Study: Sell FORTIS when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell FORTIS 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 FORTIS 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
124308.8491504154.953323.1313171.42-3459.7-15908.390.961.170.018267.13
29724.3591484352.754551.8913825.32-4855.03-20571.060.941.050.005106.86
33759.3991514056.045163.226815.64-6489.1-21739.130.81.010.001641.31
4-36446.3891494253.856099.5127932.96-7983.86-25113.560.760.89-0.013-400.51
5-2597.5391454649.458190.3131005.59-8068.73-31602.861.020.99-0.00082-28.54
6-39320.790474352.228445.9831564.25-10146.09-34328.360.830.91-0.011-436.9
7-85308.1190434747.789149.529515.83-10185.88-34295.710.90.82-0.023-947.87
83512.7690474352.229890.8840822.05-10729.27-33508.310.921.010.0008939.03
9-54462.4890444648.8910730.2960158.8-11447.72-39545.060.940.9-0.012-605.14
10-1085649045455010803.8447641.29-13216.37-51968.50.820.82-0.023-1206.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. 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 54.95%, 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 0.018, 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. Win loss ratio is less than 1 which is bad, avoid 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-1124308.8491504154.953323.1313171.42-3459.7-15908.390.961.170.018267.13
atrtrail35.7548329.49101366535.6411685.8755891.48-5728.64-18149.392.041.130.013478.51
atrnil311.6967402.6393266727.9624072.6755891.48-8335.62-19695.082.891.120.014724.76
atrtrail25.22571.66101366535.6410359.2637260.99-5728.64-18149.391.8110.000185.66
atrtrail-16.38-3467.32101366535.6410247.0747493.87-5728.64-18149.391.790.99-0.00098-34.33
atrnil28.6-42331.593306332.2616106.3337260.99-8341.61-19695.081.930.92-0.011-455.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 54.95%, 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 0.018, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, X=1, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018211 Jan 2018 (2.85%), 09 Mar 2018 (-2.68%)
2017917 Jan 2017 (-0.16%), 28 Feb 2017 (-1.12%), 08 May 2017 (-1.65%), 23 Jun 2017 (4.2%), 17 Jul 2017 (-1.35%), 14 Aug 2017 (-0.7%), 26 Sep 2017 (1.66%), 19 Oct 2017 (0.79%), 12 Dec 2017 (-1.95%)
20161006 Jan 2016 (4.47%), 31 Mar 2016 (-2.96%), 18 Apr 2016 (-0.75%), 30 May 2016 (-1.38%), 23 Jun 2016 (2.29%), 13 Jul 2016 (-1.82%), 19 Aug 2016 (3.27%), 02 Nov 2016 (1.15%), 08 Dec 2016 (-2.1%), 26 Dec 2016 (-3.95%)
2015814 Jan 2015 (-1.62%), 05 Mar 2015 (2.88%), 17 Apr 2015 (2.01%), 28 May 2015 (-7.95%), 09 Jul 2015 (-0.81%), 24 Jul 2015 (0.62%), 10 Aug 2015 (3.39%), 12 Oct 2015 (0.58%)
2014927 Jan 2014 (-0.26%), 14 Feb 2014 (2.11%), 15 Apr 2014 (-2.94%), 02 Jun 2014 (-1.58%), 20 Jun 2014 (-1.41%), 30 Jul 2014 (0.97%), 09 Sep 2014 (-6.05%), 23 Sep 2014 (1.39%), 13 Nov 2014 (1.55%)
2013820 Mar 2013 (1.96%), 12 Apr 2013 (-0.52%), 25 Jun 2013 (1.21%), 29 Jul 2013 (-0.15%), 27 Aug 2013 (-2.03%), 26 Sep 2013 (0.26%), 12 Nov 2013 (-2.14%), 05 Dec 2013 (-0.72%)
2012623 Feb 2012 (0.56%), 04 May 2012 (-1.42%), 13 Jul 2012 (-0.35%), 24 Aug 2012 (-0.32%), 17 Oct 2012 (1.01%), 31 Dec 2012 (0.09%)
2011824 Feb 2011 (-1.75%), 16 Mar 2011 (0.99%), 21 Apr 2011 (0.28%), 14 Jun 2011 (0.77%), 26 Jul 2011 (-3.14%), 19 Sep 2011 (2.39%), 16 Nov 2011 (1.31%), 12 Dec 2011 (1.44%)
20101119 Jan 2010 (0.57%), 25 Feb 2010 (-1.43%), 19 Mar 2010 (0.45%), 14 May 2010 (0.38%), 19 Jul 2010 (0.75%), 05 Aug 2010 (-0.62%), 26 Aug 2010 (1.51%), 19 Oct 2010 (0.18%), 12 Nov 2010 (1.05%), 10 Dec 2010 (-1.13%), 28 Dec 2010 (-0.21%)
2009818 Feb 2009 (0.08%), 05 Mar 2009 (-0.23%), 22 Apr 2009 (-0.37%), 12 Jun 2009 (2.46%), 13 Aug 2009 (1.42%), 03 Sep 2009 (0.18%), 23 Oct 2009 (1.2%), 16 Dec 2009 (-0.83%)
20081009 Jan 2008 (6.59%), 11 Feb 2008 (2.94%), 13 Mar 2008 (1.5%), 08 May 2008 (3.79%), 23 Jun 2008 (2.79%), 15 Jul 2008 (1.45%), 20 Aug 2008 (0.74%), 12 Sep 2008 (-1.15%), 19 Nov 2008 (-0.85%), 31 Dec 2008 (-6.38%)
2007224 Jul 2007 (1.76%), 05 Oct 2007 (2.87%)



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