Study: Sell BANKINDIA 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 BANKINDIA 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 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
138938.8972403255.564632.9312813.37-4574.32-20178.81.011.270.02540.82
275466.2472432959.726980.1229828.18-7747.55-37037.040.91.340.0231048.14
312620072403255.569071.6736151.2-7395.84-34942.531.231.530.0311752.78
413645472423058.339296.6745446.12-8466.87-41609.21.11.540.0321895.19
515064.8172452762.57735.4342108.92-12334.43-43908.050.631.050.0033209.23
6-17602.9972383452.7811621.9937937.43-13507.01-52183.910.860.96-0.0031-244.49
728017.572393354.1712348.3536231.48-13744.49-59770.110.91.060.0047389.13
848621.9772403255.5613680.0842102.32-15580.66-64531.440.881.10.0074675.31
958902.4772383452.7816511.4641099.66-16721.56-91103.20.991.10.0077818.09
1080541.9772423058.3315558.4746901.03-19097.12-74258.60.811.140.0111118.64
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
atrtrail23.9989025.268032484012647.6527211.91-6577.07-15347.031.921.280.0221112.82
atrtrail34.4285094.638032484012524.8130873.32-6577.07-15347.031.91.270.021063.68
atrtrail-14.9969906.438032484012050.1834741.75-6577.07-15347.031.831.220.016873.83
atrnil26.5472814.9980314938.7517734.3128512.42-9733.64-15347.031.821.150.014910.19
atrnil38.581.9779215826.5826665.9442768.62-9654.88-15347.032.7613.2e-070.025

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Jan 2019 (7.44%), 05 Apr 2019 (-1.65%), 22 Aug 2019 (-5.21%)
2018310 Jan 2018 (1.46%), 12 Jul 2018 (8.04%), 27 Nov 2018 (-1.54%)
2017515 Feb 2017 (-3.71%), 12 May 2017 (-4.43%), 15 Nov 2017 (-4.46%), 16 Nov 2017 (-4.37%), 20 Nov 2017 (8.55%)
2016307 Jan 2016 (5.81%), 11 Feb 2016 (-5.36%), 20 Jul 2016 (-0.57%)
2014415 Apr 2014 (-0.96%), 30 Apr 2014 (-3.75%), 03 Jun 2014 (11.03%), 20 Nov 2014 (-3.44%)
2013421 Jan 2013 (5.66%), 20 Mar 2013 (-0.02%), 25 Jul 2013 (3.77%), 21 Nov 2013 (-2.41%)
2012223 Feb 2012 (9.56%), 10 Oct 2012 (-3.27%)
2011126 Sep 2011 (-4.26%)
2010519 Mar 2010 (2.12%), 04 May 2010 (6.55%), 23 Aug 2010 (-1.66%), 14 Oct 2010 (6.15%), 08 Dec 2010 (-3.44%)
2009308 Jun 2009 (-6.72%), 06 Oct 2009 (-3.71%), 26 Oct 2009 (8.79%)
2008121 Feb 2008 (-3.09%)
2007328 May 2007 (-2.76%), 25 Jul 2007 (-3.01%), 12 Nov 2007 (-7.67%)
2006417 Jul 2006 (0.02%), 05 Sep 2006 (1.97%), 21 Sep 2006 (-2.48%), 11 Oct 2006 (8.17%)
2005306 Jan 2005 (12.9%), 23 Mar 2005 (9.85%), 10 Aug 2005 (10.29%)
2004519 Jan 2004 (9.5%), 29 Apr 2004 (-0.43%), 24 Jun 2004 (-5.51%), 15 Oct 2004 (6.12%), 10 Dec 2004 (-2.77%)
2003527 Jan 2003 (-5.89%), 20 May 2003 (-5.21%), 21 May 2003 (-5.05%), 05 Jun 2003 (4.36%), 15 Sep 2003 (2.63%)
2002810 Apr 2002 (-4.59%), 11 Apr 2002 (-3.98%), 30 Apr 2002 (-1.75%), 28 Jun 2002 (-3.85%), 01 Jul 2002 (7.56%), 02 Sep 2002 (0.86%), 19 Sep 2002 (-0.7%), 30 Dec 2002 (-0.66%)
2001308 Jan 2001 (-0.68%), 22 Feb 2001 (13.61%), 21 Jun 2001 (0.2%)
2000419 Jul 2000 (7.02%), 01 Dec 2000 (-4.7%), 04 Dec 2000 (-4.82%), 27 Dec 2000 (-6.96%)
1999218 Jan 1999 (-3.4%), 17 Sep 1999 (8.94%)
1998612 Jan 1998 (-0.43%), 17 Mar 1998 (-3.68%), 31 Mar 1998 (-5.11%), 24 Apr 1998 (0.1%), 19 Aug 1998 (-2.1%), 30 Oct 1998 (-0.08%)
1997324 Oct 1997 (3.3%), 13 Nov 1997 (10.04%), 09 Dec 1997 (-1.55%)



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