Study: Sell HDFC 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 HDFC 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 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
138728.2795534255.793020.5313669.41-2889.52-9144.271.051.320.021407.67
2-50215.6295425344.214408.2417518.2-4440.79-36034.950.990.79-0.017-528.59
38478.2995464948.425562.7728077.21-5049.16-29674.091.11.030.002389.25
4-11187895395641.055626.1624397.85-5916.03-31780.170.950.66-0.03-1177.66
5-162199953857406156.8519725.4-6950.16-40544.740.890.59-0.037-1707.36
6-16400395405542.116445.4431464.63-7669.46-64110.470.840.61-0.031-1726.35
7-16304595405542.116496.7129910.37-7689.33-61470.920.840.61-0.031-1716.26
8-20556495395641.057152.6324821.24-8652.09-46150.430.830.58-0.04-2163.84
9-26503695356036.847333.6427967.42-8695.22-47117.330.840.49-0.05-2789.85
10-23586295415443.166381.0520928.86-9212.7-34280.790.690.53-0.048-2482.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. 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 55.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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-1138728.2795534255.793020.5313669.41-2889.52-9144.271.051.320.021407.67
atrtrail24.33-105860110347630.917380.0220623.06-4694.49-14920.891.570.7-0.028-962.37
atrtrail34.58-127332110327829.097339.5430934.59-4643.56-14920.891.580.65-0.032-1157.57
atrnil26.42-215175110308027.2712305.1320623.06-7304.11-21297.341.680.63-0.042-1956.14
atrnil38.44-317555108198917.5917190.2830934.59-7237.87-21297.342.380.51-0.059-2940.33
atrtrail-14.74-189679110317928.185725.5723270.84-4647.74-14920.891.230.48-0.058-1724.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 55.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
HDFC Performance, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Apr 2019 (1.13%), 12 Jun 2019 (-0.71%), 10 Jul 2019 (-1.53%)
2018405 Feb 2018 (1.91%), 01 Aug 2018 (1.94%), 22 Oct 2018 (-1.72%), 10 Dec 2018 (0.07%)
2017805 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%)
2016409 Jun 2016 (0.57%), 02 Aug 2016 (1.24%), 12 Sep 2016 (0.49%), 22 Dec 2016 (-0.61%)
2015404 Feb 2015 (-1.14%), 10 Mar 2015 (-0.79%), 21 Jul 2015 (-2.6%), 28 Oct 2015 (0.15%)
2014216 Apr 2014 (-1.1%), 02 Dec 2014 (1.82%)
2013131 May 2013 (2.37%)
2012129 Aug 2012 (-1.62%)
2010301 Jul 2010 (-0.03%), 21 Jul 2010 (-1.59%), 07 Oct 2010 (1.16%)
2009428 Apr 2009 (-3.72%), 10 Jun 2009 (0.13%), 07 Jul 2009 (1.5%), 09 Oct 2009 (-2.32%)
2008514 Jan 2008 (2.03%), 30 Jun 2008 (6.42%), 15 Jul 2008 (4.52%), 24 Oct 2008 (6.83%), 17 Nov 2008 (5.17%)
2007309 Jul 2007 (0.36%), 09 Oct 2007 (0.02%), 05 Nov 2007 (0.87%)
2006616 Jan 2006 (1.2%), 15 Feb 2006 (-0.18%), 25 Aug 2006 (1.22%), 06 Oct 2006 (2.73%), 20 Oct 2006 (0.27%), 01 Dec 2006 (1.17%)
2005629 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%)
2004802 Jan 2004 (-1.27%), 20 Feb 2004 (1.14%), 17 Apr 2004 (2.38%), 12 May 2004 (-1.67%), 17 Jun 2004 (-0.55%), 27 Sep 2004 (-0.33%), 15 Oct 2004 (-2.97%), 08 Dec 2004 (-2.97%)
2003521 Jan 2003 (-0.96%), 14 Feb 2003 (-0.47%), 01 Jul 2003 (2.74%), 26 Aug 2003 (-3.01%), 21 Oct 2003 (3.22%)
2002625 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%)
2001312 Jan 2001 (2.1%), 21 Feb 2001 (0.9%), 02 Jul 2001 (-0.19%)
2000610 Mar 2000 (4.01%), 17 Apr 2000 (-2.84%), 09 Jun 2000 (1.13%), 04 Jul 2000 (-0.97%), 20 Nov 2000 (0.02%), 21 Dec 2000 (-0.78%)
1999401 Feb 1999 (1.24%), 27 Jul 1999 (-2.82%), 26 Aug 1999 (-0.43%), 26 Oct 1999 (0.52%)
1998227 Mar 1998 (1.59%), 13 Apr 1998 (-2.61%)
1997524 Jan 1997 (-1.78%), 13 Mar 1997 (0.32%), 14 May 1997 (-0.25%), 21 Jul 1997 (0.58%), 16 Sep 1997 (0.24%)
1995226 Jun 1995 (-0.72%), 25 Oct 1995 (-1.93%)



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