Study: Sell GRASIM 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 GRASIM 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 GRASIM 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
1-21766.0289395043.823349.2215985.63-3047.71-14322.211.10.86-0.011-244.56
2-21804.389365340.45571213620.72-4291.25-16311.651.330.9-0.0082-244.99
317709.6789424747.196783.6925146.8-5685.22-23211.021.191.070.0048198.99
448839.1989375241.579226.3529004.95-5625.69-29828.771.641.170.012548.75
5-67372.8489365340.459872.6340621.76-7977.12-53388.431.240.84-0.012-757
6-11021889385142.79512.8235962.24-9249.11-63988.671.030.77-0.019-1238.4
7-22186089404944.949360.4735010.86-12168.95-60480.310.770.63-0.034-2492.81
8-20221689414846.079708.230834.53-12505.27-62369.340.780.66-0.029-2272.09
9-27002889444549.449088.1636674.55-14886.81-83362.370.610.6-0.034-3034.02
10-32628689424747.199671.4536315.79-15584.83-1060540.620.55-0.038-3666.14
Although, strategy looks good but profit factor on day 1 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
atrnil25.3519167.38101366535.6413893.2626355.51-7399.85-14274.871.881.040.0035189.78
atrtrail23.57-26702.79102327031.3711459.7926355.51-5620.23-13987.562.040.93-0.0058-261.79
atrtrail34.12-106202101317030.699264.9736284.08-5620.23-13987.561.650.73-0.024-1051.5
atrnil38.32-17849399207920.220310.2936284.08-7401.25-14274.872.740.69-0.031-1802.96
atrtrail-14.33-139745101317030.698182.9430299.78-5620.23-13987.561.460.64-0.035-1383.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 35.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.095%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0035, 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.
GRASIM Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019303 Apr 2019 (-2.53%), 07 May 2019 (5.74%), 06 Jun 2019 (-3.35%)
2018113 Apr 2018 (-2.61%)
2017527 Feb 2017 (-2.76%), 28 Mar 2017 (-2.58%), 10 May 2017 (5.53%), 19 Jul 2017 (-5.42%), 21 Sep 2017 (5.69%)
2016625 Apr 2016 (-2.02%), 18 May 2016 (-1.81%), 29 Jul 2016 (-1.72%), 10 Aug 2016 (5.21%), 11 Aug 2016 (6.2%), 16 Dec 2016 (-2.97%)
2015406 Feb 2015 (-2.35%), 29 Jul 2015 (-2.11%), 11 Aug 2015 (4.25%), 09 Dec 2015 (3.08%)
2014503 Apr 2014 (-2.21%), 19 Jun 2014 (6.74%), 17 Sep 2014 (-2.27%), 18 Sep 2014 (-2.27%), 24 Sep 2014 (4.86%)
2013123 May 2013 (4.82%)
2012422 Feb 2012 (5.3%), 25 Apr 2012 (-2.53%), 01 Jun 2012 (-3.21%), 10 Oct 2012 (-3.0%)
2011415 Apr 2011 (4.97%), 15 Jun 2011 (4.61%), 18 Oct 2011 (-3.06%), 11 Nov 2011 (5.49%)
2010420 Jan 2010 (5.53%), 31 Aug 2010 (-2.7%), 23 Sep 2010 (-2.44%), 12 Nov 2010 (5.5%)
2009716 Jan 2009 (11.61%), 08 Apr 2009 (-4.19%), 09 Apr 2009 (-4.13%), 11 May 2009 (-4.64%), 01 Jun 2009 (-5.32%), 12 Jun 2009 (11.42%), 31 Jul 2009 (8.72%)
2008307 Feb 2008 (-6.5%), 25 Jun 2008 (8.22%), 22 Aug 2008 (-4.28%)
2007311 May 2007 (-3.49%), 08 Oct 2007 (-3.49%), 09 Oct 2007 (-3.66%)
20061024 Feb 2006 (-3.29%), 27 Feb 2006 (-3.25%), 27 Mar 2006 (-2.95%), 28 Apr 2006 (-4.18%), 04 May 2006 (9.16%), 11 Sep 2006 (-2.46%), 28 Sep 2006 (-2.46%), 29 Sep 2006 (-2.42%), 18 Oct 2006 (-2.57%), 09 Nov 2006 (-2.26%)
2005705 Jan 2005 (5.36%), 18 Apr 2005 (-3.59%), 03 May 2005 (6.28%), 30 Jun 2005 (-2.38%), 24 Aug 2005 (-2.79%), 22 Sep 2005 (-3.19%), 08 Dec 2005 (-3.2%)
2004221 Jan 2004 (-5.21%), 11 Jun 2004 (-6.88%)
2003712 May 2003 (-2.95%), 09 Jun 2003 (-2.79%), 09 Jul 2003 (-3.73%), 26 Aug 2003 (8.21%), 23 Oct 2003 (-5.3%), 24 Oct 2003 (-5.05%), 15 Nov 2003 (9.14%)
2002221 May 2002 (-2.96%), 17 Jul 2002 (5.32%)
2001205 Jan 2001 (-4.86%), 12 Feb 2001 (8.82%)
2000217 Jul 2000 (8.81%), 21 Dec 2000 (-5.07%)
1999815 Jan 1999 (9.82%), 27 May 1999 (-6.98%), 28 Jun 1999 (-6.12%), 23 Jul 1999 (10.63%), 02 Sep 1999 (-6.56%), 21 Sep 1999 (-6.08%), 22 Sep 1999 (12.09%), 26 Oct 1999 (-7.14%)
1998506 Jan 1998 (5.13%), 29 Apr 1998 (-5.07%), 28 Aug 1998 (-5.79%), 13 Oct 1998 (-6.99%), 14 Oct 1998 (13.18%)
1997203 Nov 1997 (-2.43%), 13 Nov 1997 (-2.74%)
1996312 Mar 1996 (-3.21%), 13 Aug 1996 (5.33%), 30 Sep 1996 (4.88%)
1995121 Apr 1995 (4.43%)



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