Study: Sell CHOLAFIN when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN 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 CHOLAFIN 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
1-108935176799744.893752.1317823.91-4178.9-26860.890.90.73-0.022-618.95
2-1607631767310341.485210.0526491.99-5253.37-24814.420.990.7-0.026-913.43
3-1632931767610043.186165.0925327.51-6318.4-42841.990.980.74-0.022-927.8
4-1444931767510142.617736.3428511.53-7175.42-40851.611.080.8-0.017-820.98
5-12786.24176839347.168760.0230276.56-7955.57-46262.211.10.98-0.0013-72.65
6109775176869048.869820.1941424.33-8164.01-52313.111.21.150.01623.72
734490.27176928452.2710070.3947419.44-10618.88-53401.630.951.040.0028195.97
887714.4175908551.431131552239.98-10948.65-49687.851.031.090.0068501.23
9-20745.53175868949.1412065.7459418.39-11892.12-60575.31.010.98-0.0015-118.55
10-67366.55175829346.8613643.467015.98-12754.03-73604.061.070.94-0.0043-384.95
Although, strategy looks good but profit factor on day 2 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
atrtrail24.43-2044252116214929.3813696.744058.57-7071.28-18825.331.940.81-0.018-968.84
atrnil38.96-2718581904015021.0527476.9566087.85-9139.57-18825.333.010.8-0.019-1430.83
atrnil26.66-2657692025914329.2117708.6244058.57-9164.88-18825.331.930.8-0.021-1315.69
atrtrail34.96-2160092055814728.2914108.2966087.85-7035.98-18825.332.010.79-0.018-1053.7
atrtrail-15.34-3037692045714727.9412643.6356467.76-6969.09-18825.331.810.7-0.027-1489.06

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 29.38%, which is not acceptable. Avoid this strategy. Average return per trade is -0.48%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:0.806

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019703 Jan 2019 (7.72%), 18 Feb 2019 (-3.4%), 25 Mar 2019 (-2.76%), 26 Mar 2019 (-2.82%), 10 Apr 2019 (0.36%), 04 Jul 2019 (8.89%), 17 Sep 2019 (-2.93%)
20181310 Jan 2018 (-2.34%), 19 Jan 2018 (0.1%), 09 Mar 2018 (-3.39%), 12 Mar 2018 (0.9%), 04 May 2018 (6.73%), 27 Jun 2018 (5.78%), 28 Jun 2018 (-3.5%), 19 Jul 2018 (-3.76%), 06 Sep 2018 (-3.24%), 07 Sep 2018 (6.62%), 19 Nov 2018 (-5.01%), 05 Dec 2018 (8.22%), 24 Dec 2018 (-3.99%)
2017609 Feb 2017 (-1.26%), 05 May 2017 (6.76%), 03 Aug 2017 (-2.94%), 09 Aug 2017 (-0.74%), 21 Sep 2017 (4.86%), 23 Nov 2017 (-2.2%)
2016818 Feb 2016 (-2.89%), 16 Mar 2016 (-4.14%), 17 May 2016 (-1.62%), 13 Jun 2016 (6.8%), 11 Aug 2016 (-3.21%), 02 Sep 2016 (-0.51%), 20 Oct 2016 (0.45%), 05 Dec 2016 (12.42%)
20151309 Feb 2015 (-4.33%), 10 Feb 2015 (-4.3%), 18 Feb 2015 (-4.24%), 26 Feb 2015 (-3.35%), 23 Apr 2015 (7.18%), 24 Apr 2015 (-4.17%), 26 May 2015 (-3.24%), 09 Jun 2015 (-3.66%), 20 Jul 2015 (-2.99%), 12 Oct 2015 (0.03%), 10 Nov 2015 (-2.89%), 09 Dec 2015 (-3.23%), 31 Dec 2015 (-2.38%)
2014830 Jan 2014 (3.09%), 21 Apr 2014 (-3.13%), 30 May 2014 (-6.91%), 16 Jun 2014 (-3.67%), 11 Jul 2014 (-5.69%), 24 Sep 2014 (-3.94%), 10 Nov 2014 (-3.95%), 09 Dec 2014 (-4.76%)
2013708 Jan 2013 (-4.92%), 11 Mar 2013 (7.38%), 29 May 2013 (5.79%), 24 Jul 2013 (-3.53%), 10 Oct 2013 (-3.58%), 21 Nov 2013 (-3.44%), 05 Dec 2013 (-0.81%)
2012916 Feb 2012 (-4.22%), 23 Mar 2012 (-3.06%), 04 Apr 2012 (-2.61%), 06 Aug 2012 (-4.45%), 25 Sep 2012 (-4.58%), 15 Oct 2012 (-5.3%), 30 Oct 2012 (-3.08%), 20 Nov 2012 (-3.63%), 28 Dec 2012 (-4.91%)
20111006 Jan 2011 (-2.43%), 17 Jan 2011 (-2.94%), 28 Jan 2011 (-4.9%), 31 Jan 2011 (10.6%), 04 Apr 2011 (-2.99%), 28 Jul 2011 (-4.51%), 29 Jul 2011 (9.32%), 26 Sep 2011 (2.12%), 09 Nov 2011 (8.71%), 13 Dec 2011 (-2.55%)
20101320 Jan 2010 (9.92%), 23 Mar 2010 (-6.82%), 29 Mar 2010 (-7.48%), 15 Apr 2010 (-3.47%), 20 May 2010 (-6.82%), 29 Jun 2010 (-5.14%), 26 Jul 2010 (-0.54%), 27 Aug 2010 (-4.48%), 30 Aug 2010 (-4.3%), 16 Sep 2010 (-3.96%), 21 Sep 2010 (-3.2%), 18 Nov 2010 (-1.77%), 08 Dec 2010 (-0.64%)
2009409 Jan 2009 (22.03%), 30 Jun 2009 (-2.42%), 27 Aug 2009 (-2.12%), 29 Sep 2009 (13.0%)
2008408 Jan 2008 (-7.04%), 05 Mar 2008 (13.87%), 01 Jul 2008 (-9.41%), 16 Jul 2008 (-9.36%)
2007710 Jan 2007 (1.04%), 09 Feb 2007 (8.49%), 26 Jun 2007 (-4.17%), 03 Jul 2007 (-3.91%), 23 Jul 2007 (11.54%), 13 Sep 2007 (11.61%), 21 Nov 2007 (0.35%)
20061024 Jan 2006 (-0.22%), 21 Feb 2006 (10.62%), 12 Apr 2006 (-0.55%), 19 May 2006 (-6.44%), 20 Jul 2006 (11.8%), 04 Sep 2006 (-2.21%), 25 Sep 2006 (-2.91%), 20 Oct 2006 (-1.87%), 02 Nov 2006 (-1.71%), 20 Nov 2006 (-0.34%)
20051023 Mar 2005 (-3.05%), 28 Apr 2005 (-6.2%), 30 May 2005 (-5.14%), 31 May 2005 (-5.04%), 14 Jun 2005 (-4.75%), 19 Jul 2005 (2.07%), 20 Sep 2005 (1.68%), 20 Oct 2005 (-2.38%), 31 Oct 2005 (-2.45%), 01 Nov 2005 (5.29%)
2004914 Jan 2004 (13.01%), 03 Mar 2004 (-4.19%), 19 Mar 2004 (-0.09%), 29 Apr 2004 (-4.71%), 14 May 2004 (11.06%), 17 May 2004 (-6.88%), 30 Jul 2004 (-1.47%), 17 Sep 2004 (-1.83%), 22 Dec 2004 (-4.65%)
2003828 Jan 2003 (-2.82%), 06 Mar 2003 (-2.2%), 17 Jun 2003 (-1.42%), 09 Jul 2003 (7.52%), 19 Aug 2003 (-2.93%), 21 Nov 2003 (-5.36%), 24 Nov 2003 (-5.33%), 11 Dec 2003 (-2.71%)
2002928 Feb 2002 (-4.48%), 26 Mar 2002 (-6.9%), 17 May 2002 (-3.01%), 03 Jul 2002 (-4.5%), 04 Jul 2002 (-4.6%), 27 Sep 2002 (-2.56%), 03 Oct 2002 (-2.09%), 11 Nov 2002 (-2.67%), 13 Dec 2002 (0.41%)
20011210 Jan 2001 (-1.14%), 27 Feb 2001 (-4.49%), 28 Feb 2001 (9.05%), 20 Mar 2001 (-5.51%), 09 May 2001 (-4.24%), 04 Jun 2001 (-2.11%), 14 Sep 2001 (7.81%), 17 Sep 2001 (-3.79%), 02 Nov 2001 (-3.49%), 22 Nov 2001 (-3.14%), 07 Dec 2001 (-3.08%), 12 Dec 2001 (0.16%)
2000918 Feb 2000 (-5.66%), 02 Mar 2000 (17.96%), 17 Apr 2000 (13.17%), 27 Jun 2000 (-4.25%), 19 Sep 2000 (-3.89%), 20 Sep 2000 (1.71%), 12 Oct 2000 (-4.06%), 14 Nov 2000 (-3.19%), 15 Dec 2000 (-2.15%)
19991010 Feb 1999 (-2.94%), 05 Mar 1999 (-0.39%), 31 May 1999 (-2.15%), 09 Jun 1999 (6.37%), 15 Jun 1999 (-4.04%), 22 Jul 1999 (-1.15%), 02 Sep 1999 (4.36%), 01 Nov 1999 (-7.79%), 28 Dec 1999 (-7.81%), 29 Dec 1999 (-7.25%)
1998923 Jan 1998 (0.48%), 17 Mar 1998 (-2.27%), 27 May 1998 (1.16%), 29 Jul 1998 (-2.19%), 08 Sep 1998 (-2.39%), 22 Sep 1998 (5.71%), 23 Sep 1998 (7.01%), 02 Dec 1998 (5.84%), 10 Dec 1998 (5.95%)
1997824 Jan 1997 (-1.41%), 14 Feb 1997 (8.79%), 19 Mar 1997 (-1.08%), 15 Apr 1997 (1.56%), 18 Jun 1997 (-0.26%), 14 Jul 1997 (-1.71%), 17 Sep 1997 (7.57%), 22 Dec 1997 (-1.23%)
1996809 Jan 1996 (11.87%), 12 Mar 1996 (0.13%), 10 May 1996 (-2.17%), 20 Aug 1996 (-5.23%), 03 Sep 1996 (-5.59%), 17 Sep 1996 (-3.94%), 27 Sep 1996 (10.79%), 11 Nov 1996 (11.05%)



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