Study: Sell CIPLA when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CIPLA 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 CIPLA 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
1-57768.222088512340.873548.4418131.12-2921.84-21966.831.210.84-0.012-277.73
21961622089910947.66267.31160189-3892.67-20890.311.611.460.015943.09
31167882079611146.387706.12160006-5612.61-24265.591.371.190.0084564.19
472253.992079611146.388633.63162340-6815.99-39223.761.271.10.0048349.05
5-30951.12079411345.419742.27166971-8378.09-40020.311.160.97-0.0019-149.52
6-4429782079011743.4810642.71163866-11972.84-2978910.890.68-0.016-2139.99
7-3731182079211544.4411030.82162752-12069.15-2755560.910.73-0.014-1802.5
8-5324852078112639.1312547.13162333-12292.08-3029721.020.66-0.019-2572.39
9-5548832078012738.6512613.91162584-12314.92-2930981.020.65-0.02-2680.59
10-5454022078512241.0611847.51161005-12724.92-2881130.930.65-0.02-2634.79
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-15.3546097.712487916931.8511797.08166785-5241.84-20617.872.251.050.0027185.88
atrtrail34.7131651.362488116732.6611181.7347145.08-5233.94-20617.872.141.040.0027127.63
atrtrail24.11-571252558217332.1610357.7831430.06-5239.67-20617.871.980.94-0.0053-224.02
atrnil313.13-78838.931964215421.4321549.75171954-6389.15-12943.463.370.92-0.0051-402.24
atrnil25.93-1421612487417429.8413711.95114636-6648.54-21664.542.060.88-0.0099-573.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 31.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.093%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0027, 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.
CIPLA Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019928 Jan 2019 (-1.98%), 29 Jan 2019 (-2.13%), 06 Mar 2019 (3.33%), 08 May 2019 (-0.31%), 31 May 2019 (-2.88%), 08 Jul 2019 (-2.12%), 09 Jul 2019 (-1.4%), 19 Jul 2019 (1.04%), 13 Nov 2019 (-3.08%)
2018916 Jan 2018 (-2.02%), 30 Jan 2018 (4.45%), 22 Feb 2018 (6.07%), 08 May 2018 (0.34%), 11 Jul 2018 (-1.98%), 29 Aug 2018 (-2.69%), 04 Sep 2018 (-2.68%), 12 Sep 2018 (-2.63%), 19 Sep 2018 (-0.66%)
20171223 Jan 2017 (-2.33%), 10 Feb 2017 (-1.48%), 28 Feb 2017 (-2.19%), 23 Mar 2017 (-0.87%), 23 May 2017 (5.75%), 12 Jul 2017 (-2.18%), 01 Aug 2017 (-2.08%), 10 Aug 2017 (-1.94%), 21 Aug 2017 (-2.72%), 25 Oct 2017 (-2.7%), 26 Oct 2017 (-2.71%), 08 Nov 2017 (1.76%)
2016907 Jan 2016 (7.0%), 30 Mar 2016 (-0.41%), 13 May 2016 (10.27%), 02 Aug 2016 (-2.18%), 03 Aug 2016 (-1.76%), 10 Aug 2016 (-1.17%), 12 Sep 2016 (-2.36%), 14 Sep 2016 (-2.33%), 16 Dec 2016 (-1.33%)
20151107 Jan 2015 (-2.41%), 05 Feb 2015 (-2.73%), 06 Feb 2015 (0.79%), 23 Feb 2015 (-1.5%), 16 Mar 2015 (-3.2%), 17 Mar 2015 (-0.56%), 10 Apr 2015 (7.32%), 28 May 2015 (-3.0%), 17 Aug 2015 (-0.08%), 22 Sep 2015 (-1.09%), 03 Nov 2015 (6.04%)
2014907 Jan 2014 (-2.15%), 28 Jan 2014 (-2.29%), 25 Apr 2014 (-2.11%), 30 Apr 2014 (1.31%), 09 Jul 2014 (-1.66%), 04 Aug 2014 (-1.08%), 23 Sep 2014 (-3.38%), 11 Nov 2014 (3.1%), 12 Dec 2014 (2.74%)
2013911 Jan 2013 (5.11%), 07 Feb 2013 (0.83%), 06 May 2013 (-0.25%), 27 May 2013 (5.73%), 30 Jul 2013 (2.18%), 20 Aug 2013 (-0.91%), 23 Sep 2013 (-3.3%), 14 Nov 2013 (3.7%), 16 Dec 2013 (-2.0%)
20121416 Jan 2012 (-2.31%), 17 Jan 2012 (-0.5%), 03 Feb 2012 (-2.37%), 13 Feb 2012 (4.15%), 19 Mar 2012 (1.47%), 27 Mar 2012 (-2.43%), 27 Apr 2012 (-2.23%), 17 May 2012 (0.75%), 24 Jul 2012 (-1.97%), 05 Oct 2012 (0.1%), 20 Nov 2012 (-2.35%), 21 Nov 2012 (-0.33%), 14 Dec 2012 (-2.43%), 24 Dec 2012 (-1.08%)
2011606 Jan 2011 (3.42%), 26 Apr 2011 (1.97%), 17 Jun 2011 (1.23%), 11 Jul 2011 (-0.74%), 09 Nov 2011 (-1.74%), 12 Dec 2011 (-2.23%)
20101124 Feb 2010 (-3.17%), 08 Apr 2010 (-0.93%), 05 May 2010 (-2.76%), 10 May 2010 (-0.79%), 01 Jul 2010 (-2.25%), 27 Aug 2010 (-2.34%), 18 Oct 2010 (-2.27%), 19 Oct 2010 (-2.32%), 04 Nov 2010 (2.68%), 10 Dec 2010 (-4.08%), 23 Dec 2010 (-3.35%)
20091115 Jan 2009 (0.76%), 16 Feb 2009 (-0.73%), 19 Mar 2009 (-3.1%), 22 Apr 2009 (-5.11%), 04 May 2009 (3.62%), 30 Jun 2009 (-1.38%), 29 Jul 2009 (-4.37%), 10 Sep 2009 (-0.9%), 22 Oct 2009 (-3.62%), 30 Oct 2009 (-3.82%), 14 Dec 2009 (-3.4%)
20081203 Jan 2008 (2.77%), 12 Feb 2008 (-2.63%), 17 Mar 2008 (-5.21%), 08 Apr 2008 (-4.36%), 28 Apr 2008 (-2.9%), 25 Jun 2008 (-3.71%), 26 Jun 2008 (0.85%), 16 Jul 2008 (-3.55%), 31 Jul 2008 (-3.72%), 01 Sep 2008 (5.84%), 06 Oct 2008 (6.29%), 12 Dec 2008 (-6.15%)
20071310 Jan 2007 (-3.3%), 24 Jan 2007 (-1.79%), 13 Feb 2007 (-3.05%), 23 Feb 2007 (6.06%), 16 Mar 2007 (-4.57%), 30 Apr 2007 (-0.58%), 14 Jun 2007 (0.48%), 17 Jul 2007 (6.96%), 22 Aug 2007 (-4.2%), 23 Aug 2007 (-3.1%), 19 Sep 2007 (-2.02%), 17 Oct 2007 (-3.81%), 29 Oct 2007 (1.45%)
20061127 Feb 2006 (-3.65%), 28 Feb 2006 (-2.98%), 13 Apr 2006 (-5.34%), 12 May 2006 (3.29%), 04 Jul 2006 (-6.0%), 19 Jul 2006 (-4.94%), 28 Aug 2006 (-3.7%), 11 Sep 2006 (-3.26%), 03 Oct 2006 (-2.86%), 04 Oct 2006 (-3.25%), 17 Nov 2006 (-1.42%)
20051005 Jan 2005 (12.13%), 21 Feb 2005 (-0.18%), 22 Mar 2005 (1.0%), 07 Jun 2005 (-2.5%), 11 Jul 2005 (-2.73%), 29 Aug 2005 (-3.24%), 21 Sep 2005 (-1.34%), 10 Oct 2005 (-4.03%), 21 Oct 2005 (0.91%), 19 Dec 2005 (-2.56%)
2004416 Mar 2004 (-3.75%), 10 May 2004 (83.39%), 20 Aug 2004 (-3.33%), 07 Oct 2004 (5.43%)
20031016 Jan 2003 (5.85%), 04 Mar 2003 (0.26%), 23 Apr 2003 (6.48%), 25 Jun 2003 (-2.96%), 18 Jul 2003 (1.73%), 19 Aug 2003 (-3.69%), 16 Sep 2003 (1.82%), 25 Oct 2003 (-3.48%), 05 Nov 2003 (3.58%), 12 Dec 2003 (-3.63%)
2002818 Jan 2002 (2.14%), 28 Feb 2002 (-2.94%), 17 Apr 2002 (2.4%), 21 May 2002 (-0.74%), 19 Aug 2002 (2.17%), 16 Sep 2002 (-2.12%), 14 Oct 2002 (2.5%), 06 Dec 2002 (-0.08%)
20011019 Jan 2001 (-2.43%), 19 Feb 2001 (8.46%), 11 Apr 2001 (-5.2%), 11 May 2001 (-5.72%), 24 May 2001 (-1.63%), 05 Jul 2001 (-3.52%), 19 Jul 2001 (-3.1%), 13 Sep 2001 (7.72%), 13 Nov 2001 (-4.21%), 27 Dec 2001 (-1.79%)
20001010 Jan 2000 (-0.74%), 01 Mar 2000 (8.13%), 19 Apr 2000 (21.05%), 23 May 2000 (-10.31%), 12 Jul 2000 (12.67%), 11 Sep 2000 (12.85%), 20 Nov 2000 (-3.97%), 30 Nov 2000 (-3.95%), 01 Dec 2000 (-2.93%), 15 Dec 2000 (8.23%)
19991023 Feb 1999 (-2.62%), 15 Apr 1999 (-5.2%), 19 Apr 1999 (10.55%), 24 May 1999 (-4.18%), 27 May 1999 (-3.83%), 11 Jun 1999 (-1.63%), 30 Jul 1999 (-4.03%), 31 Aug 1999 (-3.35%), 04 Oct 1999 (-4.13%), 20 Oct 1999 (14.25%)
19981112 Jan 1998 (-3.01%), 12 Feb 1998 (-2.34%), 17 Mar 1998 (-2.31%), 24 Apr 1998 (-5.68%), 03 Jun 1998 (10.67%), 04 Aug 1998 (-3.37%), 17 Sep 1998 (1.29%), 06 Oct 1998 (-2.65%), 23 Oct 1998 (-2.25%), 02 Nov 1998 (-1.79%), 14 Dec 1998 (0.16%)
19971121 Jan 1997 (-3.46%), 24 Feb 1997 (-2.79%), 25 Mar 1997 (2.98%), 17 Apr 1997 (-0.05%), 23 May 1997 (2.16%), 17 Jul 1997 (-2.81%), 25 Jul 1997 (-3.07%), 12 Aug 1997 (10.98%), 29 Sep 1997 (-2.66%), 09 Oct 1997 (-0.13%), 10 Dec 1997 (1.61%)
19961215 Jan 1996 (-4.57%), 18 Jan 1996 (4.69%), 19 Mar 1996 (-3.16%), 02 Apr 1996 (-2.44%), 25 Apr 1996 (11.82%), 27 Jun 1996 (-1.46%), 09 Jul 1996 (-0.3%), 30 Jul 1996 (-0.83%), 11 Sep 1996 (10.02%), 04 Nov 1996 (-1.47%), 23 Dec 1996 (-3.27%), 24 Dec 1996 (2.12%)
1995612 Apr 1995 (16.33%), 12 Jun 1995 (4.44%), 28 Jun 1995 (8.95%), 28 Jul 1995 (-2.85%), 16 Aug 1995 (8.98%), 18 Oct 1995 (0.07%)



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