Study: Sell HDFC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HDFC 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 HDFC 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
153279.3622212010254.052932.2813669.41-2927.4-14546.5911.180.013240
2-68046.0622210811448.654280.5422320.68-4652.15-36034.950.920.87-0.0099-306.51
3-39229.3922210811448.655347.7128077.21-5410.37-29674.090.990.94-0.0049-176.71
4-22093022210212045.955614.8324397.85-6613.69-31780.170.850.72-0.024-995.18
5-3067872229712543.696388.1325631.89-7411.49-40544.740.860.67-0.03-1381.92
6-3309912229712543.696758.931464.63-7892.83-64110.470.860.66-0.029-1490.95
7-3941442229612643.247075.4329910.37-8518.93-61470.920.830.63-0.034-1775.42
8-4124202229812444.148019.4824821.24-9663.94-46150.430.830.66-0.034-1857.75
9-5595792229013240.548064.929573.9-9738.03-47117.330.830.56-0.044-2520.63
10-6188252229412842.347882.7231403.16-10623.45-34280.790.740.54-0.048-2787.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1153279.3622212010254.052932.2813669.41-2927.4-14546.5911.180.013240
atrtrail23.99-1275812628617632.828486.9126063-4871.9-15001.91.740.85-0.013-486.95
atrtrail34.38-1408192608317731.928622.4730940.29-4838.89-15001.91.780.84-0.014-541.61
atrnil26.09-2559692547817630.7112417.1225592.8-6957.41-21297.341.780.79-0.021-1007.75
atrnil37.91-3047642415418722.4118333.7638389.2-6924-21297.342.650.76-0.023-1264.58
atrtrail-14.61-3320402598017930.896634.5329073.88-4820.13-15001.91.380.62-0.039-1282.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, X=1, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019822 Jan 2019 (1.07%), 08 Feb 2019 (-0.18%), 16 Apr 2019 (1.13%), 12 Jun 2019 (-0.71%), 10 Jul 2019 (-1.53%), 14 Aug 2019 (0.84%), 05 Sep 2019 (0.13%), 30 Sep 2019 (-0.94%)
20181001 Jan 2018 (-1.16%), 05 Feb 2018 (1.91%), 19 Mar 2018 (-1.44%), 27 Apr 2018 (-1.59%), 17 May 2018 (1.18%), 18 Jun 2018 (-0.24%), 01 Aug 2018 (1.94%), 10 Sep 2018 (0.82%), 22 Oct 2018 (-1.72%), 10 Dec 2018 (0.07%)
20171105 Jan 2017 (-0.42%), 15 Feb 2017 (0.4%), 07 Apr 2017 (1.16%), 08 May 2017 (0.39%), 21 Jun 2017 (-1.57%), 09 Aug 2017 (1.26%), 30 Aug 2017 (-1.01%), 14 Sep 2017 (0.16%), 18 Oct 2017 (0.33%), 10 Nov 2017 (2.29%), 01 Dec 2017 (-1.3%)
20161006 Jan 2016 (2.47%), 10 Feb 2016 (4.47%), 31 Mar 2016 (-0.71%), 28 Apr 2016 (-0.27%), 23 May 2016 (-1.08%), 09 Jun 2016 (0.57%), 02 Aug 2016 (1.24%), 12 Sep 2016 (0.49%), 10 Nov 2016 (4.24%), 22 Dec 2016 (-0.61%)
2015808 Jan 2015 (0.89%), 04 Feb 2015 (-1.14%), 10 Mar 2015 (-0.79%), 03 Jun 2015 (-1.09%), 10 Jul 2015 (-3.15%), 28 Jul 2015 (-0.59%), 28 Oct 2015 (0.15%), 07 Dec 2015 (1.1%)
20141029 Jan 2014 (-0.48%), 22 Mar 2014 (-2.18%), 16 Apr 2014 (-1.1%), 28 May 2014 (0.57%), 11 Jul 2014 (0.59%), 05 Aug 2014 (0.97%), 21 Aug 2014 (1.86%), 26 Sep 2014 (0.68%), 02 Dec 2014 (1.82%), 24 Dec 2014 (-1.48%)
2013926 Feb 2013 (-1.01%), 20 Mar 2013 (-2.24%), 05 Apr 2013 (1.63%), 31 May 2013 (2.37%), 10 Jul 2013 (-3.3%), 27 Sep 2013 (2.54%), 17 Oct 2013 (-3.05%), 08 Nov 2013 (0.49%), 13 Dec 2013 (1.02%)
2012901 Feb 2012 (0.46%), 23 Feb 2012 (3.55%), 16 Mar 2012 (2.43%), 26 Apr 2012 (-0.05%), 18 Jun 2012 (-0.55%), 24 Jul 2012 (-0.12%), 29 Aug 2012 (-1.62%), 26 Sep 2012 (-0.05%), 19 Nov 2012 (-2.25%)
2011807 Jan 2011 (4.43%), 17 Mar 2011 (2.62%), 19 Apr 2011 (-2.94%), 15 Jul 2011 (-0.99%), 23 Sep 2011 (0.42%), 21 Oct 2011 (-1.12%), 14 Nov 2011 (2.26%), 14 Dec 2011 (-0.96%)
20101211 Jan 2010 (1.56%), 23 Mar 2010 (1.35%), 15 Apr 2010 (0.56%), 05 May 2010 (1.73%), 02 Jun 2010 (-0.91%), 01 Jul 2010 (-0.03%), 21 Jul 2010 (-1.59%), 12 Aug 2010 (-0.34%), 01 Sep 2010 (-1.52%), 07 Oct 2010 (1.16%), 15 Nov 2010 (1.66%), 08 Dec 2010 (1.87%)
2009919 Jan 2009 (3.9%), 18 Feb 2009 (-2.24%), 28 Apr 2009 (-3.72%), 10 Jun 2009 (0.13%), 07 Jul 2009 (1.5%), 27 Jul 2009 (-0.88%), 03 Sep 2009 (-3.38%), 09 Oct 2009 (-2.32%), 19 Nov 2009 (-2.45%)
20081114 Jan 2008 (2.03%), 11 Feb 2008 (0.38%), 10 Mar 2008 (2.02%), 04 Apr 2008 (-1.17%), 13 May 2008 (-3.29%), 30 Jun 2008 (6.42%), 15 Jul 2008 (4.52%), 18 Aug 2008 (3.34%), 08 Sep 2008 (0.0%), 24 Oct 2008 (6.83%), 17 Nov 2008 (5.17%)
20071009 Jan 2007 (2.19%), 14 Feb 2007 (-0.56%), 15 Mar 2007 (0.58%), 02 Apr 2007 (0.56%), 07 May 2007 (1.53%), 09 Jul 2007 (0.36%), 10 Aug 2007 (-1.77%), 09 Oct 2007 (0.02%), 05 Nov 2007 (0.87%), 19 Dec 2007 (0.94%)
20061116 Jan 2006 (1.2%), 15 Feb 2006 (-0.18%), 10 Apr 2006 (3.25%), 19 May 2006 (3.58%), 13 Jun 2006 (1.83%), 18 Jul 2006 (0.08%), 25 Aug 2006 (1.22%), 11 Sep 2006 (0.44%), 06 Oct 2006 (2.73%), 20 Oct 2006 (0.27%), 01 Dec 2006 (1.17%)
20051015 Feb 2005 (0.93%), 16 Mar 2005 (0.39%), 18 Apr 2005 (-2.0%), 02 Jun 2005 (0.1%), 29 Jun 2005 (-4.57%), 13 Jul 2005 (1.09%), 04 Aug 2005 (1.33%), 19 Aug 2005 (1.52%), 26 Sep 2005 (-1.29%), 07 Dec 2005 (1.61%)
2004902 Jan 2004 (-1.27%), 20 Feb 2004 (1.14%), 17 Apr 2004 (2.38%), 12 May 2004 (-1.67%), 17 Jun 2004 (-0.55%), 06 Aug 2004 (0.35%), 27 Sep 2004 (-0.33%), 15 Oct 2004 (-2.97%), 08 Dec 2004 (-2.97%)
2003721 Jan 2003 (-0.96%), 14 Feb 2003 (-0.47%), 21 Apr 2003 (-0.7%), 12 Jun 2003 (-5.29%), 01 Jul 2003 (2.74%), 26 Aug 2003 (-3.01%), 21 Oct 2003 (3.22%)
2002807 Mar 2002 (-0.41%), 17 May 2002 (0.05%), 25 Jun 2002 (-1.6%), 10 Jul 2002 (0.54%), 14 Aug 2002 (-1.04%), 31 Oct 2002 (-0.0%), 03 Dec 2002 (0.53%), 24 Dec 2002 (0.61%)
2001912 Jan 2001 (2.1%), 21 Feb 2001 (0.9%), 30 Mar 2001 (-4.03%), 11 May 2001 (-0.21%), 02 Jul 2001 (-0.19%), 12 Sep 2001 (-1.55%), 19 Oct 2001 (-0.76%), 13 Nov 2001 (-0.35%), 28 Nov 2001 (1.57%)
20001013 Jan 2000 (-0.95%), 10 Feb 2000 (-7.27%), 10 Mar 2000 (4.01%), 17 Apr 2000 (-2.84%), 09 Jun 2000 (1.13%), 04 Jul 2000 (-0.97%), 22 Aug 2000 (-1.39%), 13 Sep 2000 (-1.49%), 20 Nov 2000 (0.02%), 21 Dec 2000 (-0.78%)
1999901 Feb 1999 (1.24%), 12 Mar 1999 (0.25%), 26 May 1999 (1.2%), 27 Jul 1999 (-2.82%), 26 Aug 1999 (-0.43%), 20 Sep 1999 (-1.28%), 05 Oct 1999 (-2.55%), 26 Oct 1999 (0.52%), 22 Dec 1999 (1.25%)
1998809 Jan 1998 (2.01%), 27 Mar 1998 (1.59%), 13 Apr 1998 (-2.61%), 26 May 1998 (0.67%), 23 Jul 1998 (1.89%), 22 Sep 1998 (0.12%), 01 Dec 1998 (-1.42%), 18 Dec 1998 (-2.2%)
1997524 Jan 1997 (-1.78%), 13 Mar 1997 (0.32%), 14 May 1997 (-0.25%), 21 Jul 1997 (0.58%), 15 Sep 1997 (0.9%)
1996715 Jan 1996 (-0.77%), 26 Feb 1996 (0.14%), 12 Apr 1996 (-0.22%), 20 May 1996 (1.63%), 01 Jul 1996 (1.16%), 10 Sep 1996 (1.53%), 19 Nov 1996 (0.24%)
1995424 Apr 1995 (-0.59%), 26 Jun 1995 (-0.72%), 28 Jul 1995 (-0.78%), 25 Oct 1995 (-1.93%)



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