Study: Sell HCLTECH when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HCLTECH 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 HCLTECH 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
1-119511177799844.633767.615344.61-4256.64-37581.830.890.71-0.025-675.2
2-93620.78177829546.335671.2230115.54-5880.64-35394.330.960.83-0.014-528.93
3-148275177799844.636598.5943701.58-6832.28-30581.040.970.78-0.02-837.71
4-2768541777210540.687322.5539675.09-7657.88-36401.590.960.66-0.034-1564.15
5-3402281777010739.557557.7639206.07-8124.03-44415.580.930.61-0.04-1922.19
6-1135501777010739.5510681.8545628.02-8049.35-47844.161.330.87-0.012-641.53
7-1132311776711037.8512050.7355060.53-8369.36-63844.161.440.88-0.011-639.72
8-1145141776810938.4212406.0673059.24-8790.14-62285.711.410.88-0.01-646.97
9-2274091777010739.5512115.7970841.22-10051.54-55116.881.210.79-0.02-1284.8
10-3073131777110640.1112029.6158398.7-10956.75-49610.391.10.74-0.027-1736.23
Although, strategy looks good but profit factor on day 5 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
atrnil26.64-2260442075814928.0217622.7653904.44-8376.94-32308.72.10.82-0.019-1092
atrnil38.48-2483531974015720.326918.8880856.67-8440.18-32308.73.190.81-0.018-1260.67
atrtrail24.23-1909242186315528.912870.0357005.82-6462.81-32308.71.990.81-0.018-875.8
atrtrail34.65-3003562155915627.4411925.7838140.82-6435.75-32308.71.850.7-0.03-1397.01
atrtrail-15.02-3928592155815726.9810591.0839528.52-6414.91-32308.71.650.61-0.042-1827.25

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 28.02%, which is not acceptable. Avoid this strategy. Average return per trade is -0.55%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCLTECH Performance, Profit Factor:0.819

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019519 Feb 2019 (-2.29%), 18 Apr 2019 (-2.46%), 21 Jun 2019 (4.33%), 26 Jul 2019 (-2.22%), 09 Sep 2019 (4.88%)
20181005 Feb 2018 (5.12%), 19 Mar 2018 (-2.83%), 09 Apr 2018 (-2.75%), 02 May 2018 (7.12%), 03 May 2018 (-4.19%), 25 Jul 2018 (-2.26%), 18 Sep 2018 (-1.81%), 27 Sep 2018 (3.85%), 21 Nov 2018 (-3.7%), 07 Dec 2018 (-4.0%)
20171017 Jan 2017 (-2.44%), 25 Jan 2017 (4.84%), 15 Mar 2017 (-2.04%), 16 Mar 2017 (-2.04%), 28 Mar 2017 (-2.07%), 05 Apr 2017 (4.38%), 12 Jun 2017 (-2.13%), 02 Aug 2017 (-2.4%), 25 Oct 2017 (4.28%), 26 Oct 2017 (5.0%)
2016924 Feb 2016 (-3.01%), 09 Mar 2016 (-3.06%), 28 Apr 2016 (5.0%), 29 Apr 2016 (-2.98%), 28 Jun 2016 (-2.51%), 17 Aug 2016 (-2.53%), 25 Oct 2016 (4.93%), 11 Nov 2016 (-3.08%), 23 Dec 2016 (-2.48%)
20151007 Jan 2015 (-3.16%), 23 Feb 2015 (-2.78%), 09 Jun 2015 (-3.58%), 10 Jun 2015 (-3.49%), 28 Jul 2015 (-2.91%), 29 Jul 2015 (-2.85%), 04 Aug 2015 (-3.23%), 24 Aug 2015 (-3.03%), 07 Sep 2015 (-3.32%), 01 Oct 2015 (8.25%)
20141506 Jan 2014 (-2.13%), 30 Jan 2014 (-2.41%), 04 Feb 2014 (-2.65%), 19 Feb 2014 (-2.37%), 03 Mar 2014 (5.48%), 07 Apr 2014 (4.96%), 05 May 2014 (-2.73%), 19 May 2014 (-3.89%), 04 Jun 2014 (-4.05%), 10 Jul 2014 (-2.61%), 11 Sep 2014 (-2.13%), 08 Oct 2014 (-2.42%), 16 Oct 2014 (5.47%), 05 Dec 2014 (5.16%), 24 Dec 2014 (-3.57%)
20131131 Jan 2013 (-2.81%), 21 Mar 2013 (-2.23%), 17 May 2013 (-3.15%), 05 Jun 2013 (-2.51%), 25 Jun 2013 (-2.3%), 26 Jun 2013 (-2.34%), 02 Jul 2013 (-2.57%), 07 Aug 2013 (-2.92%), 16 Sep 2013 (-3.68%), 17 Sep 2013 (-3.58%), 17 Oct 2013 (-3.28%)
20121228 Feb 2012 (-2.63%), 15 Mar 2012 (5.35%), 11 Apr 2012 (-3.31%), 08 May 2012 (-3.16%), 11 Jun 2012 (5.75%), 18 Jul 2012 (-2.57%), 29 Aug 2012 (-1.72%), 17 Sep 2012 (-2.08%), 08 Oct 2012 (-3.19%), 06 Nov 2012 (-2.23%), 12 Nov 2012 (-2.04%), 06 Dec 2012 (-2.33%)
20111303 Jan 2011 (-2.37%), 10 Jan 2011 (-2.68%), 13 Jan 2011 (-3.15%), 14 Jan 2011 (-3.16%), 31 Jan 2011 (6.54%), 21 Mar 2011 (-3.46%), 18 Apr 2011 (-3.58%), 19 Apr 2011 (-3.48%), 04 May 2011 (-3.23%), 09 Jun 2011 (4.21%), 28 Jul 2011 (5.19%), 09 Nov 2011 (7.11%), 20 Dec 2011 (-3.92%)
20101107 Jan 2010 (-3.62%), 27 Jan 2010 (-5.21%), 08 Mar 2010 (-3.43%), 29 Mar 2010 (5.56%), 17 May 2010 (6.8%), 08 Jun 2010 (-4.56%), 24 Jun 2010 (-4.04%), 17 Aug 2010 (-2.96%), 18 Aug 2010 (-2.99%), 28 Sep 2010 (-3.04%), 20 Oct 2010 (6.63%)
20091412 Jan 2009 (-11.22%), 16 Feb 2009 (15.04%), 29 Apr 2009 (-7.5%), 13 May 2009 (-8.17%), 04 Jun 2009 (-7.36%), 18 Jun 2009 (-7.81%), 10 Aug 2009 (-6.16%), 18 Aug 2009 (-6.26%), 04 Sep 2009 (-5.26%), 29 Sep 2009 (8.74%), 28 Oct 2009 (-4.23%), 29 Oct 2009 (9.08%), 02 Dec 2009 (-5.07%), 15 Dec 2009 (-4.12%)
2008703 Jan 2008 (10.15%), 07 Mar 2008 (12.83%), 31 Mar 2008 (-7.65%), 22 May 2008 (-4.71%), 03 Jun 2008 (-4.72%), 12 Sep 2008 (11.1%), 02 Dec 2008 (-12.75%)
20071308 Jan 2007 (-4.12%), 05 Feb 2007 (-2.99%), 09 Feb 2007 (5.54%), 26 Feb 2007 (7.81%), 10 May 2007 (-4.72%), 23 May 2007 (-4.46%), 16 Jul 2007 (-3.75%), 17 Jul 2007 (7.29%), 21 Aug 2007 (-5.82%), 12 Sep 2007 (-4.91%), 19 Oct 2007 (-5.54%), 02 Nov 2007 (-5.1%), 14 Dec 2007 (-3.83%)
2006803 Feb 2006 (-3.81%), 10 Apr 2006 (-4.67%), 12 May 2006 (8.86%), 24 Jul 2006 (-6.83%), 23 Aug 2006 (-4.4%), 06 Nov 2006 (6.68%), 17 Nov 2006 (-3.83%), 24 Nov 2006 (7.11%)
2005922 Feb 2005 (-3.31%), 12 Apr 2005 (7.47%), 18 May 2005 (-4.5%), 29 Jun 2005 (-3.09%), 30 Jun 2005 (6.15%), 23 Aug 2005 (8.84%), 23 Sep 2005 (-5.57%), 07 Oct 2005 (-5.09%), 21 Dec 2005 (-3.39%)
20041207 Jan 2004 (-4.13%), 16 Jan 2004 (-5.06%), 19 Jan 2004 (9.84%), 09 Mar 2004 (10.59%), 29 Apr 2004 (-4.77%), 01 Jun 2004 (-6.73%), 18 Aug 2004 (-3.01%), 28 Sep 2004 (-2.69%), 29 Sep 2004 (-2.67%), 21 Oct 2004 (7.12%), 08 Dec 2004 (-2.98%), 29 Dec 2004 (5.47%)
20031107 Mar 2003 (-4.67%), 10 Apr 2003 (-6.56%), 11 Apr 2003 (13.75%), 22 May 2003 (-5.86%), 25 Jun 2003 (-4.24%), 04 Jul 2003 (-4.39%), 21 Jul 2003 (-5.18%), 12 Aug 2003 (-4.3%), 15 Sep 2003 (-8.03%), 27 Oct 2003 (-4.94%), 08 Dec 2003 (-5.04%)
20021310 Jan 2002 (16.38%), 21 Feb 2002 (-6.41%), 01 Mar 2002 (-6.12%), 15 Mar 2002 (10.25%), 24 Apr 2002 (-5.59%), 17 May 2002 (9.91%), 18 Jun 2002 (-4.94%), 18 Jul 2002 (9.36%), 19 Sep 2002 (-5.56%), 01 Oct 2002 (-5.34%), 22 Oct 2002 (-7.41%), 17 Dec 2002 (-4.53%), 18 Dec 2002 (8.85%)
2001801 Feb 2001 (13.94%), 30 Mar 2001 (26.95%), 30 May 2001 (14.63%), 30 Jul 2001 (-9.92%), 09 Aug 2001 (-11.68%), 06 Sep 2001 (-9.04%), 13 Sep 2001 (20.45%), 14 Dec 2001 (-7.9%)
2000630 Mar 2000 (21.05%), 12 May 2000 (-16.15%), 28 Jun 2000 (17.9%), 13 Sep 2000 (13.01%), 24 Nov 2000 (-5.47%), 18 Dec 2000 (12.71%)



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