Study: Sell BEML when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BEML 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 BEML 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
1139883176928452.274805.5220299.5-3597.92-28035.321.341.460.027794.79
295126.85176997756.256604.9329432.52-7256.64-44739.640.911.170.011540.49
358508.761761037358.527369.0632264.98-9595.96-51046.030.771.080.0058332.44
425562.61751007557.148071.6440458.02-10421.36-58979.810.771.030.0023146.07
5-19617.821751017457.719990.8244084.28-13901.23-1000000.720.98-0.0014-112.1
6-138680175967954.8611636.3935656.4-15895.87-1552300.730.89-0.0077-792.46
7-209012175977855.4312987.340842.79-18830.51-1372380.690.86-0.011-1194.35
8-2745041751037258.8612811.8752188.01-22140.65-1493720.580.83-0.013-1568.6
9-23524317598775614377.1263857.37-21353.26-1267780.670.86-0.011-1344.25
10-23964017598775615378.2873581.85-22684.56-1380750.680.86-0.01-1369.37

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 52.27%, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-11139883176928452.274805.5220299.5-3597.92-28035.321.341.460.027794.79
atrtrail34.89-39663.881936512833.6813278.6243727.37-7052.92-25233.581.880.96-0.0034-205.51
atrtrail24.45-79742.811966812834.6912189.4933959.71-7098.66-25233.581.720.91-0.0076-406.85
atrtrail-15.41-79497.211936512833.6812665.873261.65-7052.92-25233.581.80.91-0.0068-411.9
atrnil39.38-1816661784413424.7228022.8357896.15-10557.24-25233.582.650.87-0.012-1020.59
atrnil26.6-2161371906013031.5818973.8438597.44-10419.75-25233.581.820.84-0.016-1137.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 52.27%, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Jan 2019 (-3.42%), 03 Apr 2019 (2.0%), 11 Jun 2019 (3.92%)
2018918 Jan 2018 (-0.31%), 09 Mar 2018 (-1.08%), 24 Apr 2018 (1.52%), 21 May 2018 (0.94%), 29 Jun 2018 (-0.66%), 18 Jul 2018 (1.32%), 10 Aug 2018 (2.46%), 05 Sep 2018 (-0.63%), 04 Dec 2018 (3.37%)
2017914 Feb 2017 (2.62%), 18 Apr 2017 (0.14%), 03 May 2017 (-0.76%), 13 Jul 2017 (1.79%), 08 Aug 2017 (4.3%), 29 Aug 2017 (-0.56%), 13 Sep 2017 (-1.16%), 14 Nov 2017 (0.56%), 04 Dec 2017 (2.62%)
2016707 Jan 2016 (-0.44%), 01 Apr 2016 (1.15%), 05 May 2016 (2.23%), 20 May 2016 (1.5%), 09 Aug 2016 (-0.88%), 09 Sep 2016 (2.46%), 03 Nov 2016 (1.58%)
2015830 Jan 2015 (-2.28%), 26 Feb 2015 (-1.76%), 12 Mar 2015 (-0.67%), 15 Apr 2015 (3.0%), 25 Jun 2015 (-0.72%), 10 Jul 2015 (-1.64%), 29 Jul 2015 (-1.97%), 27 Oct 2015 (-0.46%)
2014503 Jan 2014 (-0.57%), 17 Jun 2014 (-2.8%), 25 Sep 2014 (-2.26%), 21 Nov 2014 (-1.54%), 12 Dec 2014 (2.82%)
2013710 Jan 2013 (1.2%), 27 Feb 2013 (4.75%), 27 May 2013 (-0.69%), 26 Jul 2013 (2.97%), 24 Sep 2013 (-0.73%), 28 Oct 2013 (-1.09%), 11 Nov 2013 (-1.58%)
2012506 Mar 2012 (1.41%), 18 May 2012 (-1.77%), 18 Jul 2012 (-0.4%), 15 Oct 2012 (1.63%), 18 Dec 2012 (-0.72%)
2011711 Jan 2011 (-0.54%), 21 Apr 2011 (-0.32%), 02 Jun 2011 (-0.04%), 20 Jul 2011 (1.36%), 04 Oct 2011 (1.39%), 15 Nov 2011 (2.51%), 13 Dec 2011 (0.17%)
20101022 Jan 2010 (1.37%), 22 Feb 2010 (2.65%), 12 Mar 2010 (1.6%), 19 Apr 2010 (-0.2%), 04 May 2010 (1.41%), 29 Jun 2010 (-0.23%), 29 Jul 2010 (-0.75%), 26 Aug 2010 (-0.17%), 21 Sep 2010 (0.28%), 08 Oct 2010 (-1.16%)
2009930 Jan 2009 (-1.61%), 20 Feb 2009 (0.27%), 26 Mar 2009 (-5.46%), 11 May 2009 (0.61%), 03 Jun 2009 (-5.86%), 07 Jul 2009 (-5.2%), 11 Sep 2009 (0.44%), 21 Oct 2009 (1.28%), 21 Dec 2009 (-0.48%)
2008610 Jan 2008 (0.47%), 12 Feb 2008 (-1.56%), 18 Mar 2008 (4.89%), 23 May 2008 (2.66%), 15 Sep 2008 (0.62%), 21 Nov 2008 (5.04%)
2007923 Jan 2007 (4.29%), 12 Feb 2007 (1.0%), 04 Apr 2007 (0.5%), 12 Jun 2007 (-0.22%), 02 Jul 2007 (-4.43%), 17 Jul 2007 (-0.15%), 19 Oct 2007 (-2.1%), 02 Nov 2007 (-3.65%), 22 Nov 2007 (0.93%)
2006803 Feb 2006 (0.51%), 20 Feb 2006 (-2.31%), 16 Mar 2006 (-0.2%), 11 May 2006 (0.46%), 20 Jul 2006 (2.6%), 05 Sep 2006 (1.68%), 09 Nov 2006 (1.05%), 11 Dec 2006 (3.45%)
2005724 Feb 2005 (-0.28%), 03 May 2005 (-0.71%), 19 May 2005 (1.12%), 22 Jul 2005 (-0.11%), 02 Sep 2005 (0.92%), 22 Sep 2005 (-0.26%), 10 Oct 2005 (1.64%)
2004706 Jan 2004 (2.36%), 24 Feb 2004 (2.62%), 18 Mar 2004 (-3.35%), 28 Apr 2004 (1.62%), 09 Aug 2004 (-0.54%), 30 Sep 2004 (-1.07%), 27 Dec 2004 (-1.02%)
2003509 May 2003 (-0.72%), 06 Jun 2003 (0.36%), 08 Jul 2003 (3.03%), 05 Sep 2003 (-5.58%), 14 Nov 2003 (-2.97%)
2002830 Jan 2002 (0.63%), 28 Feb 2002 (-14.02%), 15 Apr 2002 (3.18%), 11 Jun 2002 (-0.54%), 09 Jul 2002 (3.86%), 30 Aug 2002 (1.42%), 08 Nov 2002 (6.11%), 30 Dec 2002 (1.72%)
2001909 Jan 2001 (-2.48%), 12 Feb 2001 (3.25%), 26 Feb 2001 (7.62%), 05 Jun 2001 (-0.0%), 05 Jul 2001 (3.66%), 19 Jul 2001 (4.12%), 05 Sep 2001 (-0.33%), 03 Dec 2001 (-0.57%), 18 Dec 2001 (5.66%)
2000606 Jan 2000 (0.16%), 11 Feb 2000 (6.45%), 18 Apr 2000 (-8.03%), 19 Jul 2000 (0.21%), 26 Sep 2000 (5.31%), 18 Dec 2000 (3.6%)
1999918 Jan 1999 (5.42%), 04 Mar 1999 (-8.05%), 01 Apr 1999 (7.78%), 01 Jun 1999 (-1.83%), 24 Jun 1999 (-0.46%), 21 Jul 1999 (1.0%), 03 Sep 1999 (0.14%), 29 Oct 1999 (7.99%), 26 Nov 1999 (2.28%)
1998615 Jan 1998 (-4.81%), 21 Apr 1998 (1.22%), 02 Jun 1998 (-1.7%), 18 Sep 1998 (0.19%), 09 Oct 1998 (1.89%), 02 Nov 1998 (1.72%)
1997707 Feb 1997 (-1.0%), 07 May 1997 (-7.8%), 24 Jun 1997 (2.23%), 11 Aug 1997 (-0.29%), 24 Sep 1997 (-1.01%), 27 Oct 1997 (6.8%), 09 Dec 1997 (-2.46%)
1996712 Jan 1996 (-0.84%), 01 Mar 1996 (10.15%), 06 May 1996 (1.12%), 12 Jul 1996 (-0.63%), 11 Sep 1996 (-0.3%), 26 Sep 1996 (-0.72%), 07 Nov 1996 (-2.72%)
1995311 Jul 1995 (0.71%), 14 Aug 1995 (-2.5%), 11 Oct 1995 (-1.25%)



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