Study: Sell BEL when there is Bearish Crossover in MACD

home > technical-strategy > bel > 25

In this study, we evaluate the performance of strategy "Sell BEL 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 BEL 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
1-12149.24172809246.514183.8919818.46-3770.22-16021.361.110.96-0.0027-70.64
2-69719.91172888451.164973.633585.48-6040.44-33377.840.820.86-0.011-405.35
3-126321172809246.517695.2634463.94-8064.59-52069.430.950.83-0.014-734.43
4-270382172838948.267848.742662.63-10357.58-69959.950.760.71-0.023-1571.99
5-268375172858749.428997.9454765.51-11875.85-91588.790.760.74-0.02-1560.32
6-353341172829047.679870.2254765.51-12918.88-98664.890.760.7-0.024-2054.31
7-46052217286865010348.1866565.81-15703.08-1165550.660.66-0.026-2677.45
8-526392171799246.212093.6455068.08-16106.41-95865.920.750.64-0.03-3078.31
9-452045171888351.4612227.3452162.16-18410.25-96089.390.660.7-0.025-2643.54
10-430481171858649.7113271.9453101.36-18123.2-1237990.730.72-0.023-2517.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.96. 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 46.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.

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-11-12149.24172809246.514183.8919818.46-3770.22-16021.361.110.96-0.0027-70.64
atrnil26.3-79349.371946413032.9916939.2330296.07-8949.69-22095.521.890.93-0.0067-409.02
atrtrail24.1-1044082056713832.6812253.5430296.07-6705.76-22095.521.830.89-0.01-509.31
atrnil38.51-1829981834214122.9525375.8945444.1-8856.63-22095.522.870.85-0.014-999.99
atrtrail-15.29-1709512016114030.3512440.2361300.46-6641.46-22095.521.870.82-0.015-850.5
atrtrail34.68-1931502016213930.8511867.5845444.1-6683.02-22095.521.780.79-0.019-960.94

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 46.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.035%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEL Performance, X=1, Profit Factor:0.965

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019517 Jan 2019 (0.97%), 08 Apr 2019 (-0.84%), 10 Jun 2019 (-2.55%), 19 Sep 2019 (-3.64%), 05 Nov 2019 (2.84%)
2018901 Feb 2018 (6.0%), 23 Mar 2018 (-2.14%), 17 Apr 2018 (0.18%), 14 May 2018 (4.41%), 01 Jun 2018 (-0.63%), 21 Jun 2018 (-0.32%), 18 Jul 2018 (1.66%), 23 Aug 2018 (-1.12%), 20 Nov 2018 (-1.45%)
2017906 Feb 2017 (-1.83%), 24 Mar 2017 (-2.09%), 04 May 2017 (1.24%), 23 Jun 2017 (2.87%), 10 Aug 2017 (-0.23%), 14 Sep 2017 (0.05%), 13 Nov 2017 (1.96%), 04 Dec 2017 (-1.03%), 28 Dec 2017 (-0.33%)
2016908 Jan 2016 (-2.51%), 10 Feb 2016 (5.39%), 11 Apr 2016 (-2.86%), 29 Apr 2016 (-0.45%), 10 Aug 2016 (1.69%), 07 Sep 2016 (0.6%), 13 Oct 2016 (-2.04%), 15 Nov 2016 (-1.32%), 15 Dec 2016 (-0.4%)
2015606 Feb 2015 (3.05%), 25 Feb 2015 (1.61%), 17 Apr 2015 (2.78%), 09 Jun 2015 (-1.1%), 11 Aug 2015 (2.09%), 13 Nov 2015 (-1.02%)
2014817 Jan 2014 (-0.93%), 30 Apr 2014 (-0.14%), 16 Jun 2014 (0.35%), 08 Jul 2014 (8.53%), 13 Aug 2014 (-1.22%), 22 Sep 2014 (0.85%), 21 Nov 2014 (-5.12%), 16 Dec 2014 (0.03%)
2013516 Jan 2013 (-0.64%), 15 Mar 2013 (0.36%), 23 May 2013 (-0.05%), 13 Jun 2013 (-0.55%), 17 Sep 2013 (0.39%)
2012927 Jan 2012 (3.21%), 24 Feb 2012 (-1.67%), 09 Mar 2012 (-0.51%), 23 Apr 2012 (0.14%), 17 Jul 2012 (0.69%), 27 Aug 2012 (-1.43%), 25 Sep 2012 (-0.19%), 30 Oct 2012 (-1.9%), 14 Dec 2012 (0.96%)
2011910 Jan 2011 (1.29%), 07 Feb 2011 (0.17%), 14 Mar 2011 (-0.47%), 28 Apr 2011 (-0.11%), 20 Jun 2011 (1.46%), 02 Aug 2011 (2.67%), 26 Sep 2011 (-1.48%), 16 Nov 2011 (0.85%), 16 Dec 2011 (4.38%)
20101021 Jan 2010 (0.32%), 25 Feb 2010 (-0.16%), 05 Apr 2010 (4.54%), 25 May 2010 (-0.31%), 29 Jun 2010 (-0.76%), 29 Jul 2010 (-1.76%), 29 Sep 2010 (1.23%), 15 Oct 2010 (-1.42%), 12 Nov 2010 (-0.34%), 20 Dec 2010 (-1.94%)
2009922 Jan 2009 (-0.03%), 18 Feb 2009 (-1.23%), 22 Apr 2009 (-1.95%), 13 May 2009 (-1.36%), 08 Jun 2009 (0.82%), 24 Jul 2009 (-4.43%), 20 Oct 2009 (0.8%), 20 Nov 2009 (-4.76%), 16 Dec 2009 (0.69%)
2008810 Jan 2008 (2.73%), 07 Mar 2008 (-1.27%), 12 May 2008 (-1.44%), 24 Jun 2008 (-1.55%), 31 Jul 2008 (0.11%), 16 Sep 2008 (-0.42%), 06 Oct 2008 (3.29%), 26 Nov 2008 (-1.28%)
2007908 Jan 2007 (0.87%), 23 Feb 2007 (0.31%), 29 Mar 2007 (-1.6%), 13 Jun 2007 (-1.11%), 27 Jun 2007 (1.28%), 09 Oct 2007 (-2.55%), 31 Oct 2007 (-0.33%), 21 Nov 2007 (2.09%), 17 Dec 2007 (-3.39%)
2006803 Feb 2006 (-0.22%), 29 Mar 2006 (2.37%), 15 May 2006 (-0.64%), 19 Jul 2006 (-1.18%), 04 Aug 2006 (0.05%), 11 Sep 2006 (-1.84%), 11 Oct 2006 (-1.92%), 26 Oct 2006 (0.51%)
2005614 Mar 2005 (2.02%), 03 May 2005 (-1.39%), 29 Jul 2005 (-2.37%), 23 Sep 2005 (-2.89%), 11 Oct 2005 (2.04%), 14 Dec 2005 (2.73%)
20041006 Jan 2004 (2.99%), 23 Feb 2004 (3.81%), 15 Mar 2004 (-0.11%), 29 Apr 2004 (-1.44%), 01 Jun 2004 (-0.95%), 02 Aug 2004 (0.01%), 13 Sep 2004 (-3.35%), 29 Sep 2004 (-1.97%), 12 Oct 2004 (0.18%), 28 Dec 2004 (0.46%)
2003711 Feb 2003 (0.51%), 26 Feb 2003 (-3.11%), 30 May 2003 (0.82%), 09 Jul 2003 (0.77%), 06 Aug 2003 (-3.04%), 18 Sep 2003 (-3.75%), 10 Nov 2003 (-3.27%)
2002719 Feb 2002 (-7.97%), 22 Apr 2002 (-4.64%), 16 May 2002 (0.05%), 19 Jun 2002 (-1.19%), 29 Jul 2002 (4.51%), 30 Aug 2002 (3.33%), 11 Dec 2002 (0.17%)
2001708 Jan 2001 (4.09%), 16 Feb 2001 (-0.07%), 04 Jun 2001 (2.26%), 23 Jul 2001 (-1.32%), 30 Aug 2001 (0.95%), 30 Oct 2001 (0.08%), 18 Dec 2001 (2.7%)
2000617 Jan 2000 (0.15%), 03 May 2000 (-4.34%), 14 Jun 2000 (0.3%), 30 Jun 2000 (-3.25%), 20 Jul 2000 (2.98%), 13 Sep 2000 (-4.6%)
1999615 Jan 1999 (2.44%), 11 Mar 1999 (-0.85%), 01 Jul 1999 (-5.11%), 19 Jul 1999 (6.97%), 27 Oct 1999 (-7.18%), 29 Dec 1999 (-8.01%)
1998715 Jan 1998 (8.44%), 13 May 1998 (-2.23%), 04 Jun 1998 (9.91%), 20 Jul 1998 (3.38%), 08 Oct 1998 (-3.89%), 03 Nov 1998 (0.77%), 24 Dec 1998 (-3.23%)
1997329 Aug 1997 (-0.4%), 13 Oct 1997 (4.86%), 17 Nov 1997 (4.89%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play