Study: Sell CENTURYTEX when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX 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 CENTURYTEX 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
1-56711.39179859447.494226.5321460.73-4425.18-16599.520.960.86-0.011-316.82
2-72138.961797910044.136626.0324422.44-5955.95-24202.131.110.88-0.0097-403.01
3-75779.75179849546.938884.238283.83-8653.19-39304.921.030.91-0.0074-423.35
4-79758.07179849546.9310217.7136952.38-9874.17-39776.951.030.91-0.0067-445.58
5-149439179938651.9610059.0548313.58-12615.47-51672.860.80.86-0.011-834.86
645419.77179958453.0713652.33112385-14899.42-71747.210.921.040.0025253.74
728939.31179879248.616044.21115144-14857.69-86988.851.081.020.0015161.67
845405.19179998055.3115250.23114521-18304.6-92097.640.831.030.0022253.66
9197691179978254.1916587.92115756-17211.43-93090.610.961.140.00951104.42
10149182179978254.1917320.79113787-18669.92-98634.670.931.10.0069833.42
Although, strategy looks good but profit factor on day 5 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
atrtrail-14.8745321.762177314433.6415265.1690132.05-7423.85-34303.182.061.040.0028208.86
atrtrail34.18-91196.142197414533.7913517.5836627.25-7527.57-34303.181.80.92-0.0069-416.42
atrtrail23.64-1045352227514733.7813418.4535738.44-7557.27-34303.181.780.91-0.0081-470.88
atrnil25.03-1458152207214832.7317824.5235738.44-9656.62-34303.181.850.9-0.0098-662.79
atrnil37.26-2330642135116223.942603553607.67-9634.87-34303.182.70.85-0.014-1094.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 33.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, 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.
CENTURYTEX Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019603 Apr 2019 (-2.77%), 07 Jun 2019 (3.79%), 05 Jul 2019 (0.67%), 23 Jul 2019 (-0.79%), 21 Aug 2019 (-1.0%), 01 Oct 2019 (0.63%)
2018712 Jan 2018 (0.71%), 02 May 2018 (1.51%), 06 Sep 2018 (-0.03%), 23 Oct 2018 (-5.33%), 29 Nov 2018 (-3.1%), 04 Dec 2018 (3.42%), 24 Dec 2018 (-3.18%)
2017917 Jan 2017 (-1.86%), 02 Mar 2017 (-2.86%), 28 Apr 2017 (-1.09%), 15 May 2017 (0.85%), 11 Aug 2017 (-3.71%), 14 Aug 2017 (-1.66%), 20 Sep 2017 (3.22%), 07 Nov 2017 (-1.99%), 30 Nov 2017 (0.96%)
2016907 Jan 2016 (6.97%), 29 Feb 2016 (-5.18%), 02 May 2016 (2.37%), 06 Jun 2016 (-2.84%), 15 Jun 2016 (0.91%), 18 Jul 2016 (-2.66%), 02 Aug 2016 (-2.26%), 09 Nov 2016 (-4.9%), 10 Nov 2016 (18.57%)
2015904 Feb 2015 (4.65%), 24 Mar 2015 (-4.68%), 21 Apr 2015 (-5.41%), 22 Apr 2015 (6.61%), 02 Jun 2015 (1.67%), 21 Jul 2015 (-3.27%), 22 Jul 2015 (7.88%), 05 Nov 2015 (-1.1%), 08 Dec 2015 (0.7%)
2014917 Jan 2014 (-4.16%), 24 Jan 2014 (3.28%), 22 Mar 2014 (-3.03%), 16 Apr 2014 (-3.66%), 13 Jun 2014 (-2.0%), 08 Jul 2014 (-3.46%), 28 Jul 2014 (-1.02%), 16 Sep 2014 (-3.32%), 20 Nov 2014 (0.32%)
2013911 Jan 2013 (-2.85%), 22 Feb 2013 (3.19%), 23 May 2013 (-4.08%), 17 Jul 2013 (-4.65%), 29 Jul 2013 (6.35%), 01 Oct 2013 (-4.71%), 15 Oct 2013 (-4.12%), 25 Oct 2013 (-2.13%), 12 Nov 2013 (1.78%)
2012623 Feb 2012 (1.29%), 11 Apr 2012 (-5.09%), 16 Jul 2012 (-3.21%), 27 Aug 2012 (-2.73%), 26 Oct 2012 (-1.66%), 14 Dec 2012 (-0.28%)
2011611 Jan 2011 (-3.73%), 12 Jan 2011 (16.67%), 19 Apr 2011 (-3.69%), 13 Jul 2011 (-2.89%), 11 Nov 2011 (12.16%), 12 Dec 2011 (9.08%)
20101221 Jan 2010 (8.15%), 22 Feb 2010 (-2.6%), 25 Mar 2010 (-3.22%), 30 Mar 2010 (-3.8%), 19 Apr 2010 (-3.51%), 29 Apr 2010 (7.35%), 15 Jul 2010 (-1.61%), 26 Jul 2010 (-0.95%), 27 Aug 2010 (-3.01%), 17 Sep 2010 (-0.96%), 12 Oct 2010 (0.5%), 12 Nov 2010 (12.41%)
20091012 Jan 2009 (-10.17%), 05 Feb 2009 (-8.12%), 18 Feb 2009 (-4.34%), 20 Apr 2009 (-1.6%), 09 Jun 2009 (8.98%), 07 Aug 2009 (-2.11%), 25 Sep 2009 (-4.19%), 23 Oct 2009 (8.22%), 30 Nov 2009 (-4.68%), 16 Dec 2009 (-0.89%)
20081210 Jan 2008 (-4.74%), 11 Jan 2008 (24.42%), 04 Mar 2008 (-8.17%), 05 Mar 2008 (-2.92%), 13 Mar 2008 (-4.73%), 09 May 2008 (-3.77%), 20 Jun 2008 (-3.17%), 30 Jun 2008 (-0.57%), 16 Jul 2008 (-9.29%), 20 Aug 2008 (0.8%), 12 Sep 2008 (45.07%), 01 Dec 2008 (-17.15%)
20071010 Jan 2007 (-3.92%), 19 Jan 2007 (3.14%), 08 May 2007 (-5.18%), 09 May 2007 (-2.9%), 30 May 2007 (-0.33%), 18 Jul 2007 (-3.58%), 14 Sep 2007 (-3.92%), 01 Nov 2007 (-6.12%), 20 Nov 2007 (-6.03%), 21 Nov 2007 (-6.52%)
2006925 Jan 2006 (-4.09%), 20 Feb 2006 (-3.77%), 21 Mar 2006 (-1.94%), 05 May 2006 (-6.54%), 19 Jul 2006 (-6.77%), 31 Aug 2006 (-3.98%), 01 Sep 2006 (-3.85%), 20 Sep 2006 (-2.19%), 11 Dec 2006 (6.4%)
20051605 Jan 2005 (-0.7%), 22 Feb 2005 (-4.75%), 23 Feb 2005 (-2.75%), 09 Mar 2005 (-4.9%), 10 Mar 2005 (5.18%), 15 Apr 2005 (-4.79%), 18 Apr 2005 (-4.89%), 02 May 2005 (-0.97%), 16 Jun 2005 (-1.7%), 28 Jun 2005 (-3.9%), 29 Jul 2005 (-4.28%), 01 Aug 2005 (-4.15%), 09 Aug 2005 (1.72%), 22 Sep 2005 (-4.34%), 10 Oct 2005 (13.89%), 21 Dec 2005 (-0.94%)
20041106 Jan 2004 (12.23%), 24 Feb 2004 (-3.19%), 16 Mar 2004 (11.84%), 29 Jul 2004 (-2.24%), 12 Aug 2004 (-4.81%), 15 Sep 2004 (4.12%), 11 Oct 2004 (2.12%), 13 Dec 2004 (-3.49%), 20 Dec 2004 (-3.65%), 23 Dec 2004 (-3.55%), 30 Dec 2004 (-3.91%)
2003921 Jan 2003 (2.82%), 05 Mar 2003 (3.32%), 06 Jun 2003 (-0.52%), 10 Jul 2003 (-5.31%), 11 Jul 2003 (-5.28%), 22 Aug 2003 (-0.65%), 21 Oct 2003 (13.43%), 04 Dec 2003 (-5.3%), 05 Dec 2003 (-5.33%)
20021028 Jan 2002 (2.55%), 28 Feb 2002 (-6.41%), 24 Apr 2002 (-4.08%), 20 May 2002 (-5.56%), 28 Jun 2002 (-6.71%), 01 Jul 2002 (-5.85%), 12 Jul 2002 (-3.66%), 24 Sep 2002 (-0.95%), 17 Oct 2002 (-5.49%), 09 Dec 2002 (-2.32%)
2001710 Jan 2001 (0.68%), 19 Feb 2001 (10.22%), 11 May 2001 (-3.97%), 04 Jun 2001 (0.46%), 29 Aug 2001 (-2.89%), 30 Aug 2001 (2.4%), 01 Nov 2001 (-4.79%)
2000711 Jan 2000 (12.03%), 02 Mar 2000 (-1.51%), 23 Jun 2000 (-2.43%), 12 Jul 2000 (37.67%), 20 Sep 2000 (15.2%), 05 Dec 2000 (-4.27%), 06 Dec 2000 (-4.25%)
1999818 Jan 1999 (6.98%), 12 Apr 1999 (-5.34%), 19 Apr 1999 (7.27%), 28 May 1999 (-8.51%), 11 Jun 1999 (-6.92%), 01 Jul 1999 (-6.98%), 10 Sep 1999 (11.66%), 27 Oct 1999 (10.18%)
1998812 Jan 1998 (-2.31%), 17 Mar 1998 (-5.39%), 02 Apr 1998 (-6.0%), 24 Apr 1998 (4.94%), 21 Aug 1998 (-4.28%), 24 Aug 1998 (4.79%), 05 Oct 1998 (-6.86%), 28 Nov 1998 (-2.15%)
1997629 Jan 1997 (6.92%), 14 Mar 1997 (10.09%), 09 May 1997 (1.54%), 21 Jul 1997 (-2.8%), 19 Aug 1997 (4.48%), 06 Nov 1997 (29.12%)
1996712 Mar 1996 (-1.94%), 16 Apr 1996 (-2.54%), 24 Jun 1996 (1.5%), 06 Aug 1996 (-3.47%), 07 Aug 1996 (5.51%), 16 Sep 1996 (0.44%), 18 Nov 1996 (34.0%)
1995521 Apr 1995 (1.77%), 11 Aug 1995 (-0.77%), 21 Sep 1995 (-2.09%), 12 Oct 1995 (-0.69%), 27 Oct 1995 (18.42%)



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