Study: Sell FEDERALBNK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell FEDERALBNK 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 FEDERALBNK 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
1-71870.37175819446.293820.0614111.46-4056.33-28571.430.940.81-0.015-410.69
2-232544175819446.294764.4623715.88-6579.41-42090.590.720.62-0.033-1328.82
3-154537175888750.296341.8927472.85-8191.07-75121.950.770.78-0.017-883.07
4-230442175839247.438060.9938482.14-9777.22-1190240.820.74-0.019-1316.81
5-199699175868949.149202.4338392.86-11136.04-1009060.830.8-0.016-1141.14
6-79348.75175878849.7110794.7144915.87-11573.73-1094080.930.92-0.0057-453.42
7-19155.7417591845211572.9254425.75-12765.38-1148430.910.98-0.0012-109.46
821963.13175898650.8612843.4249486.35-13036.06-95052.260.991.020.0014125.5
9105916175898650.8613846.1556002.35-13097.57-1138681.061.090.0065605.24
1071577.09175938253.1413964.2963281.48-14964.65-1280840.931.060.0041409.01
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
atrnil25.6654428.832067413235.9216256.0734697.52-8700.91-45843.251.871.050.0043264.22
atrtrail24.3239684.552118412739.8110836.0430453.07-6854.67-38273.491.581.050.0038188.08
atrtrail34.99-61919.432037612737.4410457.2142365.28-6745.41-38273.491.550.93-0.0058-305.02
atrnil38.52-1205161914614524.0824585.3152046.27-8630.62-45843.252.850.9-0.0086-630.97
atrtrail-15.42-1869072037612737.448812.6431614.54-6745.41-38273.491.310.78-0.02-920.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 35.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0043, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FEDERALBNK Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019601 Jan 2019 (-3.05%), 12 Apr 2019 (-2.91%), 10 May 2019 (-2.88%), 07 Jun 2019 (-2.8%), 08 Jul 2019 (-2.49%), 22 Aug 2019 (-3.8%)
20181117 Jan 2018 (-3.25%), 18 Jan 2018 (7.38%), 22 Feb 2018 (-3.57%), 23 Mar 2018 (-2.93%), 25 Apr 2018 (-2.64%), 10 May 2018 (8.08%), 28 Jun 2018 (-3.22%), 29 Jun 2018 (-3.19%), 13 Jul 2018 (-3.52%), 13 Aug 2018 (6.56%), 10 Dec 2018 (-3.5%)
2017915 Feb 2017 (-2.88%), 16 Feb 2017 (-2.89%), 06 Apr 2017 (-2.39%), 18 Apr 2017 (-2.38%), 18 May 2017 (-2.99%), 21 Jun 2017 (-2.89%), 27 Jul 2017 (5.81%), 26 Sep 2017 (-2.46%), 30 Nov 2017 (4.77%)
2016807 Jan 2016 (5.56%), 28 Mar 2016 (7.93%), 03 Jun 2016 (-3.29%), 21 Jun 2016 (7.49%), 18 Jul 2016 (-3.59%), 02 Aug 2016 (-3.61%), 20 Sep 2016 (-2.96%), 04 Nov 2016 (7.43%)
2015907 Jan 2015 (-2.78%), 14 Jan 2015 (-2.58%), 11 Mar 2015 (6.67%), 22 Apr 2015 (-2.92%), 03 Jun 2015 (-3.13%), 16 Jul 2015 (6.24%), 24 Aug 2015 (-3.78%), 21 Oct 2015 (8.24%), 10 Dec 2015 (-2.78%)
20141107 Jan 2014 (-3.96%), 24 Jan 2014 (7.33%), 27 Jan 2014 (8.09%), 07 Apr 2014 (-3.3%), 15 Apr 2014 (7.0%), 02 Jun 2014 (-4.35%), 12 Jun 2014 (8.99%), 02 Jul 2014 (8.16%), 17 Sep 2014 (-3.49%), 25 Sep 2014 (-3.72%), 13 Nov 2014 (-3.11%)
2013907 Jan 2013 (5.34%), 14 Feb 2013 (4.83%), 15 Feb 2013 (5.3%), 05 Apr 2013 (5.53%), 24 May 2013 (-3.25%), 17 Jul 2013 (-3.91%), 07 Aug 2013 (9.72%), 19 Aug 2013 (-6.27%), 07 Nov 2013 (-5.61%)
2012622 Mar 2012 (-3.84%), 13 Apr 2012 (6.96%), 17 May 2012 (-2.83%), 10 Jul 2012 (4.46%), 28 Aug 2012 (-2.78%), 30 Oct 2012 (6.31%)
20111206 Jan 2011 (7.35%), 28 Jan 2011 (-4.06%), 31 Jan 2011 (8.34%), 24 Feb 2011 (-4.35%), 23 May 2011 (-3.08%), 17 Jun 2011 (4.5%), 20 Jun 2011 (-2.51%), 13 Jul 2011 (-2.55%), 21 Jul 2011 (4.85%), 04 Oct 2011 (-4.28%), 14 Nov 2011 (6.73%), 19 Dec 2011 (9.04%)
2010928 Jan 2010 (-3.89%), 29 Jan 2010 (-4.08%), 19 Mar 2010 (-3.12%), 04 May 2010 (-3.15%), 07 May 2010 (-3.75%), 11 Jun 2010 (7.71%), 23 Jul 2010 (5.37%), 31 Aug 2010 (-3.28%), 08 Nov 2010 (5.9%)
2009812 Jan 2009 (-6.29%), 17 Feb 2009 (-5.01%), 06 May 2009 (-6.83%), 05 Jun 2009 (-5.31%), 05 Aug 2009 (7.17%), 05 Oct 2009 (-3.99%), 28 Oct 2009 (8.97%), 15 Dec 2009 (-3.74%)
2008921 Jan 2008 (10.78%), 22 Jan 2008 (-6.49%), 07 Mar 2008 (8.81%), 13 May 2008 (-5.09%), 24 Jun 2008 (-6.08%), 08 Jul 2008 (-6.38%), 15 Jul 2008 (-6.0%), 19 Aug 2008 (-4.41%), 12 Sep 2008 (7.55%)
20071131 Jan 2007 (-4.49%), 08 Feb 2007 (8.95%), 29 May 2007 (-4.39%), 28 Jun 2007 (-3.56%), 11 Jul 2007 (-3.35%), 23 Jul 2007 (-3.64%), 09 Aug 2007 (9.66%), 24 Sep 2007 (-3.63%), 08 Oct 2007 (-4.68%), 17 Oct 2007 (-5.07%), 19 Nov 2007 (15.23%)
20061225 Jan 2006 (-4.02%), 27 Jan 2006 (7.8%), 22 Mar 2006 (-3.36%), 17 Apr 2006 (-4.23%), 12 May 2006 (-3.55%), 29 Aug 2006 (-2.68%), 11 Sep 2006 (-4.67%), 25 Sep 2006 (-4.41%), 17 Oct 2006 (-4.12%), 01 Nov 2006 (-3.73%), 11 Dec 2006 (8.82%), 12 Dec 2006 (-5.16%)
20051001 Mar 2005 (-5.09%), 24 Mar 2005 (-4.89%), 28 Apr 2005 (-5.31%), 02 Jun 2005 (-4.27%), 29 Jul 2005 (-4.19%), 10 Aug 2005 (-4.43%), 16 Aug 2005 (9.04%), 22 Sep 2005 (-4.38%), 11 Oct 2005 (8.71%), 23 Dec 2005 (-3.95%)
2004907 Jan 2004 (-5.43%), 19 Feb 2004 (-5.9%), 08 Apr 2004 (-5.81%), 20 Apr 2004 (-4.98%), 21 Apr 2004 (9.88%), 17 Jun 2004 (15.47%), 05 Jul 2004 (12.81%), 29 Sep 2004 (7.42%), 29 Nov 2004 (-22.92%)
20031027 Jan 2003 (-5.05%), 25 Feb 2003 (-4.36%), 10 Mar 2003 (-4.89%), 01 Apr 2003 (-4.11%), 10 Jun 2003 (-6.68%), 23 Jul 2003 (-5.19%), 07 Aug 2003 (-4.36%), 23 Oct 2003 (-4.06%), 14 Nov 2003 (10.24%), 15 Nov 2003 (-5.93%)
2002728 Feb 2002 (-10.0%), 01 Mar 2002 (-9.28%), 20 Mar 2002 (17.35%), 11 Jul 2002 (9.56%), 24 Sep 2002 (-3.39%), 13 Nov 2002 (-3.14%), 30 Dec 2002 (7.1%)
2001312 Sep 2001 (7.93%), 21 Nov 2001 (-3.23%), 18 Dec 2001 (8.74%)
2000207 Jan 2000 (-6.94%), 11 Feb 2000 (14.12%)
1999819 Jan 1999 (-5.21%), 16 Mar 1999 (-7.14%), 21 Jun 1999 (8.74%), 20 Aug 1999 (-3.93%), 30 Aug 1999 (9.08%), 04 Nov 1999 (-7.11%), 14 Dec 1999 (-6.35%), 15 Dec 1999 (-6.02%)
1998712 Jan 1998 (-5.12%), 27 Apr 1998 (13.33%), 02 Jun 1998 (14.06%), 11 Aug 1998 (-3.54%), 29 Sep 1998 (-3.39%), 30 Sep 1998 (6.71%), 02 Nov 1998 (-6.17%)
1997822 Jan 1997 (-6.7%), 14 Mar 1997 (10.9%), 02 May 1997 (-5.0%), 20 May 1997 (9.95%), 17 Jul 1997 (-4.4%), 18 Aug 1997 (8.66%), 28 Oct 1997 (-4.59%), 29 Oct 1997 (9.32%)
1996612 Mar 1996 (-4.35%), 10 May 1996 (-3.3%), 24 Jun 1996 (7.25%), 20 Sep 1996 (5.49%), 23 Sep 1996 (6.26%), 26 Nov 1996 (10.26%)
1995612 Apr 1995 (3.65%), 26 Jun 1995 (4.46%), 31 Jul 1995 (-2.14%), 25 Oct 1995 (-2.64%), 16 Nov 1995 (5.24%), 17 Nov 1995 (6.04%)



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