Study: Sell AUROPHARMA 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 AUROPHARMA 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 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
186416.7379433654.435288.1315909.09-3915.92-16025.451.351.610.0371093.88
265083.8278374147.448385.3946815.21-5979.89-33323.241.41.270.015834.41
365680.1378403851.2810987.8193682.18-9837.69-52014.541.121.180.0096842.05
452630.5278403851.2811761.8991102-10995.92-68403.511.071.130.0071674.75
52978.0678423653.8511426.3285290.57-13247.99-75627.680.861.010.0003838.18
612162.5678433555.1312528.8584277.79-15045.08-75172.780.831.020.0015155.93
764916.0978413752.5615116.5587388.47-14996.29-71382.931.011.120.0075832.26
812329678413752.5615428.8689486.38-13764.52-66636.241.121.240.0151580.72
948399.8178433555.1313816.7989317.58-15592.06-63030.580.891.090.0059620.51
1020740.197839395015553.5189317.58-15021.71-67868.551.041.040.0025265.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.61. 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 54.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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-1186416.7379433654.435288.1315909.09-3915.92-16025.451.351.610.0371093.88
atrtrail-14.6613831285246128.2421510.76114007-6195.84-13422.263.471.370.0191627.2
atrnil37.2311490984246028.5727683.0647566.95-9158.08-15829.323.021.210.0161367.96
atrtrail34.0262461.2385246128.2418350.3243769.97-6195.84-13422.262.961.170.011734.84
atrnil25.64-35505.4688286031.8218275.2331711.3-9120.2-15829.3220.94-0.0063-403.47
atrtrail23.56-25507.6388246427.2715273.9129179.98-6126.27-13422.262.490.93-0.0056-289.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 54.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
AUROPHARMA Performance, X=1, Profit Factor:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jun 2019 (0.17%), 18 Jul 2019 (3.07%), 14 Nov 2019 (-3.65%)
2018314 Mar 2018 (0.95%), 03 May 2018 (1.0%), 21 Sep 2018 (4.11%)
2017122 May 2017 (5.82%)
2016115 Dec 2016 (0.52%)
2015222 Apr 2015 (1.04%), 04 Nov 2015 (0.1%)
2014502 Jan 2014 (-4.47%), 14 Feb 2014 (-2.78%), 08 Jul 2014 (7.61%), 14 Oct 2014 (3.61%), 26 Nov 2014 (0.11%)
2013218 Mar 2013 (-1.09%), 09 May 2013 (-3.12%)
2012503 May 2012 (3.13%), 01 Jun 2012 (-0.52%), 23 Oct 2012 (-2.19%), 15 Nov 2012 (-1.84%), 12 Dec 2012 (3.12%)
2011422 Feb 2011 (7.9%), 20 Jun 2011 (-2.53%), 12 Jul 2011 (-0.33%), 30 Sep 2011 (2.7%)
2010423 Jul 2010 (1.76%), 03 Sep 2010 (-1.73%), 22 Sep 2010 (0.45%), 15 Nov 2010 (1.79%)
2009412 Jan 2009 (5.93%), 28 Apr 2009 (0.52%), 18 Jun 2009 (2.98%), 22 Oct 2009 (-2.36%)
2008217 Mar 2008 (4.01%), 11 Sep 2008 (0.85%)
2007324 May 2007 (-0.32%), 27 Sep 2007 (-4.06%), 07 Nov 2007 (1.94%)
2006315 Feb 2006 (0.22%), 12 Apr 2006 (2.54%), 04 May 2006 (-0.16%)
2005431 May 2005 (-3.0%), 08 Jul 2005 (-2.03%), 03 Aug 2005 (0.72%), 19 Dec 2005 (-1.34%)
2004306 Jan 2004 (-0.63%), 19 Feb 2004 (-0.09%), 15 Jul 2004 (-1.88%)
2003628 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%)
2002421 Jan 2002 (0.36%), 11 Feb 2002 (0.1%), 27 Jun 2002 (-0.02%), 30 Oct 2002 (-1.2%)
2001203 Apr 2001 (4.2%), 12 Dec 2001 (1.45%)
2000313 Jan 2000 (-0.47%), 24 Jul 2000 (-1.78%), 05 Dec 2000 (-0.49%)
1999611 Feb 1999 (-8.01%), 25 Feb 1999 (1.06%), 26 Mar 1999 (4.18%), 02 Aug 1999 (-1.1%), 21 Oct 1999 (3.63%), 29 Dec 1999 (-8.0%)
1998309 Jan 1998 (7.95%), 07 Aug 1998 (-0.27%), 16 Oct 1998 (6.32%)
1997418 Mar 1997 (4.11%), 05 Jun 1997 (5.03%), 18 Aug 1997 (-0.0%), 09 Oct 1997 (-3.09%)
1996204 Jul 1996 (4.06%), 01 Aug 1996 (-2.4%)



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