Study: Sell CADILAHC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CADILAHC 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 CADILAHC 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
113666.94168818748.213380.6729512.04-2990.43-17900.841.131.050.003781.35
221105.54168818748.214592.0726831.49-4032.79-27904.391.141.060.0048125.63
345358.98168858350.65067.5633025.37-4643.17-25950.611.091.120.0093269.99
440433.4168888052.385949.3536772.93-6038.87-21430.840.991.080.0069240.67
520339.37168858350.66601.0433051.4-6515.05-28207.751.011.040.0031121.07
6-90820.5168858350.66612.6740286.27-7866.23-32889.540.840.86-0.013-540.6
7-110514168868251.197297.3938490.57-9001.09-46861.050.810.85-0.013-657.82
8-76067.551688484508200.336018.22-9105.87-58366.170.90.9-0.0086-452.78
9-168159168808847.628398.6633051.4-9546.05-54636.20.880.8-0.019-1000.95
10-190891168798947.028647.4232843.2-9820.65-55302.820.880.78-0.02-1136.26
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil27.06-2407371915613529.3214729.4425156.72-7893.22-16490.571.870.77-0.027-1260.4
atrnil310.64-3358861763514119.892234337735.08-7928.31-16490.572.820.7-0.035-1908.44
atrtrail24.78-2856702035814528.579624.3325156.72-5819.87-14662.311.650.66-0.039-1407.24
atrtrail35.18-30880920056144289369.4437735.08-5788.18-14662.311.620.63-0.04-1544.05
atrtrail-15.49-4456001965114526.027349.1650184.71-5657.98-14662.311.30.46-0.065-2273.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 29.32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.63%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:0.774

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019423 Jan 2019 (-2.21%), 12 Apr 2019 (4.87%), 30 Jul 2019 (-4.08%), 14 Aug 2019 (-4.56%)
20181023 Jan 2018 (5.41%), 22 Feb 2018 (6.71%), 07 May 2018 (-2.81%), 28 Jun 2018 (-3.72%), 13 Aug 2018 (-3.39%), 19 Sep 2018 (7.45%), 21 Sep 2018 (8.89%), 28 Nov 2018 (-3.57%), 10 Dec 2018 (-3.56%), 19 Dec 2018 (-3.09%)
2017909 Mar 2017 (-3.29%), 19 May 2017 (6.02%), 21 Jun 2017 (-3.56%), 21 Jul 2017 (-3.24%), 04 Aug 2017 (5.9%), 12 Sep 2017 (-3.99%), 26 Sep 2017 (-3.71%), 24 Oct 2017 (-2.74%), 09 Nov 2017 (6.55%)
20161522 Mar 2016 (6.74%), 03 May 2016 (-2.5%), 17 May 2016 (-2.64%), 06 Jun 2016 (5.21%), 27 Jul 2016 (-3.03%), 11 Aug 2016 (-3.25%), 01 Sep 2016 (-3.0%), 02 Sep 2016 (-3.06%), 12 Sep 2016 (-3.13%), 16 Sep 2016 (-3.01%), 29 Sep 2016 (7.02%), 30 Sep 2016 (-3.92%), 27 Oct 2016 (-3.23%), 04 Nov 2016 (7.78%), 12 Dec 2016 (7.48%)
20151114 Jan 2015 (-3.16%), 26 Feb 2015 (-3.11%), 16 Apr 2015 (8.04%), 08 Jun 2015 (-3.48%), 24 Jul 2015 (-3.41%), 21 Aug 2015 (7.39%), 24 Aug 2015 (-4.22%), 16 Oct 2015 (-3.24%), 27 Oct 2015 (6.76%), 30 Dec 2015 (5.18%), 31 Dec 2015 (8.47%)
2014906 Jan 2014 (-2.65%), 21 Jan 2014 (-3.35%), 07 Mar 2014 (-3.62%), 09 Apr 2014 (6.33%), 15 May 2014 (6.14%), 16 Jul 2014 (-3.63%), 16 Sep 2014 (-3.44%), 13 Oct 2014 (-4.12%), 24 Nov 2014 (-3.53%)
2013708 Jan 2013 (5.09%), 21 May 2013 (-3.39%), 26 Jun 2013 (-3.71%), 17 Jul 2013 (5.27%), 12 Aug 2013 (6.56%), 14 Oct 2013 (-2.63%), 29 Nov 2013 (-2.57%)
20121116 Jan 2012 (5.75%), 28 Feb 2012 (-3.03%), 05 Mar 2012 (-3.31%), 20 Mar 2012 (-4.05%), 09 Apr 2012 (-3.76%), 02 May 2012 (-3.05%), 23 May 2012 (-3.47%), 11 Jul 2012 (-2.47%), 08 Aug 2012 (-3.04%), 14 Sep 2012 (6.16%), 08 Nov 2012 (-3.25%)
20111003 Feb 2011 (7.73%), 18 Mar 2011 (-5.11%), 05 May 2011 (-3.64%), 06 May 2011 (-3.81%), 17 May 2011 (-3.75%), 13 Jun 2011 (-3.49%), 20 Jul 2011 (8.18%), 26 Sep 2011 (7.58%), 14 Nov 2011 (5.92%), 23 Dec 2011 (-3.12%)
20101212 Jan 2010 (7.3%), 05 Feb 2010 (-5.24%), 06 Feb 2010 (-5.02%), 17 Mar 2010 (-3.0%), 31 Mar 2010 (-2.96%), 20 Apr 2010 (-3.34%), 26 May 2010 (-4.18%), 07 Jul 2010 (6.28%), 11 Aug 2010 (-3.01%), 14 Sep 2010 (-2.85%), 29 Oct 2010 (-3.25%), 25 Nov 2010 (-3.93%)
20091213 Jan 2009 (-5.9%), 24 Feb 2009 (-3.89%), 13 May 2009 (-4.85%), 14 May 2009 (-4.89%), 19 Jun 2009 (-5.25%), 06 Jul 2009 (-5.46%), 11 Aug 2009 (-7.33%), 12 Aug 2009 (-7.33%), 05 Oct 2009 (-5.49%), 28 Oct 2009 (-5.0%), 11 Nov 2009 (-5.16%), 17 Dec 2009 (-4.78%)
2008708 Feb 2008 (-8.25%), 23 May 2008 (-4.19%), 27 Jun 2008 (8.83%), 30 Jun 2008 (-5.4%), 20 Aug 2008 (-4.13%), 12 Sep 2008 (7.65%), 20 Nov 2008 (-6.73%)
2007911 Jan 2007 (-3.2%), 12 Jan 2007 (-3.25%), 28 Feb 2007 (11.35%), 18 Apr 2007 (-3.92%), 03 Jul 2007 (7.91%), 10 Aug 2007 (8.36%), 19 Oct 2007 (-3.86%), 08 Nov 2007 (-5.64%), 31 Dec 2007 (8.21%)
2006702 Feb 2006 (-3.11%), 20 Feb 2006 (-4.07%), 12 Apr 2006 (-4.16%), 15 May 2006 (9.53%), 21 Jul 2006 (-4.73%), 16 Nov 2006 (-4.13%), 17 Nov 2006 (9.08%)
2005805 Jan 2005 (7.86%), 11 Feb 2005 (-5.94%), 21 Feb 2005 (9.89%), 10 Jun 2005 (5.72%), 29 Jul 2005 (-3.41%), 22 Sep 2005 (-3.08%), 28 Sep 2005 (6.17%), 19 Dec 2005 (-2.61%)
20041003 Feb 2004 (-4.89%), 04 Feb 2004 (-4.83%), 04 Mar 2004 (8.44%), 28 Apr 2004 (-5.67%), 28 May 2004 (12.58%), 23 Aug 2004 (-2.81%), 23 Sep 2004 (-2.89%), 06 Oct 2004 (6.39%), 05 Nov 2004 (-2.95%), 09 Dec 2004 (-2.68%)
20031122 Jan 2003 (-3.3%), 04 Mar 2003 (-2.37%), 17 Apr 2003 (-2.11%), 17 Jul 2003 (-5.38%), 13 Aug 2003 (-5.19%), 15 Sep 2003 (-6.35%), 16 Sep 2003 (-6.15%), 13 Oct 2003 (9.3%), 24 Nov 2003 (-4.11%), 08 Dec 2003 (-4.03%), 23 Dec 2003 (-3.85%)
2002916 Jan 2002 (-4.02%), 06 Mar 2002 (-3.31%), 19 Apr 2002 (-3.77%), 15 May 2002 (6.43%), 27 Jun 2002 (-2.66%), 22 Jul 2002 (4.82%), 23 Jul 2002 (5.98%), 26 Aug 2002 (4.58%), 15 Nov 2002 (-2.47%)
20011712 Jan 2001 (-3.94%), 20 Feb 2001 (-3.82%), 21 Feb 2001 (-3.79%), 05 Mar 2001 (-4.61%), 07 Mar 2001 (9.42%), 02 Apr 2001 (10.13%), 30 Apr 2001 (-6.23%), 02 May 2001 (-6.13%), 18 Jun 2001 (9.7%), 25 Jul 2001 (-3.95%), 17 Sep 2001 (-5.42%), 18 Sep 2001 (-5.25%), 21 Sep 2001 (-5.44%), 03 Oct 2001 (-4.22%), 31 Oct 2001 (-3.93%), 01 Nov 2001 (-3.87%), 14 Dec 2001 (8.88%)
2000315 Sep 2000 (9.05%), 12 Oct 2000 (-4.57%), 04 Dec 2000 (-3.98%)



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