Study: Sell COLPAL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell COLPAL 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 COLPAL 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
118045.0795494651.582354.889312.07-2116.18-6808.261.111.190.019189.95
2-50819.6495445146.322936.548943.63-3529.95-14868.120.830.72-0.036-534.94
3-63632.7895504552.633286.4712316.65-5065.7-19171.060.650.72-0.035-669.82
4-97611.995445146.324152.3415747.42-5496.37-20861.090.760.65-0.047-1027.49
5-17906795365937.894462.3316273.04-5757.81-20708.360.780.47-0.081-1884.91
6-19596495336234.745385.8420570.37-6027.37-21944.240.890.48-0.082-2062.78
7-22160395365937.894924.6321515.08-6760.84-25529.040.730.44-0.087-2332.66
8-19259395405542.114669.9820101.2-6898.04-23701.160.680.49-0.077-2027.29
9-20513695375838.955317.0920446.18-6928.76-20632.610.770.49-0.078-2159.32
10-23765595375838.955777.4324471.02-7783.11-26848.590.740.47-0.084-2501.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. 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 51.58%, 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 0.019, which is low, don't trade solely on the basis of this study.

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-1118045.0795494651.582354.889312.07-2116.18-6808.261.111.190.019189.95
atrnil26.23-115809107307728.0410084.3518546.96-5432.98-10035.091.860.72-0.044-1082.32
atrnil38.71-13258710020802014996.4827820.45-5406.45-10035.092.770.69-0.046-1325.87
atrtrail23.92-108329112298325.897554.2718546.96-3944.61-8873.381.920.67-0.049-967.22
atrtrail34.44-1588961082781256045.1427820.45-3976.72-8873.381.520.51-0.076-1471.26
atrtrail-14.83-211799108268224.074599.5918068.44-4041.32-9273.481.140.36-0.12-1961.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 51.58%, 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 0.019, 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.
COLPAL Performance, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Mar 2019 (-1.86%), 19 Jun 2019 (0.53%), 15 Jul 2019 (-0.67%), 21 Aug 2019 (0.77%), 07 Oct 2019 (-2.28%)
2018729 Jan 2018 (0.89%), 27 Apr 2018 (-1.89%), 05 Jun 2018 (0.36%), 05 Sep 2018 (0.14%), 12 Nov 2018 (-1.39%), 10 Dec 2018 (-3.4%), 27 Dec 2018 (-1.52%)
2017927 Jan 2017 (-0.77%), 02 Mar 2017 (-2.03%), 13 Apr 2017 (1.25%), 02 May 2017 (-0.37%), 29 Jun 2017 (-2.18%), 20 Sep 2017 (1.74%), 16 Oct 2017 (2.03%), 02 Nov 2017 (0.49%), 04 Dec 2017 (0.05%)
2016607 Apr 2016 (0.25%), 11 May 2016 (-0.12%), 15 Jul 2016 (-0.23%), 16 Sep 2016 (0.05%), 15 Nov 2016 (-1.28%), 12 Dec 2016 (-0.8%)
2015927 Jan 2015 (0.21%), 18 Mar 2015 (-0.8%), 20 Apr 2015 (1.55%), 21 May 2015 (0.66%), 13 Jul 2015 (0.08%), 31 Jul 2015 (0.36%), 08 Oct 2015 (-0.38%), 18 Nov 2015 (-1.05%), 23 Dec 2015 (0.15%)
2014809 Jan 2014 (-0.19%), 20 Feb 2014 (0.05%), 14 Mar 2014 (-0.83%), 05 May 2014 (0.84%), 30 Jun 2014 (-1.45%), 25 Jul 2014 (2.86%), 14 Oct 2014 (-0.12%), 25 Nov 2014 (1.68%)
2013607 Jan 2013 (-0.67%), 25 Mar 2013 (2.95%), 17 May 2013 (3.99%), 29 Jul 2013 (4.66%), 15 Oct 2013 (-1.75%), 16 Dec 2013 (-0.1%)
20121105 Mar 2012 (-0.57%), 23 Mar 2012 (-1.0%), 10 Apr 2012 (0.77%), 27 Apr 2012 (-0.65%), 11 Jul 2012 (1.36%), 27 Jul 2012 (-0.31%), 21 Aug 2012 (-1.02%), 18 Sep 2012 (0.28%), 25 Oct 2012 (-0.09%), 23 Nov 2012 (-2.62%), 11 Dec 2012 (0.76%)
20111110 Jan 2011 (-0.27%), 31 Jan 2011 (2.39%), 25 Feb 2011 (-1.77%), 21 Mar 2011 (1.06%), 04 May 2011 (0.23%), 18 May 2011 (0.57%), 18 Jul 2011 (1.06%), 20 Sep 2011 (-1.17%), 24 Oct 2011 (-0.73%), 15 Nov 2011 (1.14%), 28 Dec 2011 (2.97%)
20101027 Jan 2010 (1.98%), 09 Feb 2010 (-0.75%), 22 Mar 2010 (0.23%), 07 May 2010 (0.03%), 29 Jun 2010 (0.78%), 15 Sep 2010 (-0.36%), 07 Oct 2010 (-1.06%), 12 Nov 2010 (-1.57%), 07 Dec 2010 (1.59%), 27 Dec 2010 (0.25%)
2009606 Jan 2009 (3.14%), 04 Mar 2009 (1.53%), 06 Apr 2009 (0.02%), 11 May 2009 (-0.19%), 16 Jul 2009 (-2.39%), 30 Oct 2009 (0.01%)
2008728 Mar 2008 (1.26%), 23 Apr 2008 (2.34%), 26 May 2008 (-0.02%), 21 Aug 2008 (-0.02%), 07 Oct 2008 (3.35%), 31 Oct 2008 (-2.66%), 12 Dec 2008 (-1.29%)



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