Study: Sell ENGINERSIN when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ENGINERSIN 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 ENGINERSIN 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
13057.57151668543.714243.0313670.41-3258.62-13772.971.31.010.0009120.25
2-46746.95151767550.335380.1926723.42-6075.22-54877.60.890.9-0.0081-309.58
3-51886.1151777450.997632.53125356-8643.12-61775.670.880.92-0.0052-343.62
4-38201.53151737848.349510.46119385-9390.58-55637.561.010.95-0.0036-252.99
52697.3151708146.3611093.15106041-9553.37-59934.231.1610.0002617.86
6-104668151708146.3611823.2898518.83-11509.85-62623.311.030.89-0.0091-693.17
7-26879.69151767550.3311882.1794163.53-12399-61074.170.960.97-0.0022-178.01
89782.99151807152.9812568.296800.85-14023.57-73288.510.91.010.0007464.79
981447.6151817053.6413459.698973.86-14411.14-66788.920.931.080.0059539.39
10140972151826954.314194.1101045-14825.28-54099.820.961.140.01933.59
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail35-42443.321856112432.9713462.9351683.73-6965.18-18144.261.930.95-0.0043-229.42
atrtrail24.41-54655.681896412533.8612833.9234455.82-7008.21-18144.261.830.94-0.0059-289.18
atrnil25.82-1434841876012732.0916937.9445614.71-9131.97-20889.021.850.88-0.013-767.29
atrnil37.97-1989201804213823.3325335.0468422.07-9152.11-20889.022.770.84-0.016-1105.11
atrtrail-15.41-1705311846012432.6111517.5744433.35-6948.27-18144.261.660.8-0.019-926.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 32.97%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ENGINERSIN Performance, Profit Factor:0.951

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019509 Jan 2019 (-0.34%), 10 Apr 2019 (-2.93%), 18 Apr 2019 (8.84%), 10 Jun 2019 (0.02%), 05 Jul 2019 (1.53%)
20181202 Jan 2018 (-3.0%), 03 Jan 2018 (8.87%), 22 Feb 2018 (-3.87%), 08 Mar 2018 (-3.61%), 19 Mar 2018 (0.95%), 18 Apr 2018 (-0.23%), 15 May 2018 (7.96%), 28 Jun 2018 (-3.63%), 19 Jul 2018 (-4.2%), 11 Sep 2018 (-3.98%), 21 Sep 2018 (15.19%), 20 Nov 2018 (2.22%)
2017715 Feb 2017 (-3.58%), 27 Mar 2017 (-0.33%), 05 May 2017 (-2.58%), 28 Jun 2017 (-1.53%), 03 Aug 2017 (7.07%), 20 Sep 2017 (3.34%), 15 Nov 2017 (-4.02%)
20161407 Jan 2016 (-4.22%), 08 Jan 2016 (12.33%), 04 May 2016 (-3.48%), 16 May 2016 (-3.48%), 17 May 2016 (0.25%), 24 Jun 2016 (-3.03%), 03 Aug 2016 (-3.82%), 12 Sep 2016 (-3.5%), 14 Sep 2016 (-2.11%), 14 Oct 2016 (-3.83%), 02 Nov 2016 (2.69%), 26 Dec 2016 (-3.53%), 27 Dec 2016 (-3.6%), 30 Dec 2016 (-4.69%)
2015928 Jan 2015 (-0.13%), 24 Feb 2015 (0.25%), 23 Mar 2015 (2.52%), 22 Apr 2015 (5.02%), 08 Jun 2015 (-3.35%), 09 Jul 2015 (-3.5%), 10 Aug 2015 (9.99%), 27 Oct 2015 (10.92%), 09 Dec 2015 (-2.38%)
20141002 Jan 2014 (-0.68%), 27 Jan 2014 (-3.24%), 28 Jan 2014 (1.65%), 04 Mar 2014 (-2.94%), 29 May 2014 (-6.14%), 30 May 2014 (-5.99%), 16 Jun 2014 (-1.18%), 10 Oct 2014 (-3.21%), 11 Nov 2014 (-2.94%), 16 Dec 2014 (-0.47%)
2013716 Jan 2013 (7.21%), 18 Mar 2013 (11.18%), 17 May 2013 (5.47%), 05 Aug 2013 (3.93%), 19 Aug 2013 (-3.54%), 27 Sep 2013 (-3.64%), 08 Nov 2013 (5.05%)
2012823 Jan 2012 (-3.66%), 16 Feb 2012 (-4.19%), 17 Feb 2012 (1.19%), 02 May 2012 (10.43%), 01 Jun 2012 (-3.59%), 10 Aug 2012 (12.12%), 18 Oct 2012 (4.8%), 13 Dec 2012 (-1.35%)
20111110 Jan 2011 (8.95%), 28 Mar 2011 (-3.6%), 13 Apr 2011 (3.06%), 23 Jun 2011 (-3.1%), 18 Jul 2011 (-2.81%), 19 Jul 2011 (-1.89%), 02 Aug 2011 (1.7%), 30 Sep 2011 (-2.19%), 21 Oct 2011 (-1.38%), 16 Nov 2011 (1.3%), 13 Dec 2011 (-2.56%)
2010802 Feb 2010 (13.71%), 30 Mar 2010 (-4.46%), 03 May 2010 (1.65%), 14 May 2010 (19.07%), 26 Jul 2010 (-3.42%), 10 Aug 2010 (-5.05%), 29 Sep 2010 (-1.51%), 15 Nov 2010 (3.01%)
20091106 Jan 2009 (6.72%), 24 Feb 2009 (-7.04%), 25 Feb 2009 (12.3%), 27 Apr 2009 (-5.83%), 19 Jun 2009 (-4.87%), 03 Aug 2009 (-1.25%), 02 Sep 2009 (-2.13%), 11 Sep 2009 (-4.63%), 26 Oct 2009 (-4.11%), 27 Oct 2009 (-2.88%), 25 Nov 2009 (-0.25%)
2008716 Jan 2008 (7.98%), 05 Mar 2008 (-2.05%), 09 May 2008 (-3.35%), 24 Jun 2008 (-5.75%), 19 Aug 2008 (-5.44%), 20 Aug 2008 (-0.36%), 25 Nov 2008 (-9.07%)
2007731 Jan 2007 (-4.62%), 01 Feb 2007 (4.89%), 06 Jul 2007 (-3.47%), 24 Jul 2007 (2.05%), 05 Oct 2007 (1.28%), 15 Nov 2007 (-7.3%), 19 Dec 2007 (-4.62%)
20061031 Jan 2006 (3.84%), 16 Mar 2006 (-2.07%), 12 May 2006 (0.19%), 19 Jul 2006 (-2.25%), 05 Sep 2006 (-5.25%), 13 Sep 2006 (-3.29%), 25 Sep 2006 (-2.44%), 18 Oct 2006 (-3.99%), 19 Oct 2006 (-2.57%), 11 Dec 2006 (0.27%)
2005916 Mar 2005 (3.79%), 18 Apr 2005 (-3.46%), 25 May 2005 (-5.1%), 26 May 2005 (-1.6%), 24 Aug 2005 (-4.86%), 22 Sep 2005 (-4.87%), 17 Oct 2005 (-3.11%), 02 Dec 2005 (-2.73%), 22 Dec 2005 (-2.49%)
20041116 Jan 2004 (-4.05%), 21 Jan 2004 (-3.52%), 03 Feb 2004 (12.11%), 17 Mar 2004 (3.05%), 28 Apr 2004 (-3.67%), 09 Aug 2004 (-2.16%), 24 Aug 2004 (-3.08%), 01 Oct 2004 (-3.32%), 11 Nov 2004 (-2.6%), 12 Nov 2004 (-2.09%), 17 Dec 2004 (0.56%)
20031006 Jan 2003 (-5.42%), 14 Feb 2003 (2.99%), 20 May 2003 (-1.64%), 19 Jun 2003 (-3.76%), 04 Jul 2003 (-4.96%), 09 Jul 2003 (-3.82%), 15 Sep 2003 (13.97%), 23 Oct 2003 (-6.07%), 15 Dec 2003 (-2.48%), 24 Dec 2003 (-3.29%)
2002901 Mar 2002 (-0.24%), 15 Apr 2002 (-1.61%), 07 Jun 2002 (-6.92%), 18 Jun 2002 (-1.61%), 29 Aug 2002 (-3.86%), 30 Aug 2002 (-1.82%), 16 Sep 2002 (-6.35%), 01 Oct 2002 (-5.77%), 22 Oct 2002 (5.43%)
2001716 Feb 2001 (-1.0%), 07 Jun 2001 (-5.44%), 08 Jun 2001 (6.11%), 04 Sep 2001 (11.99%), 31 Oct 2001 (15.33%), 01 Nov 2001 (-6.16%), 27 Nov 2001 (-4.91%)
2000917 Jan 2000 (24.19%), 22 Feb 2000 (-8.76%), 07 Mar 2000 (10.85%), 02 May 2000 (25.84%), 29 Jun 2000 (4.62%), 02 Aug 2000 (3.63%), 07 Sep 2000 (-4.43%), 05 Dec 2000 (-3.37%), 15 Dec 2000 (11.19%)
1999430 Jul 1999 (-4.47%), 09 Aug 1999 (-0.17%), 29 Oct 1999 (-7.03%), 01 Nov 1999 (-7.7%)



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