Study: Sell BANKINDIA when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BANKINDIA 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 BANKINDIA 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
138053.55175938253.144006.0316420.17-4079.36-20178.80.981.110.0086217.45
220596.961759184526602.5331773.63-6907.54-45994.120.961.040.0026117.7
3132913174957954.67895.6147752.91-7812.28-36944.171.011.220.015763.87
4206681174957954.68869.6545446.12-8049.82-41609.21.11.330.0211187.82
576630.53174997556.98262.2742108.92-9884.45-43908.050.841.10.0077440.41
643696.13174918352.310595.5737937.43-11090.37-52183.910.961.050.0037251.13
7-20527.53174928252.8711086.1636231.48-12688.47-91831.540.870.98-0.0015-117.97
8-31626.37174918352.312352.0242102.32-13923.62-79921.650.890.97-0.0022-181.76
935933.47174938153.4513860.5541099.66-15470.35-95553.380.91.030.0022206.51
10121649174957954.614329.9846901.03-15692.39-96493.630.911.10.0074699.13
Although, strategy looks good but profit factor on day 2 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
atrnil26.92649461877511240.1118140.4229888.86-9782.02-17548.561.851.240.0211416.82
atrtrail24.471111571967312337.2412824.729888.86-6707.69-17336.981.911.130.011567.13
atrtrail34.9993478.751967312337.2412582.5344833.29-6707.69-17336.981.881.110.0088476.93
atrtrail-15.5353141.711967312337.2412029.9737305.44-6707.69-17336.981.791.060.0051271.13
atrnil310.0377069.511785012828.0926568.0944833.29-9776.06-17548.562.721.060.0054432.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 40.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
BANKINDIA Performance, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Jan 2019 (7.44%), 05 Apr 2019 (7.67%), 10 Jun 2019 (-4.89%), 22 Aug 2019 (-5.21%), 01 Oct 2019 (-5.83%), 13 Nov 2019 (-4.45%)
2018910 Jan 2018 (-3.57%), 01 Feb 2018 (9.07%), 23 Apr 2018 (-4.9%), 04 Jun 2018 (-4.7%), 19 Jun 2018 (8.41%), 12 Jul 2018 (8.04%), 13 Aug 2018 (-4.89%), 06 Sep 2018 (8.82%), 27 Nov 2018 (9.82%)
2017715 Feb 2017 (-3.71%), 12 May 2017 (-4.43%), 07 Aug 2017 (7.49%), 25 Sep 2017 (6.81%), 15 Nov 2017 (-4.46%), 16 Nov 2017 (-4.37%), 20 Nov 2017 (8.55%)
2016907 Jan 2016 (5.81%), 11 Feb 2016 (-5.82%), 06 Apr 2016 (-4.27%), 29 Apr 2016 (7.4%), 20 Jul 2016 (-3.75%), 26 Aug 2016 (-3.52%), 16 Sep 2016 (-3.97%), 02 Nov 2016 (6.02%), 29 Nov 2016 (8.38%)
2015607 Jan 2015 (-3.34%), 07 May 2015 (-4.32%), 25 May 2015 (8.04%), 21 Jul 2015 (7.0%), 13 Aug 2015 (-4.55%), 24 Aug 2015 (14.56%)
20141010 Jan 2014 (-4.41%), 15 Apr 2014 (-4.2%), 30 Apr 2014 (-4.29%), 03 Jun 2014 (11.03%), 08 Jul 2014 (8.99%), 31 Jul 2014 (-4.62%), 10 Sep 2014 (-3.38%), 23 Sep 2014 (7.63%), 20 Nov 2014 (-3.44%), 12 Dec 2014 (-3.97%)
2013721 Jan 2013 (5.66%), 20 Mar 2013 (-4.48%), 13 May 2013 (7.44%), 25 Jul 2013 (10.45%), 18 Oct 2013 (-5.31%), 28 Oct 2013 (-4.81%), 21 Nov 2013 (-5.94%)
2012623 Feb 2012 (9.56%), 19 Mar 2012 (-5.28%), 20 Apr 2012 (7.51%), 20 Jun 2012 (-3.8%), 09 Jul 2012 (5.96%), 10 Oct 2012 (-3.27%)
20111007 Feb 2011 (8.62%), 18 Mar 2011 (-4.03%), 19 Apr 2011 (5.55%), 15 Jun 2011 (6.31%), 26 Jul 2011 (-2.71%), 26 Sep 2011 (-4.26%), 25 Oct 2011 (-3.76%), 21 Nov 2011 (-3.97%), 28 Nov 2011 (-4.23%), 12 Dec 2011 (7.97%)
2010619 Mar 2010 (-2.67%), 04 May 2010 (6.55%), 23 Aug 2010 (5.28%), 24 Sep 2010 (-2.9%), 14 Oct 2010 (6.15%), 08 Dec 2010 (-6.05%)
2009909 Jan 2009 (10.8%), 17 Feb 2009 (11.46%), 29 Apr 2009 (-6.89%), 08 Jun 2009 (-6.72%), 02 Jul 2009 (11.57%), 28 Jul 2009 (-6.09%), 06 Oct 2009 (-4.08%), 26 Oct 2009 (8.79%), 14 Dec 2009 (7.73%)
2008621 Feb 2008 (14.26%), 14 Aug 2008 (-8.77%), 19 Sep 2008 (12.17%), 22 Oct 2008 (14.94%), 20 Nov 2008 (-8.67%), 21 Nov 2008 (-8.72%)
2007809 Jan 2007 (-4.66%), 23 Jan 2007 (-4.65%), 08 May 2007 (-5.1%), 28 May 2007 (7.21%), 25 Jul 2007 (-3.89%), 19 Oct 2007 (-7.93%), 12 Nov 2007 (-7.67%), 18 Dec 2007 (-5.54%)
20061025 Jan 2006 (-4.9%), 08 Mar 2006 (-4.91%), 10 Apr 2006 (7.77%), 18 May 2006 (-6.05%), 19 May 2006 (13.43%), 17 Jul 2006 (-6.42%), 05 Sep 2006 (-4.29%), 21 Sep 2006 (-4.2%), 11 Oct 2006 (8.17%), 14 Nov 2006 (-3.45%)
20051006 Jan 2005 (12.9%), 15 Feb 2005 (-5.02%), 25 Feb 2005 (-4.52%), 23 Mar 2005 (9.85%), 17 Jun 2005 (8.73%), 10 Aug 2005 (10.29%), 22 Sep 2005 (-5.95%), 10 Oct 2005 (-5.57%), 14 Oct 2005 (11.95%), 01 Dec 2005 (-4.14%)
2004819 Jan 2004 (9.5%), 19 Feb 2004 (-5.24%), 20 Feb 2004 (10.56%), 29 Apr 2004 (-5.87%), 24 Jun 2004 (-6.71%), 12 Aug 2004 (-4.03%), 15 Oct 2004 (6.12%), 10 Dec 2004 (-4.66%)
2003827 Jan 2003 (-5.89%), 26 Feb 2003 (10.11%), 21 Apr 2003 (-4.36%), 20 May 2003 (-5.21%), 21 May 2003 (-5.05%), 05 Jun 2003 (11.68%), 15 Sep 2003 (-5.4%), 30 Oct 2003 (10.24%)
2002910 Apr 2002 (-4.59%), 11 Apr 2002 (-4.5%), 30 Apr 2002 (-4.75%), 28 Jun 2002 (-3.85%), 01 Jul 2002 (7.56%), 02 Sep 2002 (5.73%), 19 Sep 2002 (-2.59%), 20 Nov 2002 (-2.78%), 30 Dec 2002 (-4.26%)
2001608 Jan 2001 (-6.02%), 22 Feb 2001 (13.61%), 21 Jun 2001 (-6.51%), 25 Jul 2001 (-4.26%), 28 Aug 2001 (6.76%), 13 Nov 2001 (6.59%)
20001006 Jan 2000 (9.92%), 21 Feb 2000 (-4.05%), 07 Mar 2000 (11.67%), 28 Apr 2000 (12.59%), 28 Jun 2000 (9.05%), 25 Sep 2000 (7.92%), 09 Oct 2000 (-4.52%), 01 Dec 2000 (-4.7%), 04 Dec 2000 (-4.93%), 27 Dec 2000 (-6.96%)
19991318 Jan 1999 (-4.95%), 16 Mar 1999 (14.08%), 26 Apr 1999 (-6.22%), 27 May 1999 (-6.48%), 14 Jun 1999 (-5.83%), 01 Jul 1999 (-4.98%), 21 Jul 1999 (-5.2%), 26 Jul 1999 (10.71%), 17 Sep 1999 (8.94%), 21 Oct 1999 (-4.66%), 01 Nov 1999 (-6.79%), 14 Dec 1999 (-5.07%), 28 Dec 1999 (-4.51%)
1998912 Jan 1998 (-5.6%), 17 Mar 1998 (-3.68%), 31 Mar 1998 (-5.11%), 24 Apr 1998 (13.83%), 29 May 1998 (12.47%), 18 Aug 1998 (-3.78%), 23 Sep 1998 (6.94%), 30 Oct 1998 (-6.09%), 30 Nov 1998 (-4.24%)
1997508 Aug 1997 (6.06%), 15 Sep 1997 (5.58%), 24 Oct 1997 (-3.81%), 13 Nov 1997 (10.04%), 09 Dec 1997 (-5.59%)



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