Study: Sell CADILAHC 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 CADILAHC 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 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
122570.578423653.853273.2429512.04-3191.82-17900.841.031.20.012289.37
239794.4478423653.854789.1326831.49-4481.92-27904.391.071.250.017510.19
310605278492962.825112.8233025.37-4981.93-25950.611.031.730.0431359.64
492287.3278433555.136979.5736772.93-5938.12-21430.841.181.440.031183.17
564390.61783939507704.7133051.4-6053.66-28207.751.271.270.019825.52
6-17498.1678364246.158252.7840286.27-7490.44-32889.541.10.94-0.0046-224.34
72693.9278374147.448786.6638490.57-7863.72-46861.051.121.010.0006634.54
81921.9978393950922136018.22-9171.72-58366.171.011.010.0004324.64
9-91653.7378354344.87894133051.4-9409.04-54636.20.950.77-0.021-1175.05
10-78390.1278354344.879950.8532843.2-9922.55-48174.4210.82-0.017-1005
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
atrnil27.34-76765.1687285932.1814608.0625156.72-8233.74-16490.571.770.84-0.018-882.36
atrtrail24.9-10332691256627.4710461.7225156.72-5528.31-13242.151.890.72-0.031-1135.45
atrtrail35.39-10792790246626.6710730.3137735.08-5537.19-13242.151.940.7-0.029-1199.19
atrtrail-15.8-1279188822662510476.8950184.71-5430.44-13242.151.930.64-0.034-1453.61
atrnil311.73-22791686167018.621306.8737735.08-8126.09-16490.572.620.6-0.051-2650.19

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 32.18%, which is not acceptable. Avoid this strategy. Average return per trade is -0.44%, 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:0.842

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019312 Apr 2019 (4.87%), 31 Jul 2019 (8.12%), 30 Sep 2019 (-3.75%)
2018222 Feb 2018 (6.71%), 28 Jun 2018 (-3.72%)
2017509 Mar 2017 (-3.29%), 19 May 2017 (6.02%), 21 Jun 2017 (-3.56%), 21 Jul 2017 (-3.24%), 04 Aug 2017 (5.9%)
2016327 Jul 2016 (-3.03%), 29 Sep 2016 (7.02%), 30 Sep 2016 (-3.92%)
2015414 Jan 2015 (-3.16%), 16 Apr 2015 (8.04%), 30 Dec 2015 (5.18%), 31 Dec 2015 (8.47%)
2014806 Jan 2014 (-2.65%), 21 Jan 2014 (-3.35%), 07 Mar 2014 (-3.62%), 09 Apr 2014 (6.33%), 16 Jul 2014 (-3.63%), 16 Sep 2014 (-3.44%), 13 Oct 2014 (-4.12%), 24 Nov 2014 (-3.53%)
2013408 Jan 2013 (5.09%), 21 May 2013 (-3.39%), 17 Jul 2013 (5.27%), 29 Nov 2013 (-2.57%)
2012309 Apr 2012 (-3.76%), 08 Aug 2012 (-3.04%), 14 Sep 2012 (6.16%)
2011403 Feb 2011 (7.73%), 05 May 2011 (-3.64%), 06 May 2011 (-3.81%), 17 May 2011 (-3.75%)
2010631 Mar 2010 (-2.96%), 20 Apr 2010 (-3.34%), 26 May 2010 (-4.18%), 07 Jul 2010 (6.28%), 29 Oct 2010 (-3.25%), 25 Nov 2010 (-3.93%)
2009513 May 2009 (-4.85%), 14 May 2009 (-4.89%), 19 Jun 2009 (-5.25%), 06 Jul 2009 (-5.46%), 17 Dec 2009 (-4.78%)
2008508 Feb 2008 (-8.25%), 23 May 2008 (-4.19%), 27 Jun 2008 (8.83%), 30 Jun 2008 (-5.4%), 20 Nov 2008 (-6.73%)
2007303 Jul 2007 (7.91%), 08 Nov 2007 (-5.64%), 31 Dec 2007 (8.21%)
2006512 Apr 2006 (-4.16%), 15 May 2006 (9.53%), 21 Jul 2006 (-4.73%), 16 Nov 2006 (-4.13%), 17 Nov 2006 (9.08%)
2005305 Jan 2005 (7.86%), 10 Jun 2005 (5.72%), 19 Dec 2005 (-2.61%)
2004604 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%)
2003722 Jan 2003 (-3.3%), 04 Mar 2003 (-2.37%), 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%)
2002319 Apr 2002 (-3.77%), 26 Aug 2002 (4.58%), 15 Nov 2002 (-2.47%)
2001712 Jan 2001 (-3.94%), 17 Sep 2001 (-5.42%), 18 Sep 2001 (-5.25%), 21 Sep 2001 (-5.44%), 31 Oct 2001 (-3.93%), 01 Nov 2001 (-3.87%), 14 Dec 2001 (8.88%)
2000104 Dec 2000 (-3.98%)



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