Study: Sell AUROPHARMA when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell AUROPHARMA 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 AUROPHARMA 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
1125907181978453.594846.8629245.86-4098.07-21917.311.181.370.023695.62
2117862181938851.386988.7946815.21-6046.53-33323.241.161.220.014651.17
3114595181968553.048886.7593682.18-8688.63-52014.541.021.160.0092633.12
446444.46181958652.499564.6691102-10025.56-68403.510.951.050.0034256.6
5-17253.51181919050.2810254.2485290.57-10559.89-75627.680.970.98-0.0012-95.32
6-82238.93181928950.8311208.0484277.79-12509.87-75172.780.90.93-0.0052-454.36
7-103745181889348.6212809.2487388.47-13236.11-71382.930.970.92-0.0062-573.18
835755.22181928950.8312639.7989486.38-12664.11-66636.2411.030.0022197.54
99608.75181988354.1412170.189317.58-14253.75-63030.580.851.010.0005853.09
10-94544.08181938851.3813121.389317.58-14941.2-78167.940.880.93-0.0053-522.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. 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 53.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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-11125907181978453.594846.8629245.86-4098.07-21917.311.181.370.023695.62
atrtrail-14.861576872106914132.8614861.19114007-6154.15-15610.252.411.180.011750.89
atrtrail34.378224.032106914132.8613709.5643769.97-6154.15-15610.252.231.090.0066372.5
atrnil37.63-13080.871995114825.6324456.8547566.95-8516.08-18176.012.870.99-0.0009-65.73
atrtrail23.84-11360.212157014532.5612650.529179.98-6185.49-16120.352.050.99-0.0011-52.84
atrnil25.42-68735.872126814432.0816823.9631711.3-8421.98-18176.0120.94-0.0054-324.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 53.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
AUROPHARMA Performance, X=1, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019629 Jan 2019 (-2.02%), 09 Apr 2019 (-0.52%), 03 May 2019 (0.02%), 17 Jun 2019 (0.17%), 18 Jul 2019 (3.07%), 19 Sep 2019 (-2.14%)
2018715 Jan 2018 (2.57%), 14 Mar 2018 (0.95%), 03 May 2018 (1.0%), 11 Jul 2018 (0.45%), 21 Sep 2018 (4.11%), 15 Nov 2018 (-0.26%), 06 Dec 2018 (0.13%)
2017631 Jan 2017 (2.03%), 09 Mar 2017 (0.86%), 29 Mar 2017 (-0.22%), 22 May 2017 (5.82%), 20 Sep 2017 (-0.95%), 10 Nov 2017 (4.04%)
2016707 Jan 2016 (-0.37%), 25 Apr 2016 (-1.52%), 13 May 2016 (-0.45%), 09 Jun 2016 (1.3%), 02 Aug 2016 (2.23%), 16 Sep 2016 (-2.51%), 15 Dec 2016 (0.52%)
2015607 Jan 2015 (-1.96%), 05 Feb 2015 (3.64%), 22 Apr 2015 (1.04%), 26 May 2015 (0.53%), 08 Oct 2015 (-4.92%), 04 Nov 2015 (0.1%)
2014802 Jan 2014 (-4.47%), 14 Feb 2014 (-2.78%), 16 Apr 2014 (-0.58%), 12 May 2014 (-5.08%), 03 Jun 2014 (-0.68%), 08 Jul 2014 (7.61%), 14 Oct 2014 (3.61%), 26 Nov 2014 (0.11%)
2013909 Jan 2013 (2.88%), 08 Feb 2013 (0.71%), 22 Feb 2013 (4.28%), 18 Mar 2013 (-1.09%), 09 May 2013 (-3.12%), 10 Jun 2013 (2.36%), 17 Jul 2013 (-3.19%), 16 Sep 2013 (-2.57%), 17 Oct 2013 (-2.06%)
2012807 Mar 2012 (-2.32%), 03 May 2012 (3.13%), 01 Jun 2012 (-0.52%), 17 Jul 2012 (-1.14%), 09 Aug 2012 (-1.43%), 23 Oct 2012 (-2.19%), 15 Nov 2012 (-1.84%), 12 Dec 2012 (3.12%)
20111011 Jan 2011 (-2.78%), 22 Feb 2011 (7.9%), 02 May 2011 (2.64%), 23 May 2011 (4.13%), 20 Jun 2011 (-2.53%), 11 Jul 2011 (0.33%), 01 Aug 2011 (3.72%), 30 Sep 2011 (2.7%), 25 Oct 2011 (-2.27%), 11 Nov 2011 (6.34%)
20101006 Jan 2010 (2.06%), 06 Feb 2010 (-3.53%), 26 Feb 2010 (-1.18%), 16 Mar 2010 (-1.38%), 05 May 2010 (2.01%), 23 Jul 2010 (1.76%), 03 Sep 2010 (-1.73%), 22 Sep 2010 (0.45%), 15 Nov 2010 (1.79%), 28 Dec 2010 (-0.64%)
2009712 Jan 2009 (5.93%), 04 Feb 2009 (8.53%), 28 Apr 2009 (0.52%), 18 Jun 2009 (2.98%), 19 Aug 2009 (-4.36%), 22 Oct 2009 (-2.36%), 14 Dec 2009 (-0.59%)
2008608 Jan 2008 (2.47%), 17 Mar 2008 (4.01%), 21 May 2008 (3.24%), 24 Jun 2008 (2.12%), 16 Jul 2008 (-0.53%), 11 Sep 2008 (0.85%)
2007710 Jan 2007 (0.04%), 12 Feb 2007 (0.53%), 23 Apr 2007 (0.41%), 24 May 2007 (-0.32%), 04 Jul 2007 (0.73%), 27 Sep 2007 (-4.06%), 07 Nov 2007 (1.94%)
2006615 Feb 2006 (0.22%), 12 Apr 2006 (2.54%), 04 May 2006 (-0.16%), 19 Jul 2006 (-2.07%), 06 Sep 2006 (-1.96%), 17 Nov 2006 (0.91%)
20051010 Feb 2005 (-10.96%), 28 Feb 2005 (0.12%), 18 Mar 2005 (2.88%), 18 Apr 2005 (1.75%), 31 May 2005 (-3.0%), 08 Jul 2005 (-2.03%), 03 Aug 2005 (0.72%), 13 Sep 2005 (1.7%), 10 Oct 2005 (0.94%), 19 Dec 2005 (-1.34%)
20041206 Jan 2004 (-0.63%), 19 Feb 2004 (-0.09%), 10 Mar 2004 (1.61%), 20 Apr 2004 (-1.12%), 12 May 2004 (-6.38%), 17 Jun 2004 (-0.47%), 15 Jul 2004 (-1.88%), 23 Aug 2004 (-0.84%), 17 Sep 2004 (-2.41%), 14 Oct 2004 (0.74%), 06 Dec 2004 (-1.07%), 28 Dec 2004 (2.74%)
2003703 Jan 2003 (0.31%), 28 Jan 2003 (0.37%), 27 Mar 2003 (0.44%), 14 Jul 2003 (1.75%), 22 Sep 2003 (-0.19%), 14 Oct 2003 (-1.72%), 07 Nov 2003 (-1.6%)
2002921 Jan 2002 (0.36%), 11 Feb 2002 (0.1%), 24 Apr 2002 (0.69%), 13 May 2002 (0.62%), 27 Jun 2002 (-0.02%), 02 Sep 2002 (0.75%), 11 Oct 2002 (-0.64%), 30 Oct 2002 (-1.2%), 06 Dec 2002 (0.86%)
2001706 Feb 2001 (-2.57%), 22 Feb 2001 (0.41%), 03 Apr 2001 (4.2%), 05 Jun 2001 (0.23%), 31 Jul 2001 (5.51%), 14 Sep 2001 (14.62%), 12 Dec 2001 (1.45%)
2000413 Jan 2000 (-0.47%), 24 Jul 2000 (-1.78%), 20 Sep 2000 (-0.26%), 05 Dec 2000 (-0.49%)
19991011 Feb 1999 (-8.01%), 25 Feb 1999 (1.06%), 26 Mar 1999 (4.18%), 25 May 1999 (1.12%), 14 Jun 1999 (0.19%), 02 Aug 1999 (-1.1%), 27 Aug 1999 (6.47%), 21 Sep 1999 (-3.57%), 21 Oct 1999 (3.63%), 29 Dec 1999 (-8.0%)
1998509 Jan 1998 (7.95%), 17 Mar 1998 (-3.78%), 27 Apr 1998 (5.6%), 07 Aug 1998 (-0.27%), 16 Oct 1998 (6.32%)
1997914 Jan 1997 (-6.15%), 21 Feb 1997 (-0.31%), 18 Mar 1997 (4.11%), 05 Jun 1997 (5.03%), 01 Jul 1997 (-4.03%), 15 Jul 1997 (-1.38%), 18 Aug 1997 (-0.0%), 09 Oct 1997 (-3.09%), 24 Nov 1997 (-0.59%)
1996504 Jul 1996 (4.06%), 01 Aug 1996 (-2.4%), 11 Sep 1996 (-0.92%), 31 Oct 1996 (1.64%), 22 Nov 1996 (1.64%)



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