080.0059581.67
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
atrtrail23.72-51178.55120378330.8315141.9844093.79-7366.65-14288.12.060.92-0.0071-426.49
atrnil25.44-75669.2212036843019985.5244093.79-9466.05-16499.972.110.9-0.0089-630.58
atrtrail34.27-72789.23120378330.8314557.9145956.38-7366.65-14288.11.980.88-0.01-606.58
atrnil39.37-104899117269122.2229388.7766140.68-9549.52-20416.033.080.88-0.01-896.57
atrtrail-14.54-102487120378330.8313755.2665839.52-7366.65-14288.11.870.83-0.013-854.06

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 30.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASHOKLEY Performance, Profit Factor:0.916

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Mar 2019 (-0.75%), 19 Sep 2019 (-5.09%), 07 Oct 2019 (-6.99%), 05 Nov 2019 (-4.41%)
2018620 Mar 2018 (5.28%), 10 May 2018 (4.62%), 08 Jun 2018 (6.67%), 18 Jul 2018 (-1.55%), 05 Sep 2018 (-3.48%), 04 Dec 2018 (7.27%)
2017713 Feb 2017 (-2.66%), 21 Jul 2017 (-2.98%), 03 Aug 2017 (-2.68%), 10 Aug 2017 (-2.84%), 22 Sep 2017 (-0.87%), 25 Oct 2017 (-2.47%), 30 Oct 2017 (-2.61%)
2016308 Apr 2016 (-2.72%), 11 Apr 2016 (-2.7%), 02 Aug 2016 (-0.24%)
2015404 Feb 2015 (6.98%), 16 Mar 2015 (7.36%), 17 Apr 2015 (6.41%), 24 Aug 2015 (-4.6%)
2014413 Jan 2014 (-1.77%), 16 Apr 2014 (-5.04%), 02 Jul 2014 (-2.75%), 24 Nov 2014 (1.28%)
2013511 Feb 2013 (-0.43%), 26 Mar 2013 (-3.01%), 07 Jun 2013 (5.96%), 25 Oct 2013 (-3.31%), 07 Nov 2013 (7.63%)
2012222 Jun 2012 (-1.3%), 17 Jul 2012 (-3.33%)
2011311 Jan 2011 (-4.77%), 17 Jan 2011 (-3.52%), 02 Feb 2011 (12.54%)
2010120 May 2010 (1.58%)
2009728 Apr 2009 (-6.95%), 29 Apr 2009 (-6.64%), 10 Jun 2009 (2.93%), 06 Aug 2009 (-3.17%), 11 Sep 2009 (-2.77%), 01 Oct 2009 (0.97%), 23 Nov 2009 (-1.28%)
2008511 Jan 2008 (14.42%), 18 Mar 2008 (-5.69%), 09 May 2008 (10.03%), 24 Jun 2008 (10.07%), 12 Nov 2008 (8.1%)
2007902 Apr 2007 (-3.11%), 11 May 2007 (-3.03%), 11 Jun 2007 (-2.29%), 24 Jul 2007 (-3.05%), 25 Jul 2007 (6.68%), 08 Oct 2007 (-5.99%), 09 Oct 2007 (12.01%), 06 Nov 2007 (-0.71%), 18 Dec 2007 (-6.84%)
2006901 Mar 2006 (-3.52%), 13 Mar 2006 (-1.86%), 13 Apr 2006 (-4.08%), 20 Apr 2006 (-3.21%), 12 May 2006 (8.46%), 14 Jul 2006 (3.29%), 16 Oct 2006 (0.08%), 12 Dec 2006 (-4.53%), 13 Dec 2006 (-4.66%)
2005405 Jan 2005 (-3.51%), 09 Aug 2005 (-4.71%), 05 Dec 2005 (-3.67%), 20 Dec 2005 (6.34%)
2004208 Jul 2004 (-5.64%), 09 Jul 2004 (-5.68%)
2003917 Jan 2003 (-1.93%), 04 Jul 2003 (-0.53%), 25 Aug 2003 (-5.53%), 26 Aug 2003 (-3.42%), 12 Sep 2003 (-3.85%), 17 Oct 2003 (-4.55%), 20 Oct 2003 (-1.51%), 07 Nov 2003 (-2.65%), 16 Dec 2003 (-4.25%)
2002706 Mar 2002 (-6.42%), 25 Apr 2002 (-2.79%), 17 May 2002 (12.72%), 09 Jul 2002 (10.21%), 24 Oct 2002 (-3.32%), 25 Oct 2002 (-3.38%), 23 Dec 2002 (-2.69%)
2001502 Mar 2001 (18.56%), 30 May 2001 (2.32%), 26 Jul 2001 (-4.49%), 05 Sep 2001 (7.91%), 04 Dec 2001 (-2.5%)
2000525 Jan 2000 (-7.14%), 27 Jan 2000 (15.32%), 01 Mar 2000 (22.05%), 13 Nov 2000 (-4.41%), 13 Dec 2000 (8.55%)
19991013 Jan 1999 (-6.1%), 14 Jan 1999 (2.97%), 27 Feb 1999 (-1.3%), 11 Jun 1999 (-4.77%), 02 Jul 1999 (-5.1%), 19 Jul 1999 (-6.01%), 20 Jul 1999 (0.78%), 02 Aug 1999 (-6.89%), 03 Aug 1999 (-6.73%), 20 Aug 1999 (-6.63%)
1998315 Jan 1998 (13.09%), 24 Apr 1998 (-6.83%), 26 Nov 1998 (-4.17%)
1997420 Jan 1997 (1.53%), 29 Apr 1997 (-3.56%), 30 Apr 1997 (7.16%), 25 Jul 1997 (-3.37%)
1996112 Jan 1996 (-1.62%)
1995111 Aug 1995 (-1.85%)



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