Study: Sell GODREJCP 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 GODREJCP 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 GODREJCP 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
1-7095.3475373849.333129.158270.68-3233.52-10844.880.970.94-0.0054-94.6
2-50943.6475324342.674666.0416102.88-4657.14-23360.6610.75-0.025-679.25
3-69241.3375354046.675219.1920799.55-6297.83-28911.250.830.73-0.028-923.22
4-17171774264835.145529.0914407.32-6572.36-29327.120.840.46-0.072-2320.5
5-12375674274736.496315.2916046.97-6261.05-21824.841.010.58-0.051-1672.38
6-18526474314341.895396.5122056.38-8198.97-34284.290.660.47-0.067-2503.57
7-18007474324243.246281.8317718.33-9073.64-30441.650.690.53-0.06-2433.44
8-26538974304440.545295.4620784.96-9642.11-33227.980.550.37-0.09-3586.33
9-23198274294539.196177.9216942.35-9136.47-33494.140.680.44-0.073-3134.89
10-26798574274736.497279.1825160.75-9883.47-32446.140.740.42-0.081-3621.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.94. 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 49.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.047%, we advise you not to use 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-11-7095.3475373849.333129.158270.68-3233.52-10844.880.970.94-0.0054-94.6
atrtrail25.26-23373290207022.229446.2428380.18-6037.95-12963.751.560.45-0.076-2597.02
atrnil27.06-32599388167218.1816237.328380.18-8135.97-12963.7520.44-0.089-3704.47
atrtrail35.51-29410090207022.226427.8132816.2-6037.95-12963.751.060.3-0.11-3267.78
atrnil39.22-475924888809.0922477.8932816.2-8196.84-14190.092.740.27-0.14-5408.23
atrtrail-15.61-35567189187120.224284.2815813.23-6095.6-12963.750.70.18-0.18-3996.3

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 49.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.047%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODREJCP Performance, X=1, Profit Factor:0.942

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Apr 2019 (0.21%), 27 Oct 2019 (-1.71%), 11 Nov 2019 (0.44%)
2018502 Feb 2018 (1.2%), 20 Jun 2018 (-0.38%), 27 Jul 2018 (-0.18%), 05 Sep 2018 (2.45%), 28 Dec 2018 (0.02%)
2017318 May 2017 (-1.44%), 28 Jun 2017 (-0.95%), 02 Aug 2017 (-5.42%)
2016213 Jun 2016 (-0.09%), 13 Jul 2016 (1.15%)
2015430 Jan 2015 (-0.96%), 09 Jul 2015 (-2.17%), 28 Jul 2015 (-3.86%), 13 Aug 2015 (0.24%)
2014217 Apr 2014 (1.37%), 15 Sep 2014 (-0.05%)
2013621 Jan 2013 (1.27%), 15 Apr 2013 (1.33%), 08 May 2013 (-0.76%), 21 May 2013 (1.5%), 11 Jun 2013 (3.96%), 29 Jul 2013 (3.24%)
2012714 Feb 2012 (-0.0%), 10 Jul 2012 (0.76%), 07 Aug 2012 (-1.94%), 06 Sep 2012 (2.49%), 11 Oct 2012 (-1.22%), 14 Dec 2012 (0.7%), 31 Dec 2012 (-0.27%)
2011525 Apr 2011 (1.19%), 16 May 2011 (1.14%), 16 Jun 2011 (-0.71%), 26 Aug 2011 (-0.75%), 22 Sep 2011 (1.51%)
2010627 Apr 2010 (1.75%), 24 May 2010 (-5.11%), 16 Jun 2010 (0.01%), 31 Aug 2010 (-2.44%), 23 Sep 2010 (-1.7%), 16 Nov 2010 (-0.02%)
2009507 Jan 2009 (-0.27%), 10 Jun 2009 (1.85%), 10 Aug 2009 (0.59%), 14 Sep 2009 (-1.62%), 17 Oct 2009 (0.31%)
2008117 Oct 2008 (-2.9%)
2007219 Mar 2007 (-1.32%), 04 Jun 2007 (-0.07%)
2006530 Jan 2006 (-2.95%), 23 Feb 2006 (-4.44%), 13 Mar 2006 (-1.02%), 17 Apr 2006 (1.52%), 19 Dec 2006 (-0.76%)
2005406 Jan 2005 (2.22%), 22 Aug 2005 (-0.71%), 07 Nov 2005 (-0.65%), 20 Dec 2005 (0.51%)
2004508 Jan 2004 (2.1%), 17 May 2004 (-3.15%), 31 May 2004 (2.5%), 07 Sep 2004 (1.56%), 15 Oct 2004 (-0.91%)
2003421 Apr 2003 (-1.54%), 21 May 2003 (-1.9%), 28 Jul 2003 (0.98%), 12 Nov 2003 (0.59%)
2002529 Jan 2002 (3.13%), 13 Feb 2002 (2.01%), 17 May 2002 (4.14%), 03 Jul 2002 (2.9%), 19 Jul 2002 (-5.07%)
2001106 Nov 2001 (3.05%)



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