Study: Sell CEATLTD when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CEATLTD 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 CEATLTD 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
114515.2477453258.443224.5912941.68-4080.98-12620.50.791.110.012188.51
246414.5477433455.845006.0517965.09-4966.05-32050.111.011.270.024602.79
322122.2276413553.955960.6919993.16-6350.46-37676.540.941.10.01291.08
46530.5476403652.637436.2732008.21-8081.11-43895.220.921.020.002485.93
5-15060.9976364047.379333.7627984.95-8776.91-66765.381.060.96-0.0046-198.17
6-11822376393751.329123.3426397.54-12811.71-1009570.710.75-0.028-1555.56
7-127914763838509830.6729120.77-13196.83-1212300.740.74-0.027-1683.08
8-10483476393751.3211073.2429613.41-14505.13-1270160.760.8-0.021-1379.39
9-93300.7476413553.9510862.7430189.91-15390.66-1122780.710.83-0.019-1227.64
10-58703.7976403652.6311573.1333863.73-14489.69-98564.920.80.89-0.013-772.42
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
atrtrail24.22-24557.8392286430.4313460.7931959.65-6272.81-12649.982.150.94-0.0078-266.93
atrtrail34.93-40527.0491286330.7712662.6947939.47-6271.15-12649.982.020.9-0.012-445.35
atrtrail-15.37-82270.9691286330.7711171.8339585.68-6271.15-12649.981.780.79-0.028-904.08
atrnil25.99-17726690236725.5617650.531959.65-8704.89-15124.712.030.7-0.05-1969.62
atrnil38.66-18877386176919.7724893.0847939.47-8868.91-15124.712.810.69-0.047-2195.03

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 30.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CEATLTD Performance, Profit Factor:0.939

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-2.49%), 04 Apr 2019 (-0.86%), 22 Apr 2019 (5.33%)
2018712 Jan 2018 (5.04%), 22 Mar 2018 (-0.63%), 23 Apr 2018 (-1.8%), 27 Jun 2018 (-2.52%), 23 Aug 2018 (-2.51%), 07 Dec 2018 (-2.69%), 24 Dec 2018 (-3.44%)
20171324 Jan 2017 (-3.16%), 31 Jan 2017 (-3.11%), 07 Feb 2017 (2.03%), 25 Apr 2017 (-2.65%), 15 May 2017 (-3.3%), 16 May 2017 (-3.27%), 24 May 2017 (-2.72%), 14 Jun 2017 (1.15%), 04 Aug 2017 (-3.07%), 07 Aug 2017 (6.28%), 25 Sep 2017 (-1.81%), 23 Oct 2017 (-1.27%), 01 Dec 2017 (-0.54%)
2016908 Jan 2016 (6.56%), 28 Mar 2016 (-2.41%), 29 Apr 2016 (7.83%), 02 Aug 2016 (-1.94%), 18 Aug 2016 (-0.42%), 17 Oct 2016 (-3.82%), 18 Oct 2016 (7.81%), 15 Nov 2016 (1.87%), 20 Dec 2016 (8.06%)
2015715 Jan 2015 (2.69%), 23 Mar 2015 (-2.34%), 22 Apr 2015 (-5.12%), 23 Apr 2015 (10.09%), 03 Jun 2015 (9.34%), 25 Aug 2015 (-5.95%), 01 Oct 2015 (-4.17%)
2014913 Jan 2014 (0.84%), 03 Apr 2014 (9.34%), 13 Jun 2014 (-4.86%), 16 Jun 2014 (-4.99%), 07 Jul 2014 (-5.62%), 08 Jul 2014 (-1.94%), 23 Sep 2014 (-3.18%), 03 Nov 2014 (-4.02%), 18 Nov 2014 (-3.95%)
2013722 Jan 2013 (5.67%), 21 Mar 2013 (-1.78%), 08 Apr 2013 (-1.81%), 17 May 2013 (7.62%), 02 Aug 2013 (-6.32%), 05 Aug 2013 (-4.05%), 13 Dec 2013 (9.79%)
2012927 Jan 2012 (-2.66%), 23 Feb 2012 (2.12%), 27 Mar 2012 (-2.92%), 02 May 2012 (-1.25%), 16 Jul 2012 (-4.55%), 17 Jul 2012 (0.86%), 31 Aug 2012 (-3.87%), 17 Sep 2012 (-1.31%), 02 Nov 2012 (8.48%)
2011820 Apr 2011 (-4.5%), 27 Apr 2011 (8.69%), 20 Jun 2011 (-2.42%), 21 Jul 2011 (-3.55%), 03 Oct 2011 (-4.08%), 04 Oct 2011 (-0.67%), 21 Nov 2011 (-4.22%), 15 Dec 2011 (9.57%)
2010922 Jan 2010 (2.86%), 23 Feb 2010 (-3.76%), 30 Mar 2010 (-5.17%), 01 Jul 2010 (-1.28%), 26 Jul 2010 (-0.66%), 11 Aug 2010 (-1.26%), 20 Sep 2010 (-4.44%), 12 Nov 2010 (7.72%), 10 Dec 2010 (-5.47%)
2009712 Jan 2009 (-5.11%), 20 Feb 2009 (-4.34%), 09 Sep 2009 (-5.72%), 10 Sep 2009 (-1.61%), 22 Oct 2009 (-5.64%), 23 Oct 2009 (11.22%), 15 Dec 2009 (-3.79%)
2008412 May 2008 (15.98%), 24 Jun 2008 (13.6%), 02 Jul 2008 (-3.19%), 22 Aug 2008 (-2.78%)



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