Study: Sell BPCL 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 BPCL 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 BPCL 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
148571.7587483955.174102.6512796.74-3803.99-16024.591.081.330.022558.3
2-5590.487444350.575640.9830946.63-5902.18-35826.770.960.98-0.0016-64.26
3-45664.5187424548.286208.9626334.14-6809.79-29370.080.910.85-0.012-524.88
4-17083387404745.987110.928104.05-9686.57-59090.910.730.62-0.033-1963.6
5-23098287414647.137373.0528157.68-11592.99-68181.820.640.57-0.038-2654.97
6-29186487384943.688096.2729444.89-12235.15-68227.270.660.51-0.047-3354.76
7-30683687414647.138127.8839683.96-13914.75-68181.820.580.52-0.047-3526.85
8-30400487384943.6810431.4836113.5-14293.88-64727.270.730.57-0.042-3494.3
9-29025587394844.8310982.4946374.32-14970.26-68181.820.730.6-0.038-3336.27
10-22440087434449.4310787.4652221.27-15642.28-60909.090.690.67-0.029-2579.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.33. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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-1148571.7587483955.174102.6512796.74-3803.99-16024.591.081.330.022558.3
atrtrail23.76-79412.6497296829.910926.1329586.49-5827.51-13918.161.870.8-0.018-818.69
atrnil25.56-16549296257126.0416654.0929586.49-8194.99-18013.982.030.72-0.03-1723.88
atrtrail34.19-17469896296730.217378.1428254.31-5800.95-13918.161.270.55-0.05-1819.77
atrnil37.91-33417694148014.8923637.8441345.59-8313.82-18013.982.840.5-0.059-3555.06
atrtrail-14.26-20103396296730.216470.0316306.03-5800.95-13918.161.120.48-0.064-2094.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
BPCL Performance, X=1, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Mar 2019 (1.29%), 25 Jul 2019 (-1.03%), 22 Aug 2019 (-5.22%), 14 Oct 2019 (-0.9%)
2018214 Feb 2018 (-3.25%), 08 Oct 2018 (2.91%)
2017514 Feb 2017 (2.51%), 05 May 2017 (1.26%), 11 Aug 2017 (1.23%), 08 Sep 2017 (0.21%), 08 Nov 2017 (-0.37%)
2016303 May 2016 (0.72%), 24 Jun 2016 (-2.44%), 28 Oct 2016 (-0.03%)
2015511 Feb 2015 (0.99%), 28 Feb 2015 (-4.46%), 20 Apr 2015 (0.54%), 10 Jul 2015 (-3.12%), 28 Jul 2015 (-0.46%)
2014401 Apr 2014 (-0.46%), 28 Apr 2014 (-0.88%), 29 May 2014 (2.65%), 13 Jun 2014 (-3.72%)
2013630 Jan 2013 (-0.27%), 21 Jun 2013 (2.7%), 10 Jul 2013 (-1.28%), 03 Sep 2013 (-1.46%), 25 Oct 2013 (0.57%), 08 Nov 2013 (3.64%)
2012407 Mar 2012 (-0.75%), 29 May 2012 (1.45%), 29 Jun 2012 (-0.43%), 17 Jul 2012 (-0.01%)
2011417 May 2011 (4.15%), 21 Jul 2011 (-1.25%), 18 Aug 2011 (-0.36%), 26 Dec 2011 (-0.56%)
2010407 Jan 2010 (-1.7%), 08 Jun 2010 (-1.66%), 16 Jul 2010 (0.84%), 07 Sep 2010 (0.17%)
2009409 Jun 2009 (0.11%), 25 Aug 2009 (0.34%), 17 Sep 2009 (-1.44%), 16 Dec 2009 (1.76%)
2008309 Jan 2008 (5.51%), 30 Jun 2008 (3.51%), 12 Aug 2008 (1.06%)
2007325 May 2007 (0.52%), 17 Jul 2007 (0.47%), 15 Oct 2007 (2.5%)
2006430 Jan 2006 (1.52%), 18 Sep 2006 (2.72%), 20 Oct 2006 (-1.76%), 06 Nov 2006 (2.98%)
2005110 Oct 2005 (-0.77%)
2004215 Jan 2004 (3.86%), 25 Nov 2004 (-3.75%)
2003214 Jan 2003 (-0.58%), 03 Jul 2003 (-2.77%)
2002321 Feb 2002 (-2.0%), 08 Mar 2002 (4.31%), 03 Apr 2002 (-0.11%)
2001711 Jan 2001 (-6.61%), 22 Feb 2001 (3.26%), 12 Mar 2001 (2.68%), 27 Apr 2001 (1.04%), 16 Aug 2001 (-0.23%), 31 Aug 2001 (5.79%), 20 Dec 2001 (0.44%)
2000222 Nov 2000 (0.08%), 18 Dec 2000 (-5.91%)
1999403 Mar 1999 (4.37%), 01 Jun 1999 (-8.01%), 23 Jul 1999 (1.98%), 20 Dec 1999 (-0.29%)
1998202 Sep 1998 (3.74%), 16 Dec 1998 (6.4%)
1997403 Feb 1997 (1.29%), 20 Feb 1997 (0.71%), 10 Mar 1997 (2.04%), 07 Jul 1997 (0.71%)
1996425 Jan 1996 (-1.45%), 12 Mar 1996 (0.69%), 10 May 1996 (2.8%), 20 Jun 1996 (1.47%)
1995105 Jun 1995 (-2.41%)



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