Study: Sell COLPAL 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 COLPAL 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 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
11389.2640211952.52013.077973.04-2151.85-6808.260.941.030.003634.73
2-32411.340192147.53010.668768.32-4267.32-14146.030.710.64-0.049-810.28
3-11153.7340231757.53604.849651.22-5533.24-16717.240.650.88-0.014-278.84
4-25298.5440211952.54424.7910799.25-6222.06-20861.090.710.79-0.026-632.46
5-70396.44401624405172.7114903.4-6381.66-20582.680.810.54-0.067-1759.91
6-79236.49401426355980.8111752.53-6267.99-21341.940.950.51-0.073-1980.91
7-84242.7339172243.595651.5316352.35-8196.31-25529.040.690.53-0.067-2160.07
8-31428.9539211853.855631.6920101.2-8316.35-23701.160.680.79-0.026-805.87
9-7979.7639211853.856116.0820446.18-7578.75-20632.610.810.94-0.0067-204.61
10-18012.7439192048.727347.5724471.02-7880.83-18679.080.930.89-0.014-461.87

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.03. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.017%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0036, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-111389.2640211952.52013.077973.04-2151.85-6808.260.941.030.003634.73
atrnil37.86-26037.3849123724.4915089.2727820.45-5597.53-9715.292.70.87-0.017-531.38
atrnil25.58-26697.1252173532.6910126.9418546.96-5681.57-9715.291.780.87-0.02-513.41
atrtrail23.83-26850.0852153728.859117.6418546.96-4422.02-8873.382.060.84-0.023-516.35
atrtrail34.53-45625.3349143528.578124.5727820.45-4553.41-8873.381.780.71-0.038-931.13
atrtrail-15.22-85816.5349133626.536371.2618068.44-4684.52-9273.481.360.49-0.088-1751.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.017%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0036, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COLPAL Performance, X=1, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Aug 2019 (0.77%), 07 Oct 2019 (-2.28%)
2018529 Jan 2018 (0.89%), 27 Apr 2018 (-1.89%), 05 Jun 2018 (0.36%), 10 Dec 2018 (-3.4%), 27 Dec 2018 (-1.52%)
2017413 Apr 2017 (1.25%), 02 May 2017 (-0.37%), 29 Jun 2017 (-2.18%), 20 Sep 2017 (1.74%)
2016115 Jul 2016 (-0.23%)
2014609 Jan 2014 (-0.19%), 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%)
2013207 Jan 2013 (-0.67%), 17 May 2013 (3.99%)
2012505 Mar 2012 (-0.57%), 23 Mar 2012 (-1.0%), 10 Apr 2012 (0.77%), 18 Sep 2012 (0.28%), 11 Dec 2012 (0.76%)
2011321 Mar 2011 (1.06%), 04 May 2011 (0.23%), 18 May 2011 (0.57%)
2010422 Mar 2010 (0.23%), 07 May 2010 (0.03%), 15 Sep 2010 (-0.36%), 12 Nov 2010 (-1.57%)
2009504 Mar 2009 (1.53%), 06 Apr 2009 (0.02%), 11 May 2009 (-0.19%), 16 Jul 2009 (-2.39%), 30 Oct 2009 (0.01%)
2008328 Mar 2008 (1.26%), 26 May 2008 (-0.02%), 21 Aug 2008 (-0.02%)



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