Study: Sell GODFRYPHLP 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 GODFRYPHLP 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 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
163501.1881384346.914707.5316493.59-2683.37-10317.141.751.550.032783.97
2-5748.1481364544.446403.628588.88-5250.62-26708.631.220.98-0.0018-70.96
3-26057.6681394248.156193.2531820.96-6371.29-23237.410.970.9-0.0073-321.7
4-42003.1281384346.917994.8735233-8042.05-36519.780.990.88-0.0094-518.56
5-11409181364544.449463.0842686.72-10105.82-72122.760.940.75-0.019-1408.53
6-11635181414050.629711.1141049.8-12862.66-1229060.750.77-0.015-1436.43
7-96604.2481414050.6210751.9540397.45-13435.85-95556.270.80.82-0.012-1192.64
8-22721181443754.329992.4135030.82-18023.71-1096070.550.66-0.025-2805.08
9-14660281394248.1512610.5441317.27-15200.3-1093990.830.77-0.017-1809.9
10-66621.1681414050.6213891.7248436.72-15904.54-1070810.870.9-0.0075-822.48

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.55. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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-1163501.1881384346.914707.5316493.59-2683.37-10317.141.751.550.032783.97
atrnil38.72-570.7189226724.7226646.7854644.11-8758.21-18432.233.041-8.2e-05-6.41
atrnil27.09-14450.6889296032.5817634.4436429.41-8764.16-18432.232.010.97-0.0026-162.37
atrtrail35-39890.9691286330.7713323.0946683.48-6554.56-13712.372.030.9-0.008-438.36
atrtrail24.58-45303.7191306132.9712090.8736429.41-6689.01-13712.371.810.89-0.01-497.84
atrtrail-15.49-12430089266329.2110910.4940068.33-6475.76-13712.371.680.7-0.03-1396.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Apr 2019 (-0.17%), 30 May 2019 (1.36%)
2018427 Apr 2018 (-1.32%), 24 Aug 2018 (-1.62%), 19 Sep 2018 (8.25%), 07 Dec 2018 (2.45%)
2017323 Jan 2017 (-0.9%), 28 Mar 2017 (3.63%), 22 May 2017 (4.47%)
2016101 Aug 2016 (1.83%)
2015529 Jul 2015 (-1.51%), 13 Aug 2015 (-1.64%), 09 Oct 2015 (-3.92%), 04 Nov 2015 (-0.52%), 09 Dec 2015 (3.74%)
2014303 Mar 2014 (-1.82%), 30 Apr 2014 (-0.98%), 10 Jul 2014 (-3.62%)
2013221 Mar 2013 (1.43%), 27 May 2013 (-1.12%)
2012308 Feb 2012 (-0.66%), 24 Apr 2012 (0.98%), 12 Jul 2012 (-0.5%)
2011413 Jan 2011 (-0.66%), 14 Jul 2011 (-1.44%), 19 Sep 2011 (0.23%), 15 Dec 2011 (1.43%)
2010613 Jan 2010 (-0.57%), 08 Jun 2010 (-0.89%), 28 Jul 2010 (0.27%), 31 Aug 2010 (-2.37%), 23 Nov 2010 (1.47%), 08 Dec 2010 (4.9%)
2009513 Jan 2009 (0.9%), 24 Feb 2009 (4.0%), 12 May 2009 (-0.39%), 18 Jun 2009 (-1.84%), 11 Aug 2009 (-0.23%)
2008515 Jan 2008 (2.39%), 07 Mar 2008 (-0.9%), 05 May 2008 (0.01%), 13 Jun 2008 (-0.0%), 17 Nov 2008 (2.34%)
2007416 May 2007 (0.98%), 05 Oct 2007 (2.4%), 12 Nov 2007 (0.42%), 13 Dec 2007 (1.42%)
2006114 Dec 2006 (-0.65%)
2005618 Jan 2005 (-0.84%), 04 Feb 2005 (0.33%), 28 Mar 2005 (5.21%), 22 Sep 2005 (-1.29%), 24 Nov 2005 (-3.05%), 14 Dec 2005 (1.27%)
2004906 Jan 2004 (-0.02%), 21 Jan 2004 (1.36%), 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%)
2003409 Apr 2003 (-0.81%), 16 Jun 2003 (-1.3%), 10 Jul 2003 (-0.01%), 26 Aug 2003 (-1.21%)
2002113 Feb 2002 (5.29%)
2001303 Jan 2001 (0.01%), 23 Nov 2001 (-1.01%), 19 Dec 2001 (1.94%)
2000327 Jan 2000 (0.18%), 03 Mar 2000 (7.4%), 24 Jul 2000 (1.65%)
1999309 Mar 1999 (-4.85%), 23 Jul 1999 (-0.03%), 01 Nov 1999 (7.63%)
1998224 Apr 1998 (0.02%), 05 Oct 1998 (-2.74%)
1997121 Aug 1997 (4.45%)
1995115 May 1995 (-2.27%)



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