Study: Sell AXISBANK 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 AXISBANK 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 AXISBANK 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
115541.2985434250.593839.5931208.26-3560.98-13368.981.081.10.0068182.84
2-33533.3685404547.065110.8126137.45-5288.13-27358.190.970.86-0.011-394.51
3-2496.285424349.416647.0233333.33-6550.49-25271.911.010.99-0.00069-29.37
4-67466.2885394645.888475.3137216.83-8652.24-35242.290.980.83-0.015-793.72
5-66915.6285404547.068985.6445631.07-9474.25-36563.880.950.84-0.013-787.24
6-11802485414448.249013.2543327.62-11081.06-46396.840.810.76-0.023-1388.51
7-1947278534514010342.4848638.87-10713.16-45923.590.970.64-0.035-2290.91
8-2019798534514011036.8656634.3-11318.28-50807.40.980.65-0.035-2376.22
9-30151685364942.3511180.9546011.8-14367.96-52622.530.780.57-0.045-3547.25
10-2536158534514011354.9244469.83-12542.78-54461.470.910.6-0.041-2983.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.1. 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 50.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.091%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0068, 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-1115541.2985434250.593839.5931208.26-3560.98-13368.981.081.10.0068182.84
atrtrail23.97-22071096257126.0410526.6529931-6815.15-19343.591.540.54-0.053-2299.06
atrnil25.7-31496596227422.9216330.3729931-9111.25-23522.131.790.53-0.061-3280.88
atrtrail34.65-26356695247125.268471.6922120.11-6575.87-18679.111.290.44-0.074-2774.38
atrtrail-14.93-27408695247125.268033.3525195.12-6575.87-18679.111.220.41-0.079-2885.12
atrnil38.74-44377291127913.1922684.4144896.5-9063.1-23522.132.50.38-0.09-4876.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 50.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.091%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0068, 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.
AXISBANK Performance, X=1, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 Feb 2019 (0.36%), 03 Apr 2019 (-0.09%), 14 Jun 2019 (2.93%), 19 Sep 2019 (-6.6%)
2018401 Feb 2018 (4.71%), 26 Mar 2018 (-0.97%), 03 Sep 2018 (-1.58%), 04 Dec 2018 (1.33%)
2017231 Jul 2017 (0.63%), 30 Nov 2017 (0.29%)
2016907 Jan 2016 (-1.09%), 04 Feb 2016 (-4.39%), 04 May 2016 (0.3%), 20 May 2016 (0.84%), 14 Jun 2016 (0.16%), 21 Jul 2016 (0.07%), 26 Oct 2016 (0.39%), 07 Dec 2016 (-0.5%), 23 Dec 2016 (1.39%)
2015207 Jan 2015 (-0.66%), 05 Feb 2015 (0.49%)
2014614 Feb 2014 (-1.11%), 22 Mar 2014 (-1.55%), 04 Apr 2014 (0.43%), 30 Apr 2014 (-0.85%), 10 Jun 2014 (-0.43%), 09 Dec 2014 (-0.09%)
2013807 Jan 2013 (0.91%), 21 Jan 2013 (-0.57%), 08 Feb 2013 (-2.98%), 11 May 2013 (1.39%), 17 Jul 2013 (-3.73%), 19 Aug 2013 (0.68%), 06 Nov 2013 (3.44%), 30 Dec 2013 (-1.03%)
2012327 Feb 2012 (-5.03%), 12 Oct 2012 (0.05%), 12 Dec 2012 (0.08%)
2010125 Jan 2010 (4.51%)
2009301 Jun 2009 (2.95%), 05 Aug 2009 (0.73%), 20 Oct 2009 (1.73%)
2008322 Jan 2008 (-4.22%), 04 Apr 2008 (-5.14%), 12 Nov 2008 (6.16%)
2007113 Feb 2007 (-0.53%)
2006501 Feb 2006 (-0.76%), 22 Mar 2006 (1.2%), 18 Jul 2006 (-0.28%), 27 Oct 2006 (-2.25%), 29 Nov 2006 (-0.95%)
2005217 Mar 2005 (0.62%), 20 Dec 2005 (-0.48%)
2004630 Jan 2004 (15.6%), 22 Apr 2004 (-0.86%), 29 Sep 2004 (-2.13%), 25 Oct 2004 (3.26%), 11 Nov 2004 (0.45%), 14 Dec 2004 (1.55%)
2003624 Jan 2003 (4.83%), 05 Mar 2003 (0.83%), 14 May 2003 (-2.53%), 06 Jun 2003 (2.07%), 05 Aug 2003 (0.64%), 22 Oct 2003 (0.73%)
2002728 Feb 2002 (-6.68%), 26 Jun 2002 (-0.26%), 17 Jul 2002 (-0.38%), 18 Sep 2002 (-0.29%), 22 Oct 2002 (-0.42%), 13 Nov 2002 (0.14%), 27 Dec 2002 (0.8%)
2001231 Jan 2001 (0.91%), 28 Nov 2001 (-0.91%)
2000416 Feb 2000 (-1.05%), 01 Aug 2000 (-0.39%), 01 Dec 2000 (0.91%), 15 Dec 2000 (-1.0%)
1999722 Feb 1999 (4.05%), 15 Mar 1999 (6.44%), 06 Jul 1999 (-2.56%), 28 Jul 1999 (0.57%), 02 Sep 1999 (-1.98%), 28 Oct 1999 (-0.0%), 27 Dec 1999 (-5.51%)



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