Study: Sell CIPLA 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 CIPLA 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 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
1-190.1684374744.053635.7918131.12-2866.27-16002.781.271-0.0001-2.26
234979.5284444052.384720.9425027.68-4318.54-13647.571.091.20.013416.42
3-9730.284404447.626283.1630741.78-5933.11-24265.591.060.96-0.0028-115.84
4-45780.7884374744.057803.6527566.02-7117.36-39223.761.10.86-0.011-545.01
5-11468384364842.868851.5334025.2-9027.87-43266.650.980.74-0.021-1365.27
6-48171384374744.058824.3539157.82-17196.05-2978910.510.4-0.033-5734.68
7-46925284364842.869680.3245030.61-17036.31-2755560.570.43-0.034-5586.33
8-52104884315336.910676.8247112.4-16076.03-3029720.660.39-0.035-6202.96
9-56327384285633.3310614.7752370.11-15365.83-2930980.690.35-0.039-6705.63
10-62144384325238.18269.6241677.26-17039.83-2881130.490.3-0.044-7398.14
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
atrnil320.4416084.38517682027674.5171954-6682.09-12943.464.141.040.0018189.23
atrtrail356568.6999306930.312626.9536689.77-5394.78-20617.872.341.020.001366.35
atrtrail24.47-15918.07101317030.6911707.3128498.2-5412.07-20617.872.160.96-0.0035-157.6
atrnil26.58-27223.3810028722817193.36114636-7064.41-21664.542.430.95-0.0037-272.23
atrtrail-15.3-66493.8999297029.2910635.0828498.2-5355.87-20617.871.990.82-0.015-671.66

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 20%, which is not acceptable. Avoid this strategy. Average return per trade is 0.095%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0018, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (-1.98%), 29 Jan 2019 (-2.13%), 08 May 2019 (-2.13%)
2018511 Jul 2018 (-2.68%), 29 Aug 2018 (-2.69%), 04 Sep 2018 (-2.68%), 12 Sep 2018 (-2.63%), 19 Sep 2018 (7.97%)
2017523 Jan 2017 (-2.33%), 10 Feb 2017 (-2.66%), 23 May 2017 (6.04%), 01 Aug 2017 (-2.08%), 08 Nov 2017 (10.03%)
2016330 Mar 2016 (-2.98%), 12 Sep 2016 (-2.36%), 14 Sep 2016 (-2.33%)
2015316 Mar 2015 (-3.2%), 17 Mar 2015 (-3.12%), 17 Aug 2015 (8.21%)
2014409 Jul 2014 (-2.68%), 04 Aug 2014 (-2.56%), 23 Sep 2014 (-3.38%), 11 Nov 2014 (-2.83%)
2013311 Jan 2013 (6.16%), 08 Feb 2013 (-2.67%), 16 Dec 2013 (-2.0%)
2012519 Mar 2012 (-2.53%), 24 Jul 2012 (-1.97%), 05 Oct 2012 (-3.6%), 14 Dec 2012 (-2.43%), 24 Dec 2012 (-2.31%)
2011217 Jun 2011 (-2.34%), 12 Dec 2011 (-2.23%)
2010324 Feb 2010 (-3.17%), 08 Apr 2010 (-2.94%), 27 Aug 2010 (-2.36%)
2009522 Apr 2009 (-5.11%), 04 May 2009 (-4.86%), 30 Jun 2009 (-4.46%), 29 Jul 2009 (-4.37%), 14 Dec 2009 (-3.46%)
2008304 Jan 2008 (10.84%), 12 Feb 2008 (-6.47%), 01 Sep 2008 (8.54%)
2007430 Apr 2007 (-5.76%), 22 Aug 2007 (-4.2%), 23 Aug 2007 (-4.88%), 19 Sep 2007 (-3.54%)
2006727 Feb 2006 (-3.65%), 28 Feb 2006 (-3.77%), 13 Apr 2006 (-5.34%), 12 May 2006 (15.31%), 28 Aug 2006 (-3.7%), 11 Sep 2006 (-3.26%), 17 Nov 2006 (-2.59%)
2005505 Jan 2005 (8.64%), 07 Jun 2005 (-2.5%), 11 Jul 2005 (-2.73%), 29 Aug 2005 (-3.4%), 21 Sep 2005 (9.63%)
2004220 Aug 2004 (-3.44%), 07 Oct 2004 (8.5%)
1999723 Feb 1999 (-3.88%), 15 Apr 1999 (-5.2%), 19 Apr 1999 (-6.4%), 30 Jul 1999 (-4.03%), 31 Aug 1999 (-4.17%), 04 Oct 1999 (-5.69%), 20 Oct 1999 (85.98%)
1998412 Jan 1998 (-3.01%), 24 Apr 1998 (-5.92%), 03 Jun 1998 (12.26%), 02 Nov 1998 (-2.35%)
1997425 Mar 1997 (6.38%), 17 Apr 1997 (-2.51%), 23 May 1997 (-3.12%), 10 Dec 1997 (-3.14%)
1996619 Mar 1996 (-3.16%), 02 Apr 1996 (-2.44%), 25 Apr 1996 (8.58%), 31 Jul 1996 (-4.09%), 23 Dec 1996 (-3.27%), 24 Dec 1996 (-3.31%)
1995212 Jun 1995 (10.46%), 28 Jun 1995 (11.71%)



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