Study: Sell BIOCON 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 BIOCON 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 BIOCON 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
130496.0649262353.063766.0310969.89-2931.34-13303.771.281.450.036622.37
2-37310.3348232547.924553.1314813.13-5681.29-18167.580.80.74-0.029-777.3
3-11406.7948222645.836217.3119881.98-5699.53-23802.611.090.92-0.0073-237.64
4-31967.02482424507120.3122318.05-8452.27-42428.640.840.84-0.015-665.98
5-57502.448232547.926896.4925480.06-8644.86-34034.830.80.73-0.029-1197.97
6-38320.39482424507533.418066.03-9130.08-37013.830.830.83-0.019-798.34
7-40810.3848232547.928451.326173.48-9407.61-38345.670.90.83-0.017-850.22
8-10291048183037.58695.0127865.87-8647.34-40566.761.010.6-0.044-2143.96
9-10737948183037.58639.9224486.26-8763.24-32907.840.990.59-0.049-2237.05
10-13432548183037.58942.4525308.24-9842.99-37886.140.910.55-0.057-2798.45

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 53.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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-1130496.0649262353.063766.0310969.89-2931.34-13303.771.281.450.036622.37
atrnil26.67-11039.457183931.5815037.8521360.82-7223.61-14780.032.080.96-0.0046-193.67
atrnil312.05-29907.7756134323.2122006.1527824.51-7348.55-14780.032.990.91-0.011-534.07
atrtrail24.09-61222.8457164128.0710623.5221360.82-5639-14780.031.880.74-0.032-1074.08
atrtrail34.54-77974.8757164128.079576.5225228.82-5639-14780.031.70.66-0.042-1367.98
atrtrail-14.72-10367657164128.077970.219732.75-5639-14780.031.410.55-0.063-1818.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 53.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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.
BIOCON Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jul 2019 (2.14%), 14 Nov 2019 (-1.0%)
2018305 Feb 2018 (3.35%), 04 May 2018 (0.03%), 03 Oct 2018 (5.48%)
2017315 Feb 2017 (-3.46%), 31 Jul 2017 (2.08%), 21 Dec 2017 (-0.06%)
2016612 Jan 2016 (1.75%), 16 May 2016 (0.2%), 10 Jun 2016 (-0.54%), 16 Aug 2016 (-0.58%), 09 Sep 2016 (2.46%), 29 Sep 2016 (-1.11%)
2015307 Jan 2015 (-1.57%), 28 Jan 2015 (0.07%), 20 Apr 2015 (1.5%)
2014209 Jan 2014 (1.6%), 09 Jul 2014 (1.18%)
2013511 Jan 2013 (-1.59%), 07 Aug 2013 (-6.65%), 23 Aug 2013 (-0.34%), 21 Nov 2013 (-1.49%), 12 Dec 2013 (2.66%)
2012423 Jul 2012 (-1.32%), 24 Sep 2012 (-1.9%), 20 Nov 2012 (0.84%), 06 Dec 2012 (-0.39%)
2011225 Feb 2011 (-1.93%), 29 Apr 2011 (0.46%)
2010421 Jan 2010 (0.18%), 16 Apr 2010 (-1.17%), 05 Jul 2010 (-1.06%), 28 Oct 2010 (2.43%)
2009426 Feb 2009 (-2.67%), 17 Jun 2009 (-3.05%), 02 Jul 2009 (-0.07%), 26 Oct 2009 (5.17%)
2008207 May 2008 (1.27%), 17 Jul 2008 (0.54%)
2007413 Feb 2007 (-0.19%), 28 Feb 2007 (2.5%), 23 Apr 2007 (-0.45%), 21 Nov 2007 (2.28%)
2006211 May 2006 (0.7%), 24 Jul 2006 (-1.1%)
2005211 Jan 2005 (3.03%), 17 Jun 2005 (2.06%)
2004125 Nov 2004 (2.99%)



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