Study: Sell FEDERALBNK 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 FEDERALBNK 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 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
1-36846.9270333747.143423.819268.15-4049.54-28571.430.850.75-0.02-526.38
2-87219.3870333747.144051.5314334.1-5970.81-42090.590.680.61-0.033-1245.99
3-88481.0270383254.295807.4324653.86-9661.36-75121.950.60.71-0.021-1264.01
4-14820570333747.147978.5619599.79-11121.56-1190240.720.64-0.025-2117.22
5-93391.7570363451.438866.1623560.49-12134.51-1009060.730.77-0.017-1334.17
6-51504.5970333747.1410903.644915.87-11116.85-1094080.980.87-0.0083-735.78
775572.1270412958.5711541.0854425.75-13710.76-1148430.841.190.0111079.6
811778.669373253.6213482.4846415.51-15221.04-95052.260.891.020.0017170.7
943611.3969363352.1715248.5945464.52-15313.26-11386811.090.0058632.05
1053217.3569383155.0714946.1543284.46-16604.39-1280840.91.10.0068771.27
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
atrnil25.824889.8679304937.9716958.4534697.52-9874.77-45843.251.721.050.0046315.06
atrnil38.4818845.6775205526.6727114.1852046.27-9517.05-45843.252.851.040.003251.28
atrtrail24.24-78804.1879295036.7110639.5630453.07-7747.03-38273.491.370.8-0.019-997.52
atrtrail34.73-11277778275134.6210310.142365.28-7669.6-38273.491.340.71-0.026-1445.86
atrtrail-14.97-18126578275134.627773.4931614.54-7669.6-38273.491.010.54-0.049-2323.91

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 37.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0046, 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
2019501 Jan 2019 (-3.05%), 12 Apr 2019 (-2.91%), 07 Jun 2019 (-2.8%), 08 Jul 2019 (-2.49%), 22 Aug 2019 (-3.8%)
2018517 Jan 2018 (-3.25%), 18 Jan 2018 (7.38%), 22 Feb 2018 (-3.57%), 23 Mar 2018 (-2.93%), 10 May 2018 (8.08%)
2017415 Feb 2017 (-2.88%), 16 Feb 2017 (-2.89%), 18 May 2017 (-2.99%), 30 Nov 2017 (4.77%)
2016321 Jun 2016 (7.49%), 20 Sep 2016 (-2.96%), 04 Nov 2016 (7.43%)
2015222 Apr 2015 (-2.92%), 24 Aug 2015 (-3.78%)
2014607 Jan 2014 (-3.96%), 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%)
2013507 Jan 2013 (5.34%), 17 Jul 2013 (-3.91%), 07 Aug 2013 (9.72%), 19 Aug 2013 (-6.27%), 07 Nov 2013 (-5.61%)
2012130 Oct 2012 (6.31%)
2011706 Jan 2011 (7.35%), 28 Jan 2011 (-4.06%), 31 Jan 2011 (8.34%), 24 Feb 2011 (-4.35%), 17 Jun 2011 (4.5%), 20 Jun 2011 (-2.51%), 14 Nov 2011 (6.73%)
2010311 Jun 2010 (7.71%), 23 Jul 2010 (5.37%), 08 Nov 2010 (5.9%)
2009412 Jan 2009 (-6.29%), 18 Feb 2009 (-5.11%), 06 May 2009 (-6.83%), 05 Jun 2009 (-5.31%)
2008407 Mar 2008 (8.81%), 13 May 2008 (-5.09%), 24 Jun 2008 (-6.08%), 19 Aug 2008 (-4.41%)
2007119 Nov 2007 (15.23%)
2006211 Sep 2006 (-4.67%), 25 Sep 2006 (-4.41%)
2005101 Mar 2005 (-5.09%)
2004707 Jan 2004 (-5.43%), 08 Apr 2004 (-5.81%), 20 Apr 2004 (-4.98%), 21 Apr 2004 (9.88%), 04 Aug 2004 (8.07%), 29 Sep 2004 (7.42%), 29 Nov 2004 (-22.92%)
2003427 Jan 2003 (-5.05%), 10 Jun 2003 (-6.68%), 23 Jul 2003 (-5.19%), 07 Aug 2003 (-4.36%)
2002428 Feb 2002 (-10.0%), 01 Mar 2002 (-9.28%), 20 Mar 2002 (17.35%), 30 Dec 2002 (7.1%)
2001221 Nov 2001 (-3.23%), 18 Dec 2001 (8.74%)
2000111 Feb 2000 (14.12%)
1999219 Jan 1999 (-5.21%), 30 Aug 1999 (9.08%)
1998312 Jan 1998 (-5.12%), 27 Apr 1998 (13.33%), 02 Nov 1998 (-6.17%)
1997118 Aug 1997 (8.66%)
1996212 Mar 1996 (-4.35%), 10 May 1996 (-3.3%)



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