Study: Sell CONCOR when there is Bearish Crossover in MACD

home > technical-strategy > concor > 25

In this study, we evaluate the performance of strategy "Sell CONCOR 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 CONCOR 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
1-24152.76150747649.332709.9415689.61-2956.42-15830.760.920.89-0.0094-161.02
2-99468.911506684444267.4618022.34-4537.16-27050.150.940.74-0.023-663.13
3-88016.28150737748.675185.1130524.07-6058.82-32850.010.860.81-0.016-586.78
4-1028551506684446414.1226939.95-6264.13-37603.991.020.8-0.017-685.7
5-2329231506387426471.9328703.6-7363.84-55811.740.880.64-0.035-1552.82
6-212253149648542.957913.4428111.47-8455.45-53910.150.940.7-0.028-1424.52
7-216374149698046.318074.834298.92-9669.19-52579.030.840.72-0.027-1452.17
8-255699149688145.648108.9324625.29-9964.28-46731.640.810.68-0.033-1716.1
9-291368149717847.658028.6828873.84-11043.64-37223.670.730.66-0.036-1955.49
10-223444149707946.989294.3728297.52-11063.93-34323.750.840.74-0.027-1499.63

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. 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 49.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.081%, we advise you not to use 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-11-24152.76150747649.332709.9415689.61-2956.42-15830.760.920.89-0.0094-161.02
atrtrail24.68-1929401735012328.910570.731729.29-5865.65-24164.251.80.73-0.028-1115.26
atrnil310.57-3675201522812418.4222579.0243986.3-8062.36-27506.272.80.63-0.044-2417.89
atrnil27.79-3656611634112225.1515109.7631729.29-8075.09-27506.271.870.63-0.047-2243.32
atrtrail35.22-2880561704712327.659005.6722986.07-5783.11-24164.251.560.6-0.047-1694.45
atrtrail-15.36-3398391694712227.817770.5526032.45-5779.14-24164.251.340.52-0.061-2010.88

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 49.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.081%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:0.893

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 Jan 2019 (-0.68%), 10 Apr 2019 (0.6%), 18 Jun 2019 (-0.69%), 08 Jul 2019 (0.9%), 09 Oct 2019 (0.79%)
2018829 Jan 2018 (1.46%), 05 Mar 2018 (3.45%), 27 Apr 2018 (0.47%), 06 Aug 2018 (0.16%), 29 Aug 2018 (1.25%), 12 Sep 2018 (-2.37%), 04 Oct 2018 (0.79%), 27 Nov 2018 (0.44%)
20171001 Feb 2017 (-0.54%), 16 Feb 2017 (1.0%), 22 Mar 2017 (-0.33%), 02 May 2017 (2.16%), 27 Jun 2017 (0.15%), 25 Jul 2017 (-0.19%), 10 Aug 2017 (-1.09%), 15 Sep 2017 (-0.91%), 18 Oct 2017 (0.22%), 07 Nov 2017 (-0.72%)
2016908 Jan 2016 (-0.53%), 15 Mar 2016 (-0.44%), 05 May 2016 (1.43%), 27 May 2016 (-4.08%), 18 Jul 2016 (-0.83%), 04 Aug 2016 (-0.34%), 12 Sep 2016 (1.55%), 17 Oct 2016 (-3.14%), 11 Nov 2016 (3.46%)
20151003 Feb 2015 (0.3%), 04 Mar 2015 (0.25%), 20 Mar 2015 (2.79%), 20 Apr 2015 (-1.7%), 22 May 2015 (0.31%), 23 Jul 2015 (1.6%), 20 Aug 2015 (2.17%), 28 Sep 2015 (-4.94%), 21 Oct 2015 (7.84%), 09 Dec 2015 (-0.79%)
20141017 Jan 2014 (-1.11%), 21 Mar 2014 (-0.89%), 02 May 2014 (-1.06%), 29 May 2014 (1.48%), 14 Jul 2014 (-1.74%), 28 Jul 2014 (-3.57%), 28 Aug 2014 (-0.38%), 10 Oct 2014 (-2.19%), 10 Nov 2014 (-0.6%), 28 Nov 2014 (2.39%)
20131024 Jan 2013 (-0.42%), 16 Apr 2013 (0.19%), 09 May 2013 (-0.82%), 23 May 2013 (2.02%), 10 Jun 2013 (2.29%), 18 Jul 2013 (-1.52%), 27 Aug 2013 (1.37%), 03 Oct 2013 (0.13%), 08 Nov 2013 (1.62%), 17 Dec 2013 (0.18%)
2012813 Feb 2012 (0.87%), 29 Feb 2012 (2.68%), 16 Apr 2012 (-2.94%), 23 May 2012 (0.75%), 13 Jun 2012 (-0.35%), 12 Jul 2012 (0.68%), 10 Aug 2012 (-1.64%), 26 Oct 2012 (0.37%)
2011710 Jan 2011 (-0.0%), 24 Jan 2011 (-0.44%), 23 Mar 2011 (-4.01%), 20 Apr 2011 (0.34%), 20 Jun 2011 (-0.68%), 25 Jul 2011 (0.89%), 02 Nov 2011 (-0.25%)
2010812 Jan 2010 (-0.8%), 19 Feb 2010 (0.52%), 19 Apr 2010 (-4.08%), 08 Jun 2010 (-0.77%), 20 Jul 2010 (0.3%), 18 Oct 2010 (0.55%), 19 Nov 2010 (-0.69%), 20 Dec 2010 (-0.72%)
2009821 Jan 2009 (2.46%), 28 Apr 2009 (0.18%), 02 Jun 2009 (-1.98%), 16 Jun 2009 (1.22%), 28 Aug 2009 (-1.0%), 12 Oct 2009 (1.91%), 25 Nov 2009 (0.4%), 18 Dec 2009 (-1.36%)
2008709 Jan 2008 (0.55%), 25 Feb 2008 (-0.45%), 25 Apr 2008 (0.65%), 21 May 2008 (0.71%), 22 Aug 2008 (-0.53%), 09 Sep 2008 (-0.02%), 20 Nov 2008 (-2.73%)
2007606 Mar 2007 (2.1%), 04 May 2007 (0.69%), 07 Jun 2007 (1.04%), 26 Sep 2007 (3.68%), 13 Nov 2007 (-0.73%), 19 Dec 2007 (-2.27%)
2006723 Feb 2006 (-0.87%), 09 Mar 2006 (0.63%), 16 May 2006 (-0.71%), 05 Jun 2006 (-2.02%), 30 Aug 2006 (0.07%), 18 Sep 2006 (-2.91%), 04 Oct 2006 (-1.19%)
2005707 Jan 2005 (-0.62%), 28 Feb 2005 (1.7%), 25 May 2005 (-1.93%), 24 Aug 2005 (-2.34%), 20 Sep 2005 (2.21%), 13 Oct 2005 (1.03%), 21 Dec 2005 (1.33%)
2004811 Feb 2004 (-0.42%), 18 Mar 2004 (0.03%), 27 Apr 2004 (-0.77%), 23 Jun 2004 (-2.2%), 20 Aug 2004 (-0.73%), 20 Sep 2004 (-1.81%), 05 Oct 2004 (0.5%), 10 Nov 2004 (1.39%)
2003525 Feb 2003 (0.26%), 09 Jun 2003 (-0.68%), 30 Jun 2003 (-4.38%), 11 Aug 2003 (1.07%), 16 Dec 2003 (-1.3%)
2002719 Feb 2002 (-3.24%), 16 Apr 2002 (3.01%), 06 May 2002 (-0.13%), 21 Jun 2002 (0.38%), 11 Sep 2002 (-0.82%), 28 Nov 2002 (-0.58%), 19 Dec 2002 (1.82%)
2001302 Jul 2001 (1.96%), 14 Sep 2001 (5.58%), 12 Dec 2001 (2.15%)
2000211 Jan 2000 (-7.92%), 10 Feb 2000 (3.23%)
1999402 Jun 1999 (-1.02%), 01 Sep 1999 (1.12%), 29 Oct 1999 (-2.99%), 19 Nov 1999 (-0.71%)
1998126 Nov 1998 (-3.02%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play