Study: Sell BAJFINANCE 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 BAJFINANCE 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 BAJFINANCE 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
1-120659113427137.173606.039280.26-3832.57-15959.250.940.56-0.046-1067.78
2-186748113427137.176199.120447.28-6297.33-21619.10.980.58-0.041-1652.64
3-187867113496443.366363.4218690.1-7807.42-29306.930.820.62-0.038-1662.54
4-154283112506244.647699.3542484.03-8697.6-32948.720.890.71-0.025-1377.53
5-220744112506244.648797.5159931.95-10655.15-48205.130.830.67-0.029-1970.93
6-248599112427037.59570.8641159.22-9293.93-43538.461.030.62-0.036-2219.64
7-213764112436938.3910775.1856107-9813-35443.041.10.68-0.029-1908.61
8-415393112456740.1810244.3559181.04-13080.42-42784.810.780.53-0.05-3708.86
9-353380112516145.5410961.5664015.02-14957.7-76962.030.730.61-0.036-3155.18
10-392260112466641.0712108.1754839.85-14382.37-69482.580.840.59-0.04-3502.32
Although, strategy looks good but profit factor on day 1 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
atrnil26.21-3287121332910421.818852.4933815.08-8417.64-15649.062.240.62-0.042-2471.52
atrnil38.77-3749411322111115.9127360.2250722.61-8554.1-15758.973.20.61-0.041-2840.46
atrtrail24.34-2805911343110323.1312956.5933586.68-6623.74-14738.621.960.59-0.044-2093.96
atrtrail34.84-3389091343010422.3911448.9850380.02-6561.33-14738.621.740.5-0.056-2529.17
atrtrail-14.93-3852511342910521.6410351.6139764.14-6528.07-14738.621.590.44-0.069-2875.01

In the table above, row 1 shows the best exit criterion. Profit factor is 0.62. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, Profit Factor:0.625

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Jun 2019 (-2.3%), 08 Jul 2019 (-2.38%), 09 Jul 2019 (5.33%), 22 Aug 2019 (-3.81%)
2018703 Jan 2018 (-2.26%), 04 Jun 2018 (-2.77%), 21 Jun 2018 (-2.43%), 28 Jun 2018 (-2.7%), 13 Aug 2018 (-2.28%), 14 Aug 2018 (-2.26%), 31 Aug 2018 (4.46%)
2017714 Feb 2017 (-2.95%), 31 Mar 2017 (-2.63%), 20 Apr 2017 (-2.58%), 28 Apr 2017 (-2.77%), 10 Aug 2017 (-3.13%), 11 Aug 2017 (-3.4%), 01 Dec 2017 (4.79%)
2016514 Jan 2016 (4.75%), 21 Apr 2016 (-2.8%), 25 May 2016 (-3.11%), 09 Aug 2016 (-4.24%), 14 Sep 2016 (-3.67%)
2015505 Jan 2015 (-3.07%), 06 Feb 2015 (-4.23%), 23 Apr 2015 (7.81%), 08 Jul 2015 (-3.57%), 22 Sep 2015 (-3.65%)
20141006 Jan 2014 (-2.81%), 13 May 2014 (5.06%), 12 Jun 2014 (-4.57%), 17 Sep 2014 (-3.18%), 18 Sep 2014 (-3.33%), 24 Sep 2014 (-3.43%), 13 Oct 2014 (-3.66%), 14 Oct 2014 (-3.61%), 25 Nov 2014 (-4.16%), 16 Dec 2014 (-3.59%)
2013818 Jan 2013 (5.86%), 27 May 2013 (-4.2%), 28 Aug 2013 (-7.73%), 01 Oct 2013 (-5.33%), 24 Oct 2013 (-3.25%), 21 Nov 2013 (-2.97%), 17 Dec 2013 (-2.63%), 27 Dec 2013 (-2.71%)
2012416 Feb 2012 (-3.25%), 17 Feb 2012 (-3.2%), 02 Aug 2012 (-3.2%), 31 Oct 2012 (-3.32%)
2011410 Jan 2011 (8.71%), 18 Apr 2011 (6.46%), 28 Jul 2011 (-4.2%), 11 Nov 2011 (6.57%)
2010613 Jan 2010 (-4.74%), 11 May 2010 (-5.65%), 21 May 2010 (10.96%), 19 Aug 2010 (-4.19%), 25 Aug 2010 (-4.57%), 24 Sep 2010 (-4.76%)
2009906 May 2009 (-7.82%), 12 Jun 2009 (-7.07%), 11 Aug 2009 (-6.49%), 12 Aug 2009 (-6.81%), 10 Sep 2009 (-6.51%), 23 Sep 2009 (-6.6%), 21 Oct 2009 (-7.31%), 30 Nov 2009 (-6.12%), 14 Dec 2009 (-4.68%)
2008215 Jan 2008 (16.91%), 22 May 2008 (-6.12%)
2007429 Jan 2007 (-4.03%), 28 Feb 2007 (9.99%), 21 May 2007 (14.45%), 13 Nov 2007 (-5.1%)
2006617 Jan 2006 (-3.82%), 28 Feb 2006 (-4.31%), 01 Jun 2006 (16.79%), 11 Oct 2006 (-1.89%), 27 Oct 2006 (-1.74%), 13 Nov 2006 (10.42%)
2005909 Mar 2005 (-3.77%), 18 Mar 2005 (-3.81%), 18 Apr 2005 (-3.55%), 05 May 2005 (-3.13%), 23 May 2005 (-3.38%), 16 Jun 2005 (-3.81%), 19 Jul 2005 (-3.46%), 17 Oct 2005 (-7.37%), 18 Oct 2005 (14.34%)
2004624 Jun 2004 (-4.15%), 18 Aug 2004 (-3.26%), 17 Sep 2004 (-4.17%), 18 Oct 2004 (-3.76%), 06 Dec 2004 (-4.37%), 30 Dec 2004 (-4.21%)
20031103 Mar 2003 (-4.92%), 20 May 2003 (-4.04%), 09 Jun 2003 (-3.48%), 27 Jun 2003 (-3.48%), 10 Jul 2003 (-5.39%), 11 Jul 2003 (-5.94%), 02 Sep 2003 (-5.97%), 03 Sep 2003 (-6.63%), 11 Sep 2003 (-6.7%), 16 Dec 2003 (-4.95%), 17 Dec 2003 (10.4%)
2002505 Feb 2002 (-3.91%), 26 Feb 2002 (-6.06%), 19 Mar 2002 (-6.38%), 17 May 2002 (13.88%), 23 Oct 2002 (6.09%)
2001230 May 2001 (-3.33%), 12 Jun 2001 (6.15%)
2000505 Jan 2000 (15.76%), 04 Jul 2000 (-5.22%), 05 Jul 2000 (-5.02%), 11 Sep 2000 (6.27%), 26 Dec 2000 (-3.2%)
1999313 Jan 1999 (-6.31%), 16 Mar 1999 (10.86%), 27 May 1999 (-5.75%)
1998308 Jan 1998 (8.98%), 23 Apr 1998 (12.41%), 17 Nov 1998 (-5.49%)
1997321 Jan 1997 (-7.11%), 16 Sep 1997 (-3.58%), 13 Oct 1997 (-3.41%)
1996429 Feb 1996 (11.5%), 10 May 1996 (9.62%), 26 Jun 1996 (7.77%), 17 Jul 1996 (-3.86%)
1995116 May 1995 (-3.7%)



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