Study: Sell BEL when there is Bearish Crossover in MACD and ADX is Trending

home > technical-strategy > bel > 27

In this study, we evaluate the performance of strategy "Sell BEL 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 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
165770.9683434051.814972.0419818.46-3700.67-15931.281.341.440.027792.42
2-4065.0983424150.66075.7833585.48-6323.12-32253.030.960.98-0.0011-48.98
38323.1183424150.68338.7134463.94-8339.09-48887.1511.020.0018100.28
4-65183.6283414249.49390.9542662.63-10719.35-65151.520.880.86-0.011-785.34
5-31652.9783434051.8110509.954765.51-12089.47-60335.20.870.93-0.0048-381.36
6-79567.0283434051.8110883.5254765.51-13688.96-73730.040.80.85-0.011-958.64
7-18634083453854.2210677.9766565.81-17548.65-957910.610.72-0.021-2245.06
8-2543408241415012442.4355068.08-18645.83-95865.920.670.67-0.028-3101.7
9-17847782453754.881322152162.16-20903.3-96089.390.630.77-0.019-2176.55
10-19417682463656.113331.3853101.36-22428.33-1237990.590.76-0.02-2368

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.44. 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 51.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.

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-1165770.9683434051.814972.0419818.46-3700.67-15931.281.341.440.027792.42
atrtrail23.99-17731.9497346335.0512673.0930296.07-7120.91-20364.321.780.96-0.0035-182.8
atrnil26.44-35751.5695336234.7417285.0730296.07-9776.75-20364.321.770.94-0.0058-376.33
atrtrail34.73-29253.0995326333.6813086.9545444.1-7111.67-20364.321.840.93-0.0053-307.93
atrnil39.28-52160.9290226824.4427041.445444.1-9515.76-20364.322.840.92-0.0073-579.57
atrtrail-15.29-65971.0895316432.6312352.5552530.29-7014.07-20364.321.760.85-0.012-694.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 51.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
BEL Performance, X=1, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Apr 2019 (-0.84%), 10 Jun 2019 (-2.55%), 05 Nov 2019 (2.84%)
2018601 Feb 2018 (6.0%), 23 Mar 2018 (-2.14%), 14 May 2018 (4.41%), 01 Jun 2018 (-0.63%), 21 Jun 2018 (-0.32%), 18 Jul 2018 (1.66%)
2017204 May 2017 (1.24%), 10 Aug 2017 (-0.23%)
2016208 Jan 2016 (-2.51%), 15 Dec 2016 (-0.4%)
2015306 Feb 2015 (3.05%), 25 Feb 2015 (1.61%), 11 Aug 2015 (2.09%)
2014727 Jan 2014 (-0.76%), 30 Apr 2014 (-0.14%), 16 Jun 2014 (0.35%), 08 Jul 2014 (8.53%), 22 Sep 2014 (0.85%), 21 Nov 2014 (-5.12%), 16 Dec 2014 (0.03%)
2013316 Jan 2013 (-0.64%), 23 May 2013 (-0.05%), 13 Jun 2013 (-0.55%)
2012107 Mar 2012 (-1.26%)
2011328 Apr 2011 (-0.11%), 20 Jun 2011 (1.46%), 02 Aug 2011 (2.67%)
2010621 Jan 2010 (0.32%), 05 Apr 2010 (4.54%), 25 May 2010 (-0.31%), 29 Sep 2010 (1.23%), 15 Oct 2010 (-1.42%), 15 Nov 2010 (0.49%)
2009622 Jan 2009 (-0.03%), 18 Feb 2009 (-1.23%), 22 Apr 2009 (-1.95%), 08 Jun 2009 (0.82%), 24 Jul 2009 (-4.43%), 16 Dec 2009 (0.69%)
2008407 Mar 2008 (-1.27%), 12 May 2008 (-1.44%), 24 Jun 2008 (-1.55%), 31 Jul 2008 (0.11%)
2007223 Feb 2007 (0.31%), 09 Oct 2007 (-2.55%)
2006203 Feb 2006 (-0.22%), 29 Mar 2006 (2.37%)
2005314 Mar 2005 (2.02%), 03 May 2005 (-1.39%), 14 Dec 2005 (2.73%)
2004406 Jan 2004 (2.99%), 01 Jun 2004 (-0.95%), 11 Oct 2004 (0.85%), 28 Dec 2004 (0.46%)
2003411 Feb 2003 (0.51%), 26 Feb 2003 (-3.11%), 30 May 2003 (0.82%), 06 Aug 2003 (-3.04%)
2002519 Feb 2002 (-7.97%), 22 Apr 2002 (-4.64%), 16 May 2002 (0.05%), 19 Jun 2002 (-1.19%), 11 Dec 2002 (0.17%)
2001508 Jan 2001 (4.09%), 04 Jun 2001 (2.26%), 23 Jul 2001 (-1.32%), 30 Aug 2001 (0.95%), 18 Dec 2001 (2.7%)
2000117 Jan 2000 (0.15%)
1999411 Mar 1999 (-0.85%), 01 Jul 1999 (-5.11%), 19 Jul 1999 (6.97%), 27 Oct 1999 (-7.18%)
1998415 Jan 1998 (8.44%), 13 May 1998 (-2.23%), 04 Jun 1998 (9.91%), 20 Jul 1998 (3.38%)
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