Study: Sell CESC 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 CESC 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 CESC 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
197933.82753936526117.429839.12-3906.8-20043.571.571.70.0351305.78
218540375472862.677358.3548121.5-5729.98-19186.651.282.160.0522472.04
3159523754530608257.7430660.38-7069.18-23774.771.171.750.0422126.97
413465774462862.169161.3839622.64-10241.67-43317.970.891.470.0291819.69
510723374423256.7610030.9839622.64-9814.63-48540.711.021.340.0211449.09
612133874472763.5110672.0650707.55-14083.27-68202.760.761.320.0191639.71
718911474443059.4613793.5848201.44-13926.8-77726.570.991.450.0262555.59
829395874482664.8613777.7956834.53-14129.86-79262.670.981.80.0413972.4
921907974423256.7615612.5848201.44-13645.29-83099.381.141.50.0292960.52
1022633874443059.4614796.7247362.11-14157.26-1115101.051.530.0283058.62

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.16. 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 62.67%, which is good. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CESC Performance, X=2, Profit Factor:2.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020112 May 2020 (1.14%)
2019304 Jul 2019 (1.51%), 25 Sep 2019 (1.15%), 06 Nov 2019 (1.68%)
2018519 Jan 2018 (0.76%), 12 Mar 2018 (-0.0%), 03 May 2018 (-3.25%), 11 Sep 2018 (-0.64%), 31 Oct 2018 (0.69%)
2017323 Feb 2017 (1.83%), 17 May 2017 (10.08%), 11 Aug 2017 (-2.47%)
2016508 Jan 2016 (0.21%), 12 Feb 2016 (-1.93%), 05 May 2016 (-2.71%), 13 Jul 2016 (2.37%), 29 Aug 2016 (-2.25%)
2015130 Oct 2015 (1.06%)
2014421 Apr 2014 (1.04%), 10 Jun 2014 (0.56%), 11 Jul 2014 (0.76%), 23 Sep 2014 (3.24%)
2013420 Mar 2013 (1.07%), 04 Jun 2013 (-4.72%), 11 Oct 2013 (2.77%), 20 Nov 2013 (2.02%)
2012222 Feb 2012 (4.67%), 16 Jul 2012 (-2.57%)
2011129 Jul 2011 (0.19%)
2010122 Jan 2010 (6.23%)
2009628 Apr 2009 (-6.44%), 05 Jun 2009 (2.12%), 10 Aug 2009 (-1.82%), 09 Sep 2009 (1.49%), 01 Oct 2009 (1.85%), 21 Oct 2009 (1.45%)
2008305 Mar 2008 (8.55%), 07 Oct 2008 (24.06%), 26 Dec 2008 (2.38%)
2007212 Feb 2007 (0.32%), 31 Jul 2007 (7.98%)
2006316 Feb 2006 (1.32%), 23 Mar 2006 (-5.73%), 10 Apr 2006 (5.12%)
2005406 Jan 2005 (-4.99%), 16 Mar 2005 (5.36%), 21 Sep 2005 (4.8%), 02 Dec 2005 (4.34%)
2004216 Jan 2004 (7.25%), 19 Nov 2004 (-1.7%)
2003607 Jan 2003 (-0.24%), 23 Jun 2003 (-0.46%), 09 Jul 2003 (-2.82%), 19 Aug 2003 (-9.59%), 28 Oct 2003 (-0.0%), 19 Nov 2003 (1.75%)
2002326 Apr 2002 (0.8%), 17 Jun 2002 (-0.23%), 11 Jul 2002 (-3.7%)
2001121 Feb 2001 (4.74%)
2000217 Oct 2000 (-0.55%), 20 Dec 2000 (3.59%)
1999128 Jul 1999 (4.27%)
1998302 Apr 1998 (-2.24%), 20 Apr 1998 (-0.43%), 30 Sep 1998 (8.72%)
1997421 Jan 1997 (1.96%), 11 Jun 1997 (-3.34%), 18 Aug 1997 (-1.18%), 03 Nov 1997 (0.68%)
1996401 Mar 1996 (7.11%), 22 Oct 1996 (-6.96%), 06 Nov 1996 (-7.24%), 26 Nov 1996 (8.96%)
1995120 Apr 1995 (6.91%)

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-1218540375472862.677358.3548121.5-5729.98-19186.651.282.160.0522472.04
atrnil27.4125649187394844.8319151.0536377.88-10216.65-17406.711.871.520.0382948.18
atrtrail2414435587375042.5313507.1931222.91-7108.22-16132.131.91.410.0281659.26
atrnil311.1322207486295733.7227636.4346834.37-10164.61-17406.712.721.380.0272582.25
atrtrail34.6411961386355140.713646.946834.37-7020.17-16132.131.941.330.0211390.85
atrtrail-15.0728543.4585355041.1810810.2339462.62-6996.29-16132.131.551.080.0061335.81

In the table above, row 1 shows the best exit criterion. Profit factor is 2.16. 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 62.67%, which is good. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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