Study: Sell GODFRYPHLP when there is Bearish Crossover in MACD

home > technical-strategy > godfryphlp > 25

In this study, we evaluate the performance of strategy "Sell GODFRYPHLP 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 GODFRYPHLP 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
129730.771949310147.943408.8516493.59-2844.48-16468.881.21.10.0067153.25
2-84454.411949410048.454801.4128588.88-5357.87-26708.630.90.84-0.012-435.33
3-1163601949310147.945563.8638728.95-6275.23-28731.120.890.82-0.014-599.79
4-1176701949110346.917175.6436676.91-7482.07-37794.560.960.85-0.012-606.55
5-1346691949310147.948144.4642686.72-8832.71-72122.760.920.85-0.011-694.17
6-1374701949410048.459033.6943248.63-9866.37-1229060.920.86-0.0093-708.61
7-3147411949210247.429225.944772.5-11407.1-95556.270.810.73-0.021-1622.38
8-322622194959948.9710290.647387.33-13133.63-1096070.780.75-0.018-1663
9-292508194959948.9710931.2447586.48-13444.2-1093990.810.78-0.017-1507.77
10-1895371941009451.5511795.7553915.75-14565.02-1070810.810.86-0.01-976.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.1. 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 47.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.077%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, which is low, don't trade solely on the basis of this study.

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-1129730.771949310147.943408.8516493.59-2844.48-16468.881.21.10.0067153.25
atrnil39.88-1681451994515422.6124465.1754644.11-8240.77-18432.232.970.87-0.012-844.95
atrnil28.05-1734402046114329.916458.7336429.41-8233.73-18432.2320.85-0.015-850.2
atrtrail34.89-2240372277115631.2810278.9246683.48-6114.36-13976.811.680.77-0.021-986.95
atrtrail24.57-2416902277315432.169688.2636429.41-6161.9-13976.811.570.75-0.025-1064.71
atrtrail-15.26-2874132246915530.89478.0350729.8-6073.53-13976.811.560.69-0.028-1283.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 47.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.077%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, X=1, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019428 Jan 2019 (-2.79%), 27 Feb 2019 (-0.92%), 03 Apr 2019 (-0.17%), 30 May 2019 (1.36%)
2018818 Jan 2018 (-0.44%), 07 Mar 2018 (0.1%), 23 Mar 2018 (-1.22%), 27 Apr 2018 (-1.32%), 18 Jul 2018 (0.5%), 24 Aug 2018 (-1.62%), 19 Sep 2018 (8.25%), 07 Dec 2018 (2.45%)
20171123 Jan 2017 (-0.9%), 10 Feb 2017 (-0.63%), 28 Mar 2017 (3.63%), 22 May 2017 (4.47%), 07 Jun 2017 (0.48%), 27 Jun 2017 (-0.29%), 17 Jul 2017 (5.7%), 25 Sep 2017 (-8.23%), 23 Oct 2017 (-0.21%), 08 Nov 2017 (0.26%), 24 Nov 2017 (0.58%)
2016604 Feb 2016 (-2.22%), 04 Apr 2016 (-0.31%), 21 Apr 2016 (-0.76%), 24 Jun 2016 (-1.69%), 01 Aug 2016 (1.83%), 19 Sep 2016 (-0.16%)
20151207 Jan 2015 (-0.15%), 06 Feb 2015 (4.47%), 25 Mar 2015 (-0.29%), 29 Apr 2015 (1.67%), 14 May 2015 (-0.08%), 03 Jun 2015 (1.16%), 25 Jun 2015 (0.05%), 29 Jul 2015 (-1.51%), 13 Aug 2015 (-1.64%), 09 Oct 2015 (-3.92%), 04 Nov 2015 (-0.52%), 09 Dec 2015 (3.74%)
2014913 Jan 2014 (0.05%), 27 Jan 2014 (0.83%), 03 Mar 2014 (-1.82%), 30 Apr 2014 (-0.98%), 28 May 2014 (0.23%), 10 Jul 2014 (-3.62%), 25 Aug 2014 (1.56%), 15 Sep 2014 (2.12%), 26 Nov 2014 (-0.78%)
2013903 Jan 2013 (-0.09%), 21 Mar 2013 (1.43%), 27 May 2013 (-1.12%), 10 Jul 2013 (1.69%), 12 Aug 2013 (-0.35%), 28 Aug 2013 (-0.35%), 13 Sep 2013 (0.64%), 30 Oct 2013 (-0.54%), 16 Dec 2013 (4.38%)
2012608 Feb 2012 (-0.66%), 24 Apr 2012 (0.98%), 12 Jul 2012 (-0.5%), 03 Sep 2012 (1.35%), 18 Sep 2012 (-0.34%), 25 Oct 2012 (-0.36%)
2011813 Jan 2011 (-0.66%), 17 Mar 2011 (-0.68%), 15 Apr 2011 (-0.79%), 10 May 2011 (0.11%), 14 Jul 2011 (-1.44%), 19 Sep 2011 (0.23%), 31 Oct 2011 (1.84%), 15 Dec 2011 (1.43%)
2010913 Jan 2010 (-0.57%), 20 Apr 2010 (0.0%), 08 Jun 2010 (-0.89%), 30 Jun 2010 (-0.06%), 28 Jul 2010 (0.27%), 31 Aug 2010 (-2.37%), 12 Oct 2010 (-0.42%), 23 Nov 2010 (1.47%), 08 Dec 2010 (4.9%)
2009713 Jan 2009 (0.9%), 10 Feb 2009 (2.68%), 25 Feb 2009 (0.83%), 12 May 2009 (-0.39%), 18 Jun 2009 (-1.84%), 11 Aug 2009 (-0.23%), 10 Dec 2009 (-1.92%)
2008615 Jan 2008 (2.39%), 07 Mar 2008 (-0.9%), 05 May 2008 (0.01%), 13 Jun 2008 (-0.0%), 22 Aug 2008 (0.66%), 17 Nov 2008 (2.34%)
2007505 Feb 2007 (0.59%), 16 May 2007 (0.98%), 05 Oct 2007 (2.4%), 12 Nov 2007 (0.42%), 13 Dec 2007 (1.42%)
2006626 Apr 2006 (-2.4%), 17 Jul 2006 (1.32%), 01 Sep 2006 (0.09%), 27 Oct 2006 (1.9%), 16 Nov 2006 (-0.23%), 14 Dec 2006 (-0.65%)
2005918 Jan 2005 (-0.84%), 04 Feb 2005 (0.33%), 28 Mar 2005 (5.21%), 08 Jun 2005 (0.23%), 29 Jun 2005 (0.24%), 13 Jul 2005 (-0.33%), 22 Sep 2005 (-1.29%), 24 Nov 2005 (-3.05%), 14 Dec 2005 (1.27%)
20041006 Jan 2004 (-0.02%), 21 Jan 2004 (1.36%), 16 Mar 2004 (0.47%), 11 May 2004 (-2.01%), 30 Jul 2004 (0.7%), 18 Aug 2004 (-0.65%), 21 Sep 2004 (0.69%), 08 Nov 2004 (-0.17%), 16 Dec 2004 (-0.02%), 30 Dec 2004 (-5.16%)
2003824 Jan 2003 (2.01%), 11 Mar 2003 (-0.56%), 09 Apr 2003 (-0.81%), 03 Jun 2003 (0.61%), 17 Jun 2003 (-0.0%), 10 Jul 2003 (-0.01%), 26 Aug 2003 (-1.21%), 21 Nov 2003 (0.23%)
20021413 Feb 2002 (5.29%), 11 Mar 2002 (-0.77%), 03 Apr 2002 (0.03%), 22 Apr 2002 (0.09%), 21 May 2002 (1.54%), 10 Jun 2002 (-1.32%), 01 Jul 2002 (-0.0%), 16 Jul 2002 (2.02%), 08 Aug 2002 (-0.52%), 27 Aug 2002 (1.74%), 19 Sep 2002 (-2.88%), 07 Oct 2002 (0.94%), 24 Oct 2002 (-3.91%), 02 Dec 2002 (-0.51%)
2001703 Jan 2001 (0.01%), 08 Jun 2001 (0.19%), 25 Jul 2001 (-0.94%), 04 Sep 2001 (1.03%), 03 Oct 2001 (0.14%), 23 Nov 2001 (-1.01%), 19 Dec 2001 (1.94%)
2000825 Jan 2000 (3.51%), 03 Mar 2000 (7.4%), 04 May 2000 (-7.84%), 23 May 2000 (-3.48%), 24 Jul 2000 (1.65%), 20 Sep 2000 (-0.0%), 10 Oct 2000 (-8.01%), 27 Nov 2000 (-4.07%)
1999609 Mar 1999 (-4.85%), 25 May 1999 (-0.17%), 23 Jul 1999 (-0.03%), 20 Sep 1999 (1.97%), 01 Nov 1999 (7.63%), 08 Dec 1999 (-1.63%)
1998812 Jan 1998 (1.36%), 24 Apr 1998 (0.02%), 01 Jun 1998 (2.68%), 11 Aug 1998 (1.23%), 05 Oct 1998 (-2.74%), 27 Nov 1998 (0.54%), 14 Dec 1998 (0.43%), 29 Dec 1998 (-5.26%)
1997511 Mar 1997 (-2.01%), 21 Apr 1997 (0.33%), 11 Jun 1997 (-1.67%), 21 Aug 1997 (4.45%), 12 Sep 1997 (-0.1%)
1996910 Jan 1996 (0.61%), 01 Mar 1996 (3.69%), 30 Apr 1996 (-3.33%), 22 May 1996 (-0.0%), 27 Jun 1996 (-0.81%), 06 Aug 1996 (-1.33%), 07 Oct 1996 (-5.43%), 31 Oct 1996 (1.64%), 02 Dec 1996 (5.44%)
1995415 May 1995 (-2.27%), 22 Jun 1995 (-0.64%), 16 Aug 1995 (-0.0%), 31 Oct 1995 (0.44%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play