Study: Sell CONCOR 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 CONCOR 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 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
1-30782.24743737502529.877359.36-3361.82-15830.760.750.75-0.024-415.98
2-60043.8474334144.593963.1418022.34-4654.33-27050.150.850.69-0.027-811.4
3-89441.2274344045.954865.327502.35-6371.54-32850.010.760.65-0.032-1208.67
4-10521774334144.596066.126939.95-7448.74-37603.990.810.66-0.032-1421.86
5-21187574284637.846507.4927844.95-8567.07-55811.740.760.46-0.058-2863.18
6-20195074294539.197604.926662.64-9388.73-53910.150.810.52-0.052-2729.06
7-19772774334144.597501.3524138.94-10860.29-52579.030.690.56-0.047-2671.99
8-23897174314341.897791.1323995.7-11174.32-46731.640.70.5-0.059-3229.34
9-23407174324243.247821.2227295.44-11532.14-37223.670.680.52-0.058-3163.12
10-23791074304440.548744.5122275.96-11369.2-34323.750.770.52-0.058-3214.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.75. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, 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-11-30782.24743737502529.877359.36-3361.82-15830.760.750.75-0.024-415.98
atrnil313.01-18964181166519.7522561.9643986.3-8471.26-27506.272.660.66-0.04-2341.24
atrtrail24.99-13003085256029.419308.0429324.2-6045.51-16009.741.540.64-0.042-1529.76
atrnil29.67-21354282216125.6114695.3229324.2-8559.73-27506.271.720.59-0.055-2604.17
atrtrail35.36-16068984246028.578341.1522986.07-6014.6-16009.741.390.55-0.055-1912.96
atrtrail-15.49-18152783245928.927211.7620829.27-6010.32-16009.741.20.49-0.069-2187.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, 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:0.753

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Apr 2019 (0.6%), 18 Jun 2019 (-0.69%), 08 Jul 2019 (0.9%), 09 Oct 2019 (0.79%)
2018229 Jan 2018 (1.46%), 27 Nov 2018 (0.44%)
2017401 Feb 2017 (-0.54%), 16 Feb 2017 (1.0%), 02 May 2017 (2.16%), 15 Sep 2017 (-0.91%)
2015520 Mar 2015 (2.79%), 20 Apr 2015 (-1.7%), 22 May 2015 (0.31%), 23 Jul 2015 (1.6%), 28 Sep 2015 (-4.94%)
2014721 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%)
2013616 Apr 2013 (0.19%), 09 May 2013 (-0.82%), 23 May 2013 (2.02%), 10 Jun 2013 (2.29%), 03 Oct 2013 (0.13%), 08 Nov 2013 (1.62%)
2012413 Feb 2012 (0.87%), 29 Feb 2012 (2.68%), 12 Jul 2012 (0.68%), 26 Oct 2012 (0.37%)
2011410 Jan 2011 (-0.0%), 24 Jan 2011 (-0.44%), 23 Mar 2011 (-4.01%), 20 Apr 2011 (0.34%)
2010412 Jan 2010 (-0.8%), 19 Apr 2010 (-4.08%), 18 Oct 2010 (0.55%), 20 Dec 2010 (-0.72%)
2009428 Apr 2009 (0.18%), 28 Aug 2009 (-1.0%), 25 Nov 2009 (0.4%), 18 Dec 2009 (-1.36%)
2008425 Apr 2008 (0.65%), 22 Aug 2008 (-0.53%), 09 Sep 2008 (-0.02%), 20 Nov 2008 (-2.73%)
2007307 Jun 2007 (1.04%), 26 Sep 2007 (3.68%), 13 Nov 2007 (-0.73%)
2006223 Feb 2006 (-0.87%), 16 May 2006 (-0.71%)
2005507 Jan 2005 (-0.62%), 25 May 2005 (-1.93%), 24 Aug 2005 (-2.34%), 20 Sep 2005 (2.21%), 21 Dec 2005 (1.33%)
2004320 Aug 2004 (-0.73%), 20 Sep 2004 (-1.81%), 05 Oct 2004 (0.5%)
2003309 Jun 2003 (-0.68%), 30 Jun 2003 (-4.38%), 11 Aug 2003 (1.07%)
2002519 Feb 2002 (-3.24%), 16 Apr 2002 (3.01%), 06 May 2002 (-0.13%), 21 Jun 2002 (0.38%), 19 Dec 2002 (1.82%)
2001202 Jul 2001 (1.96%), 12 Dec 2001 (2.15%)
2000111 Jan 2000 (-7.92%)
1999202 Jun 1999 (-1.02%), 01 Sep 1999 (1.12%)



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