Study: Sell CANBK when there is Bearish Crossover in MACD and ADX is Trending

home > technical-strategy > canbk > 27

In this study, we evaluate the performance of strategy "Sell CANBK 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 CANBK 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
128561.5260322853.334069.8213176.32-3631.17-11010.931.121.280.024476.03
210964.5260293148.336847.0324380.07-6051.6-26651.311.131.060.0054182.74
3-112376602436407008.8825850.71-7794.13-38172.040.90.6-0.044-1872.93
4-10719260253541.678492.5344868.28-9128.72-31646.830.930.66-0.035-1786.53
5-1678846024364011845.3963391.88-12560.37-46275.830.940.63-0.04-2798.07
6-13673760283246.6711570.4849478.59-14397.19-51753.960.80.7-0.032-2278.94
7-11186860263443.3313601.948984.63-13691.68-55624.230.990.76-0.024-1864.46
8-16480360293148.3312232.6344175.82-16759.65-79251.280.730.68-0.033-2746.71
9-20436360283246.6711585.3742989.01-16523.54-89987.640.70.61-0.042-3406.05
10-2074466027334512570.7649362.64-16571.42-86738.480.760.62-0.041-3457.44

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.28. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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-1128561.5260322853.334069.8213176.32-3631.17-11010.931.121.280.024476.03
atrnil25.49-77343.5373235031.5118313.2535102.15-9970.97-20122.711.840.84-0.019-1059.5
atrnil37.82-90783.1171165522.5427959.9252653.22-9784.4-20122.712.860.83-0.019-1278.64
atrtrail23.88-89921.0673244932.8812260.535102.15-7840.27-17175.251.560.77-0.027-1231.8
atrtrail-14.92-10303471224930.9912914.0547535.76-7900.88-17175.251.630.73-0.028-1451.18
atrtrail34.52-14933871224930.9910809.3232507.51-7900.88-17175.251.370.61-0.047-2103.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, X=1, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Jan 2019 (0.09%), 05 Apr 2019 (2.23%), 22 Aug 2019 (-3.29%), 01 Oct 2019 (-1.85%)
2018427 Feb 2018 (-1.23%), 14 Aug 2018 (1.13%), 23 Oct 2018 (-2.21%), 03 Dec 2018 (1.59%)
2017215 May 2017 (-2.43%), 10 Nov 2017 (1.54%)
2016606 Jan 2016 (3.87%), 23 Feb 2016 (-0.43%), 21 Sep 2016 (-2.02%), 13 Oct 2016 (-0.89%), 23 Nov 2016 (-0.39%), 07 Dec 2016 (-0.94%)
2015127 Jul 2015 (2.73%)
2014316 Apr 2014 (-5.51%), 07 May 2014 (2.45%), 12 Jun 2014 (4.28%)
2013410 Jan 2013 (0.45%), 22 Feb 2013 (1.78%), 20 Mar 2013 (4.64%), 19 Aug 2013 (-3.02%)
2012323 Feb 2012 (1.14%), 11 Oct 2012 (-0.29%), 14 Dec 2012 (-1.64%)
2011306 Jan 2011 (2.64%), 09 Feb 2011 (-0.4%), 18 Aug 2011 (-0.55%)
2010426 Jul 2010 (0.13%), 26 Aug 2010 (1.8%), 23 Sep 2010 (-2.07%), 16 Nov 2010 (-0.57%)
2009303 Jun 2009 (-2.11%), 26 Oct 2009 (6.34%), 17 Nov 2009 (1.01%)
2008515 Jan 2008 (2.92%), 12 Feb 2008 (0.29%), 24 Jun 2008 (3.09%), 24 Oct 2008 (6.59%), 20 Nov 2008 (0.12%)
2007205 Mar 2007 (2.14%), 31 May 2007 (-4.6%)
2006919 Jan 2006 (0.69%), 03 Feb 2006 (0.13%), 22 Feb 2006 (1.73%), 08 Mar 2006 (-0.22%), 06 Jun 2006 (3.57%), 28 Jun 2006 (-2.47%), 18 Jul 2006 (2.52%), 09 Oct 2006 (0.07%), 03 Nov 2006 (0.73%)
2005206 Jan 2005 (-1.38%), 27 Jul 2005 (-4.24%)
2004321 Jan 2004 (0.69%), 29 Apr 2004 (-0.21%), 09 Oct 2004 (-0.19%)
2003223 Apr 2003 (-2.8%), 23 May 2003 (-2.88%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play