Study: Sell BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
1-90910.2483424150.63817.9412016.57-6128.38-23008.850.620.64-0.035-1095.3
2-15317983394446.995686.0820638.09-8521.27-27702.70.670.59-0.042-1845.53
3-24744283374644.586052.0630309.07-10247.14-43243.240.590.48-0.054-2981.23
4-26009583364743.376655.5526719.84-10631.79-46621.620.630.48-0.054-3133.67
5-25783183384545.787670.4120970.7-12206.82-46846.850.630.53-0.047-3106.4
6-30569783374644.588564.3735256.41-13534.32-39636.130.630.51-0.053-3683.1
7-37206783354842.1710181.5146337-15175.4-40895.060.670.49-0.058-4482.73
8-23870683364743.3711705.1439010.99-14044.48-45061.730.830.64-0.037-2875.97
915702.2583394446.9916643.44180355-14395.27-42792.791.161.020.0015189.18
10-16106.3683364743.3718802.07180252-14744.28-45480.491.280.98-0.0015-194.05
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
atrnil26.45-313352101257624.7520337.5330096.4-10813.03-35778.851.880.62-0.046-3102.5
atrnil38.28-37476599168316.1632214.7245144.6-10725.3-35778.8530.58-0.048-3785.5
atrtrail24.01-283873101307129.710200.1327898.4-8308.12-18746.351.230.52-0.056-2810.62
atrtrail34.29-328533101307129.78711.4436921.15-8308.12-18746.351.050.44-0.065-3252.8
atrtrail-14.49-398931101307129.76364.8423439.49-8308.12-18746.350.770.32-0.098-3949.81

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.
BALRAMCHIN Performance, Profit Factor:0.619

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (7.84%), 06 Mar 2018 (11.81%), 28 Mar 2018 (-8.29%)
2017523 Jan 2017 (-3.05%), 31 Jan 2017 (-2.85%), 14 Feb 2017 (-3.24%), 10 Aug 2017 (-3.83%), 11 Aug 2017 (-3.97%)
2016404 Feb 2016 (-6.28%), 08 Apr 2016 (-4.69%), 20 May 2016 (-4.57%), 21 Jun 2016 (8.56%)
2015313 Aug 2015 (12.31%), 26 Oct 2015 (10.45%), 01 Dec 2015 (-6.07%)
2014324 Mar 2014 (-4.37%), 10 Apr 2014 (-4.56%), 13 Jun 2014 (-5.73%)
2013414 Jan 2013 (-4.74%), 11 Oct 2013 (-3.61%), 25 Oct 2013 (7.89%), 03 Dec 2013 (11.0%)
2012423 Feb 2012 (-5.06%), 24 Feb 2012 (-4.91%), 26 Jul 2012 (-4.28%), 24 Aug 2012 (-4.05%)
2011325 Feb 2011 (-5.67%), 21 Jun 2011 (-4.01%), 14 Sep 2011 (8.86%)
2010919 Feb 2010 (-4.78%), 11 Mar 2010 (11.22%), 27 Apr 2010 (8.9%), 15 Jul 2010 (-3.59%), 16 Sep 2010 (-3.17%), 17 Sep 2010 (-3.11%), 23 Sep 2010 (-3.37%), 16 Nov 2010 (8.6%), 09 Dec 2010 (-5.53%)
2009713 Jan 2009 (-9.37%), 14 Jan 2009 (-8.78%), 28 Apr 2009 (-7.7%), 29 Apr 2009 (-7.18%), 14 May 2009 (-6.52%), 27 May 2009 (-8.03%), 04 Nov 2009 (-6.58%)
2008403 Jan 2008 (-6.82%), 10 Jan 2008 (15.05%), 01 Jul 2008 (-8.43%), 02 Jul 2008 (-8.02%)
2007530 May 2007 (-5.57%), 31 May 2007 (-5.55%), 05 Oct 2007 (-7.56%), 18 Dec 2007 (-7.54%), 24 Dec 2007 (-7.76%)
2006202 Feb 2006 (-5.5%), 12 Apr 2006 (-4.49%)
2005507 Jan 2005 (-5.49%), 10 Jan 2005 (-5.44%), 17 Feb 2005 (-4.56%), 10 Mar 2005 (-3.89%), 17 Aug 2005 (8.31%)
2004501 Jan 2004 (12.91%), 12 Mar 2004 (-4.11%), 03 May 2004 (-6.22%), 19 Aug 2004 (-4.6%), 20 Dec 2004 (-4.7%)
2003118 Jun 2003 (-4.9%)
2002527 Mar 2002 (-4.46%), 28 Mar 2002 (-4.35%), 29 Apr 2002 (-4.95%), 16 May 2002 (11.64%), 19 Dec 2002 (8.3%)
2001317 Aug 2001 (-3.4%), 03 Sep 2001 (-3.41%), 17 Sep 2001 (-3.91%)
2000515 Feb 2000 (-7.8%), 08 Mar 2000 (-7.34%), 24 Jul 2000 (-4.41%), 19 Sep 2000 (8.03%), 21 Dec 2000 (5.1%)
1999421 Jan 1999 (9.8%), 27 May 1999 (-4.82%), 28 Oct 1999 (12.14%), 26 Nov 1999 (-6.19%)
1998314 Jan 1998 (9.15%), 27 Apr 1998 (-6.94%), 12 May 1998 (-6.44%)
19971021 Jan 1997 (-5.65%), 25 Feb 1997 (-3.51%), 11 Mar 1997 (-5.15%), 12 Mar 1997 (10.62%), 22 May 1997 (-4.33%), 16 Jun 1997 (-4.28%), 01 Jul 1997 (-4.23%), 02 Jul 1997 (-4.21%), 29 Jul 1997 (-3.23%), 08 Aug 1997 (-3.3%)
1996311 Jan 1996 (11.91%), 11 Mar 1996 (13.95%), 09 May 1996 (-17.89%)
1995119 Oct 1995 (9.87%)



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