Study: Sell BHEL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BHEL 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 BHEL 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
167214.961971039452.284032.9315247.96-3704-18439.721.091.190.013341.19
21042971969310347.457019.2924417.15-5325.22-24243.91.321.190.013532.13
3-11172.581969010645.927551.6728229.67-6517.2-33950.881.160.98-0.0012-57
431144.981969510148.478173.5340710.58-7379.61-37535.431.111.040.0031158.9
529176.441969898508270.8939674.32-7973.17-37920.621.041.040.0027148.86
687998.68196999750.519346.1134680.03-8631.61-54879.031.081.110.0073448.97
734127.311969510148.4710757.4137051.48-9780.46-58660.431.11.030.0026174.12
8-78434.371969110546.4311173.6831591.26-10430.85-54128.61.070.93-0.0059-400.18
9-1751351969310347.4510839.9238923.56-11487.84-57773.550.940.85-0.013-893.55
10-2233741969510148.4711206.4350309.79-12752.32-64892.920.880.83-0.014-1139.66

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. 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 52.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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-1167214.961971039452.284032.9315247.96-3704-18439.721.091.190.013341.19
atrnil25.5887000.692197514434.2516302.6136734.56-7886.77-18226.172.071.080.0068397.26
atrtrail23.865563.332267615033.6312654.3136734.56-5974.43-18226.172.121.070.0058290.1
atrtrail34.38-44969.952237315032.7411699.6334400.85-5993.62-18226.171.950.95-0.0041-201.66
atrtrail-14.89-65508.792227314932.881125344996.52-5952.87-18226.171.890.93-0.0059-295.08
atrnil38.61-1035122044915524.0223562.7936584.13-8116.7-18367.282.90.92-0.0074-507.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 52.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
BHEL Performance, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019609 Jan 2019 (1.99%), 09 Apr 2019 (-0.77%), 13 Jun 2019 (0.07%), 05 Jul 2019 (4.06%), 03 Oct 2019 (2.75%), 14 Nov 2019 (-0.65%)
2018817 Jan 2018 (2.45%), 26 Apr 2018 (-0.58%), 06 Jun 2018 (-2.35%), 25 Jun 2018 (0.14%), 13 Jul 2018 (3.2%), 10 Sep 2018 (0.84%), 26 Oct 2018 (-0.67%), 10 Dec 2018 (-2.62%)
2017721 Feb 2017 (0.19%), 23 Mar 2017 (0.54%), 13 Apr 2017 (0.35%), 03 Aug 2017 (1.01%), 25 Sep 2017 (-0.39%), 09 Nov 2017 (-0.43%), 04 Dec 2017 (0.66%)
2016907 Jan 2016 (0.1%), 03 Feb 2016 (-1.01%), 28 Apr 2016 (-0.32%), 31 May 2016 (1.78%), 24 Jun 2016 (-0.68%), 01 Aug 2016 (2.26%), 20 Sep 2016 (0.96%), 04 Nov 2016 (-3.23%), 16 Dec 2016 (1.02%)
2015605 Feb 2015 (4.59%), 28 Feb 2015 (-4.42%), 13 May 2015 (-0.99%), 11 Jun 2015 (-1.87%), 27 Jul 2015 (-2.54%), 02 Nov 2015 (-0.42%)
2014903 Jan 2014 (0.7%), 04 Feb 2014 (1.23%), 02 Apr 2014 (3.1%), 30 May 2014 (-2.64%), 08 Jul 2014 (-0.23%), 08 Sep 2014 (1.18%), 23 Sep 2014 (2.22%), 12 Nov 2014 (-0.14%), 08 Dec 2014 (2.87%)
2013711 Jan 2013 (-1.06%), 05 Mar 2013 (-2.09%), 15 May 2013 (-1.23%), 03 Jun 2013 (0.84%), 22 Jul 2013 (-2.2%), 21 Oct 2013 (-0.07%), 13 Dec 2013 (-0.19%)
2012830 Jan 2012 (-2.64%), 03 Mar 2012 (3.66%), 11 Apr 2012 (-2.71%), 17 May 2012 (2.6%), 16 Jul 2012 (1.71%), 27 Aug 2012 (1.11%), 12 Oct 2012 (-1.55%), 14 Dec 2012 (1.78%)
20111410 Jan 2011 (-2.06%), 28 Jan 2011 (-3.09%), 24 Feb 2011 (1.24%), 14 Mar 2011 (2.96%), 21 Apr 2011 (-0.71%), 23 May 2011 (-0.6%), 12 Jul 2011 (0.24%), 27 Jul 2011 (-1.42%), 22 Aug 2011 (-2.6%), 16 Sep 2011 (1.58%), 05 Oct 2011 (-3.68%), 24 Oct 2011 (1.07%), 15 Nov 2011 (3.62%), 12 Dec 2011 (-0.97%)
2010712 Jan 2010 (1.13%), 15 Mar 2010 (-0.5%), 21 Apr 2010 (-0.47%), 05 Jul 2010 (-0.47%), 16 Aug 2010 (-0.26%), 15 Oct 2010 (0.18%), 11 Nov 2010 (1.14%)
2009912 Jan 2009 (-1.02%), 20 Feb 2009 (0.18%), 28 Apr 2009 (-3.66%), 12 Jun 2009 (2.46%), 07 Aug 2009 (1.59%), 02 Sep 2009 (0.19%), 24 Sep 2009 (0.16%), 22 Oct 2009 (1.25%), 02 Dec 2009 (-0.37%)
20081003 Jan 2008 (-1.71%), 11 Feb 2008 (1.39%), 07 Mar 2008 (5.41%), 03 Apr 2008 (6.81%), 09 May 2008 (-1.21%), 23 Jun 2008 (-2.85%), 14 Aug 2008 (0.82%), 10 Sep 2008 (2.72%), 20 Nov 2008 (-7.37%), 26 Dec 2008 (-3.51%)
2007713 Feb 2007 (-0.13%), 26 Apr 2007 (1.0%), 06 Jun 2007 (0.17%), 30 Jul 2007 (-4.92%), 14 Sep 2007 (-0.04%), 19 Oct 2007 (-0.27%), 16 Nov 2007 (0.04%)
2006816 Feb 2006 (0.53%), 13 Mar 2006 (1.75%), 17 Apr 2006 (0.48%), 18 Jul 2006 (2.91%), 25 Aug 2006 (0.22%), 04 Oct 2006 (-0.53%), 31 Oct 2006 (-1.58%), 12 Dec 2006 (0.56%)
2005606 Jan 2005 (0.04%), 20 Apr 2005 (-2.99%), 03 Jun 2005 (0.41%), 22 Sep 2005 (0.43%), 11 Oct 2005 (-0.19%), 06 Dec 2005 (0.91%)
2004820 Jan 2004 (4.11%), 24 Feb 2004 (4.73%), 11 Mar 2004 (0.21%), 20 Apr 2004 (-1.94%), 27 Jul 2004 (3.59%), 16 Aug 2004 (0.32%), 24 Sep 2004 (0.51%), 29 Oct 2004 (-0.62%)
20031203 Jan 2003 (1.68%), 31 Jan 2003 (-0.92%), 03 Mar 2003 (0.2%), 11 Apr 2003 (0.52%), 15 May 2003 (-4.98%), 02 Jun 2003 (1.95%), 19 Jun 2003 (-2.49%), 18 Jul 2003 (2.14%), 05 Sep 2003 (-0.39%), 21 Oct 2003 (-0.31%), 10 Nov 2003 (-0.78%), 08 Dec 2003 (-3.18%)
2002721 Feb 2002 (-3.19%), 12 Apr 2002 (2.89%), 17 May 2002 (-0.44%), 11 Jul 2002 (1.53%), 29 Aug 2002 (-0.42%), 31 Oct 2002 (3.0%), 18 Dec 2002 (-4.07%)
2001805 Jan 2001 (-1.94%), 19 Feb 2001 (-2.23%), 03 Apr 2001 (6.1%), 06 Jun 2001 (0.59%), 06 Jul 2001 (-1.71%), 23 Jul 2001 (-3.18%), 11 Sep 2001 (7.62%), 27 Nov 2001 (4.38%)
2000727 Jan 2000 (4.59%), 19 Apr 2000 (5.7%), 26 Jun 2000 (-1.45%), 19 Jul 2000 (2.65%), 15 Sep 2000 (4.87%), 23 Nov 2000 (-2.01%), 21 Dec 2000 (6.29%)
1999715 Jan 1999 (-1.13%), 20 Mar 1999 (-1.06%), 27 May 1999 (-0.13%), 23 Jul 1999 (4.58%), 09 Sep 1999 (3.48%), 27 Oct 1999 (0.07%), 29 Dec 1999 (0.94%)
1998707 Jan 1998 (2.87%), 21 Apr 1998 (1.02%), 27 Jul 1998 (-5.1%), 06 Oct 1998 (-1.11%), 02 Nov 1998 (-0.15%), 24 Nov 1998 (4.93%), 18 Dec 1998 (-3.35%)
1997714 Jan 1997 (-6.64%), 21 Mar 1997 (-0.97%), 22 Apr 1997 (-0.82%), 08 Jul 1997 (-4.27%), 13 Aug 1997 (2.94%), 28 Oct 1997 (-9.22%), 12 Dec 1997 (-2.48%)
1996815 Jan 1996 (-1.22%), 11 Mar 1996 (2.57%), 09 May 1996 (1.33%), 26 Jun 1996 (-0.28%), 26 Jul 1996 (-0.4%), 24 Sep 1996 (0.94%), 05 Nov 1996 (1.3%), 24 Dec 1996 (-5.37%)
1995524 Apr 1995 (7.27%), 05 Jun 1995 (1.69%), 31 Jul 1995 (-4.27%), 14 Sep 1995 (2.9%), 17 Oct 1995 (1.13%)



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