Study: Sell DRREDDY 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 DRREDDY 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 DRREDDY 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
1-3681.689424747.193874.3115990.57-3540.48-18559.61.090.98-0.0016-41.37
2-29775.2989355439.336283.1619661.94-4623.81-19489.721.360.88-0.0094-334.55
3-24055288335537.59067.5834426.43-9814.23-1942450.920.55-0.024-2733.55
4-35197788355339.778815.0937821.41-12462.36-1938310.710.47-0.034-3999.74
5-39485688355339.779581.7850490.01-13777.71-1970880.70.46-0.036-4487
6-40333488335537.510768.247498.72-13794.26-1987720.780.47-0.036-4583.34
7-53197888345438.6410196.944828.41-16271.72-2108620.630.39-0.045-6045.21
8-42543888365240.9111204.2347847.02-15938.28-2084050.70.49-0.036-4834.52
9-40952088355339.7712148.2355393.55-15749.21-2028290.770.51-0.035-4653.64
10-39060988345438.6413839.2866955.78-15947.12-2056720.870.55-0.032-4438.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 47.19%, which is not acceptable. Avoid this strategy. Average return per trade is -0.021%, 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-11-3681.689424747.193874.3115990.57-3540.48-18559.61.090.98-0.0016-41.37
atrnil36.95-21864.2510426782521406.8237632.04-7415.92-15009.992.890.96-0.0032-210.23
atrtrail34.43-40423.97105357033.3310922.8631994.4-6038.92-13732.681.810.9-0.0079-384.99
atrtrail24-41649.87106357133.0210967.6430019.99-5993.2-13732.681.830.9-0.0086-392.92
atrnil25.6-129315105297627.6214729.5530019.99-7322-13951.192.010.77-0.024-1231.57
atrtrail-14.98-99283.07104356933.658938.6538432.55-5972.98-13732.681.50.76-0.022-954.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 47.19%, which is not acceptable. Avoid this strategy. Average return per trade is -0.021%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DRREDDY Performance, X=1, Profit Factor:0.978

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 Nov 2019 (1.05%)
2018223 Mar 2018 (-1.53%), 29 Jun 2018 (-0.24%)
2016318 Jan 2016 (-1.41%), 22 Jul 2016 (3.26%), 07 Nov 2016 (-0.4%)
2015228 Jul 2015 (0.98%), 17 Aug 2015 (-0.24%)
2014627 Jan 2014 (-0.71%), 16 Jul 2014 (-0.01%), 06 Aug 2014 (-0.16%), 11 Sep 2014 (0.6%), 01 Oct 2014 (3.16%), 03 Dec 2014 (0.75%)
2013522 Jan 2013 (-0.52%), 22 Mar 2013 (-0.79%), 21 May 2013 (-1.73%), 14 Jun 2013 (1.35%), 25 Jul 2013 (1.01%)
2012427 Jan 2012 (-0.64%), 30 Apr 2012 (0.18%), 18 Sep 2012 (0.69%), 17 Dec 2012 (0.29%)
2011124 Jan 2011 (3.5%)
2010316 Jun 2010 (-0.66%), 29 Sep 2010 (1.21%), 16 Nov 2010 (-0.92%)
2009729 Apr 2009 (-4.17%), 01 Jun 2009 (3.16%), 22 Jun 2009 (-1.34%), 06 Jul 2009 (-2.37%), 16 Oct 2009 (-0.43%), 19 Nov 2009 (-1.7%), 30 Dec 2009 (-0.79%)
2008503 Jan 2008 (-2.02%), 17 Mar 2008 (-1.96%), 11 Apr 2008 (-4.11%), 04 Jun 2008 (-4.82%), 06 Oct 2008 (5.41%)
2007208 Jun 2007 (0.86%), 26 Oct 2007 (0.03%)
2006715 Feb 2006 (-9.28%), 01 Mar 2006 (0.69%), 29 Mar 2006 (0.43%), 16 May 2006 (-2.07%), 23 Aug 2006 (-0.47%), 15 Sep 2006 (-1.41%), 16 Nov 2006 (4.94%)
2005109 Aug 2005 (-1.1%)
2004401 Mar 2004 (-0.72%), 14 May 2004 (7.21%), 01 Jun 2004 (-0.2%), 29 Dec 2004 (0.78%)
2003506 Jan 2003 (-2.57%), 20 Jan 2003 (0.42%), 19 Mar 2003 (-1.76%), 11 Apr 2003 (-5.36%), 11 Jul 2003 (-5.92%)
2002512 Mar 2002 (-3.17%), 08 Apr 2002 (-0.78%), 16 Aug 2002 (-0.76%), 16 Sep 2002 (0.93%), 01 Oct 2002 (1.98%)
2001515 Jun 2001 (1.81%), 03 Jul 2001 (-3.69%), 14 Aug 2001 (5.51%), 31 Aug 2001 (-0.28%), 06 Nov 2001 (-0.11%)
2000112 Jan 2000 (0.9%)
1999818 Jan 1999 (3.87%), 23 Feb 1999 (-2.76%), 01 Apr 1999 (8.0%), 18 May 1999 (-2.63%), 30 Jul 1999 (3.32%), 02 Sep 1999 (1.98%), 18 Oct 1999 (1.99%), 27 Dec 1999 (0.93%)
1998216 Apr 1998 (0.36%), 13 Aug 1998 (1.53%)
1997420 Mar 1997 (0.31%), 01 Jul 1997 (-2.83%), 30 Jul 1997 (-1.13%), 30 Oct 1997 (0.3%)
1996401 Mar 1996 (-0.19%), 01 May 1996 (-0.36%), 19 Jun 1996 (1.46%), 14 Aug 1996 (3.44%)
1995219 Apr 1995 (0.15%), 11 Aug 1995 (0.61%)



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