Study: Sell ENGINERSIN 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 ENGINERSIN 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 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
1-44042.4371264536.624590.2413670.41-3630.86-13772.971.260.73-0.026-620.32
2-10643871333846.486019.8426723.42-8028.76-54877.60.750.65-0.032-1499.13
3-28817.7571343747.8910108.5125356-10067.75-61775.6710.92-0.0046-405.88
4-57066.8271304142.2513016.87119385-10916.41-55637.561.190.87-0.0087-803.76
5286.1571323945.0713268.41106041-10879.56-59934.231.2214.6e-054.03
6-67157.6471314043.6614977.3898518.83-13286.41-62623.311.130.87-0.0099-945.88
7-19233.971363550.713875.5294163.53-14821.5-61074.170.940.96-0.0028-270.9
858516.5271373452.1115321.8396800.85-14952.68-60971.871.021.120.0081824.18
913229871403156.3415869.1198973.86-16208.61-59685.790.981.260.0181863.35
1010742971413057.7515307.39101045-17339.12-54099.820.881.210.0141513.09
Although, strategy looks good but profit factor on day 2 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
atrtrail35.11-72453.1890286231.1114203.4938144.63-7583.08-18144.261.870.85-0.015-805.04
atrtrail24.55-83838.5591286330.7713974.6136019.41-7541.71-18144.261.850.82-0.018-921.3
atrtrail-15.49-10762789276230.3413349.1938399.62-7549.27-18144.261.770.77-0.023-1209.29
atrnil26.11-18962591256627.4718614.8445614.71-9924.19-20889.021.880.71-0.034-2083.79
atrnil37.68-22162190197121.1125993.8368422.07-10077.52-20889.022.580.69-0.034-2462.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 31.11%, which is not acceptable. Avoid this strategy. Average return per trade is -0.4%, 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:0.846

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019309 Jan 2019 (-0.34%), 10 Apr 2019 (-2.93%), 18 Apr 2019 (8.84%)
2018702 Jan 2018 (-3.0%), 03 Jan 2018 (8.87%), 22 Feb 2018 (-3.87%), 08 Mar 2018 (-3.61%), 19 Mar 2018 (0.95%), 28 Jun 2018 (-3.63%), 19 Jul 2018 (-4.2%)
2017205 May 2017 (-2.58%), 15 Nov 2017 (-4.02%)
2016507 Jan 2016 (-4.22%), 08 Jan 2016 (12.33%), 24 Jun 2016 (-3.03%), 12 Sep 2016 (-3.5%), 14 Sep 2016 (-2.11%)
2015109 Dec 2015 (-2.38%)
2014329 May 2014 (-6.14%), 30 May 2014 (-5.99%), 16 Jun 2014 (-1.18%)
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%)
2012423 Jan 2012 (-3.66%), 16 Feb 2012 (-4.19%), 17 Feb 2012 (1.19%), 18 Oct 2012 (4.8%)
2011328 Mar 2011 (-3.6%), 13 Apr 2011 (3.06%), 13 Dec 2011 (-2.56%)
2010502 Feb 2010 (13.71%), 30 Mar 2010 (-4.46%), 03 May 2010 (1.65%), 14 May 2010 (19.07%), 29 Sep 2010 (-1.51%)
2009606 Jan 2009 (6.72%), 24 Feb 2009 (-7.04%), 25 Feb 2009 (12.3%), 27 Apr 2009 (-5.83%), 19 Jun 2009 (-4.87%), 25 Nov 2009 (-0.25%)
2008416 Jan 2008 (7.98%), 19 Aug 2008 (-5.44%), 20 Aug 2008 (-0.36%), 25 Nov 2008 (-9.07%)
2007306 Jul 2007 (-3.47%), 05 Oct 2007 (1.28%), 15 Nov 2007 (-7.3%)
2006731 Jan 2006 (3.84%), 12 May 2006 (0.19%), 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%)
2005616 Mar 2005 (3.79%), 25 May 2005 (-5.1%), 26 May 2005 (-1.6%), 17 Oct 2005 (-3.11%), 02 Dec 2005 (-2.73%), 22 Dec 2005 (-2.49%)
2004316 Jan 2004 (-4.05%), 21 Jan 2004 (-3.52%), 17 Dec 2004 (0.56%)
2003620 May 2003 (-1.64%), 19 Jun 2003 (-3.76%), 04 Jul 2003 (-4.96%), 09 Jul 2003 (-3.82%), 23 Oct 2003 (-6.07%), 15 Dec 2003 (-2.48%)
2002401 Mar 2002 (-0.24%), 15 Apr 2002 (-1.61%), 07 Jun 2002 (-6.92%), 18 Jun 2002 (-1.61%)
2001304 Sep 2001 (11.99%), 31 Oct 2001 (15.33%), 01 Nov 2001 (-6.16%)
2000422 Feb 2000 (-8.76%), 07 Mar 2000 (10.85%), 03 May 2000 (12.08%), 29 Jun 2000 (4.62%)
1999430 Jul 1999 (-4.47%), 09 Aug 1999 (-0.17%), 29 Oct 1999 (-7.03%), 01 Nov 1999 (-7.7%)



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