Study: Sell CENTURYTEX 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 CENTURYTEX 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 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
1-85116.987404745.983882.2416017.32-5115.03-16599.520.760.65-0.034-978.36
2-98157.3287335437.938158.9322528.46-6803.74-28810.811.20.73-0.023-1128.25
3-60096.3987424548.289450.828899.73-10156.22-39304.920.930.87-0.011-690.76
4-47749.3187434449.4311410.5736952.38-12236.45-39776.950.930.91-0.0074-548.84
5-51703.2787493856.3210226.9748313.58-14548.03-51672.860.70.91-0.0073-594.29
623773.6587523559.7712922.0745031.91-18519.26-71747.210.71.040.0026273.26
722531.7187454251.7216175.0358523.25-16793.92-86988.850.961.030.0022258.99
836338.6187523559.7715424.2866545.12-21877.83-92097.640.711.050.0034417.69
911503587493856.3218360.560164.08-20648.14-93090.610.891.150.011322.24
1011471687493856.3219237.5762716.5-21787.51-98634.670.881.140.011318.57
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
atrtrail-14.6623980.85103346933.0117015.9875345.6-8037.14-34303.182.121.040.0029232.82
atrnil24.8-49025.04105366934.2918346.4734219.89-10282.58-34303.181.780.93-0.0065-466.91
atrtrail33.83-42100.8104356933.6515006.3735639.18-8222.08-34303.181.830.93-0.0062-404.82
atrtrail23.31-61548.83105357033.3314748.0832957.67-8253.31-34303.181.790.89-0.0094-586.18
atrnil37.31-97394.75103257824.2727409.3842938.74-10033.71-34303.182.730.88-0.011-945.58

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 33.01%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0029, 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
2019303 Apr 2019 (-2.77%), 07 Jun 2019 (3.79%), 22 Aug 2019 (-3.93%)
2018423 Oct 2018 (-5.33%), 29 Nov 2018 (-3.1%), 04 Dec 2018 (3.42%), 24 Dec 2018 (-3.18%)
2017328 Apr 2017 (-1.09%), 15 May 2017 (0.85%), 07 Nov 2017 (-1.99%)
2016429 Feb 2016 (-5.18%), 02 May 2016 (2.37%), 09 Nov 2016 (-4.9%), 10 Nov 2016 (18.57%)
2015221 Apr 2015 (-5.41%), 22 Apr 2015 (6.61%)
2014617 Jan 2014 (-4.16%), 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%)
2013222 Feb 2013 (3.19%), 17 Jul 2013 (-4.65%)
2012423 Feb 2012 (1.29%), 11 Apr 2012 (-5.09%), 26 Oct 2012 (-1.66%), 14 Dec 2012 (-0.28%)
2011411 Jan 2011 (-3.73%), 12 Jan 2011 (16.67%), 19 Apr 2011 (-3.69%), 12 Dec 2011 (9.08%)
2010621 Jan 2010 (8.15%), 22 Feb 2010 (-2.6%), 19 Apr 2010 (-3.51%), 29 Apr 2010 (7.35%), 27 Aug 2010 (-3.01%), 17 Sep 2010 (-0.96%)
2009220 Apr 2009 (-1.6%), 09 Jun 2009 (8.98%)
2008704 Mar 2008 (-8.17%), 05 Mar 2008 (-2.92%), 13 Mar 2008 (-4.73%), 20 Jun 2008 (-3.17%), 30 Jun 2008 (-0.57%), 16 Jul 2008 (-9.29%), 01 Dec 2008 (-17.15%)
2007118 Jul 2007 (-3.58%)
2006321 Mar 2006 (-1.94%), 05 May 2006 (-6.54%), 12 Dec 2006 (-4.85%)
2005605 Jan 2005 (-0.7%), 22 Feb 2005 (-4.75%), 09 Mar 2005 (-4.9%), 29 Jul 2005 (-4.28%), 01 Aug 2005 (-4.15%), 09 Aug 2005 (1.72%)
2004506 Jan 2004 (12.23%), 15 Sep 2004 (4.12%), 11 Oct 2004 (2.12%), 23 Dec 2004 (-3.55%), 30 Dec 2004 (-3.91%)
2003521 Jan 2003 (2.82%), 06 Jun 2003 (-0.52%), 10 Jul 2003 (-5.31%), 11 Jul 2003 (-5.28%), 22 Aug 2003 (-0.65%)
2002520 May 2002 (-5.56%), 28 Jun 2002 (-6.71%), 01 Jul 2002 (-5.85%), 12 Jul 2002 (-3.66%), 09 Dec 2002 (-2.32%)
2001210 Jan 2001 (0.68%), 19 Feb 2001 (10.22%)
2000412 Jul 2000 (37.67%), 20 Sep 2000 (15.2%), 05 Dec 2000 (-4.27%), 06 Dec 2000 (-4.25%)
1999518 Jan 1999 (6.98%), 28 May 1999 (-8.51%), 11 Jun 1999 (-6.92%), 01 Jul 1999 (-6.98%), 10 Sep 1999 (11.66%)
1998712 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%)
1997529 Jan 1997 (6.92%), 09 May 1997 (1.54%), 21 Jul 1997 (-2.8%), 19 Aug 1997 (4.48%), 06 Nov 1997 (29.12%)
1996612 Mar 1996 (-1.94%), 16 Apr 1996 (-2.54%), 06 Aug 1996 (-3.47%), 07 Aug 1996 (5.51%), 16 Sep 1996 (0.44%), 18 Nov 1996 (34.0%)
1995221 Apr 1995 (1.77%), 11 Aug 1995 (-0.77%)



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