Study: Sell HDIL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HDIL 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 HDIL 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
116373882443853.668008.6428812.81-4964.28-27547.931.611.870.0671996.8
215547182463656.110162.867585.59-8667.18-30776.991.171.50.0431895.98
331195382453754.8814254.5464910.18-8905.43-40382.321.61.950.0723804.31
424295882433952.4415660.0862994.01-11036.54-40249.471.421.560.0522962.91
531796182453754.8816823.4365389.22-11867.39-36249.011.421.720.0643877.57
633393182443853.6618446.0664917.74-12570.94-46747.521.471.70.0624072.33
744259982433952.4420430.0463583.82-11176.73-41565.61.832.020.0815397.55
843222282424051.2221981.7461271.68-12275.28-40661.941.791.880.0755271
932865382424051.2222051.1165362.38-14937.34-42237.981.481.550.0534007.96
103315798241415024322.1667407.74-16234.88-63041.771.51.50.0484043.64
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
HDIL Performance, X=7, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (5.28%), 01 Mar 2018 (8.22%), 23 Mar 2018 (-4.67%)
2017823 Jan 2017 (-5.31%), 15 Feb 2017 (-5.01%), 28 Apr 2017 (-5.18%), 18 May 2017 (6.34%), 09 Jun 2017 (-1.48%), 03 Aug 2017 (24.49%), 25 Sep 2017 (-1.43%), 01 Dec 2017 (8.77%)
20161015 Jan 2016 (-2.35%), 29 Mar 2016 (-7.9%), 04 May 2016 (-4.01%), 03 Jun 2016 (-1.55%), 24 Jun 2016 (-6.93%), 14 Jul 2016 (0.82%), 15 Sep 2016 (8.4%), 17 Oct 2016 (-2.51%), 04 Nov 2016 (20.79%), 26 Dec 2016 (-15.76%)
2015723 Feb 2015 (-5.09%), 21 Apr 2015 (2.35%), 02 Jun 2015 (12.88%), 21 Jul 2015 (3.57%), 13 Aug 2015 (22.93%), 26 Oct 2015 (6.71%), 09 Dec 2015 (-3.35%)
2014706 Jan 2014 (3.76%), 25 Apr 2014 (10.03%), 30 May 2014 (-20.78%), 08 Jul 2014 (-5.77%), 14 Aug 2014 (-2.6%), 16 Sep 2014 (6.6%), 21 Nov 2014 (0.25%)
2013722 Jan 2013 (31.79%), 20 Mar 2013 (-4.62%), 23 May 2013 (16.68%), 29 Jul 2013 (18.65%), 25 Oct 2013 (-13.09%), 11 Nov 2013 (-9.15%), 11 Dec 2013 (-2.0%)
2012627 Feb 2012 (-1.16%), 25 Apr 2012 (9.83%), 22 Aug 2012 (15.91%), 16 Oct 2012 (2.53%), 16 Nov 2012 (-4.42%), 17 Dec 2012 (5.64%)
2011811 Jan 2011 (2.71%), 28 Jan 2011 (1.43%), 18 Mar 2011 (-5.47%), 19 Apr 2011 (10.56%), 20 Jun 2011 (0.6%), 15 Jul 2011 (5.7%), 03 Oct 2011 (-7.7%), 14 Nov 2011 (24.91%)
20101121 Jan 2010 (8.9%), 22 Feb 2010 (-7.41%), 22 Mar 2010 (-3.15%), 22 Apr 2010 (8.61%), 05 Jul 2010 (-10.51%), 27 Jul 2010 (-2.02%), 25 Aug 2010 (3.41%), 15 Sep 2010 (1.75%), 15 Oct 2010 (1.77%), 12 Nov 2010 (15.36%), 10 Dec 2010 (-3.01%)
2009807 Jan 2009 (-2.17%), 09 Mar 2009 (-15.84%), 05 Jun 2009 (14.07%), 10 Aug 2009 (-8.12%), 03 Sep 2009 (-3.16%), 24 Sep 2009 (-5.27%), 26 Oct 2009 (8.29%), 19 Nov 2009 (5.58%)
2008621 Jan 2008 (-0.9%), 05 Mar 2008 (24.21%), 12 May 2008 (-6.7%), 18 Aug 2008 (9.93%), 12 Sep 2008 (23.62%), 20 Nov 2008 (14.61%)
2007118 Oct 2007 (-0.39%)

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
atrtrail-15.9840669390405044.4420508.9760658.02-8273.31-18293.892.481.980.0764518.81
atrtrail24.0838897090414945.5619203.4756361.66-8130.05-18293.892.361.980.0834321.89
atrtrail34.9733947290405044.4418828.4546796.13-8273.31-18293.892.281.820.0713771.91
atrnil25.4828115289385142.723005.1356361.66-11628.3-39453.511.981.470.0523159.01
atrnil38.4917724784275732.1431846.2763436.45-11975.47-39453.512.661.260.032110.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 2.26%, which is very good. Sharpe Ratio is 0.076, 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.
HDIL Performance, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (12.76%), 01 Mar 2018 (8.64%), 23 Mar 2018 (-3.28%)
20171023 Jan 2017 (-3.5%), 27 Jan 2017 (-3.26%), 15 Feb 2017 (-4.43%), 28 Apr 2017 (0.52%), 18 May 2017 (3.39%), 09 Jun 2017 (-2.24%), 21 Jun 2017 (0.98%), 03 Aug 2017 (27.1%), 25 Sep 2017 (-2.33%), 01 Dec 2017 (7.93%)
20161015 Jan 2016 (0.07%), 29 Mar 2016 (-5.18%), 04 May 2016 (-4.68%), 03 Jun 2016 (-4.26%), 24 Jun 2016 (-3.08%), 14 Jul 2016 (-0.58%), 15 Sep 2016 (10.52%), 17 Oct 2016 (-4.55%), 04 Nov 2016 (10.15%), 26 Dec 2016 (-4.77%)
2015723 Feb 2015 (-6.29%), 21 Apr 2015 (5.19%), 02 Jun 2015 (9.33%), 21 Jul 2015 (4.82%), 13 Aug 2015 (-6.17%), 26 Oct 2015 (13.19%), 09 Dec 2015 (-1.46%)
2014906 Jan 2014 (3.97%), 25 Apr 2014 (5.54%), 30 May 2014 (-6.86%), 12 Jun 2014 (0.18%), 08 Jul 2014 (-2.69%), 14 Aug 2014 (-5.75%), 25 Aug 2014 (-5.13%), 16 Sep 2014 (-4.44%), 21 Nov 2014 (-0.5%)
2013722 Jan 2013 (27.49%), 20 Mar 2013 (-2.36%), 23 May 2013 (30.33%), 29 Jul 2013 (17.34%), 25 Oct 2013 (-2.87%), 11 Nov 2013 (-3.38%), 11 Dec 2013 (2.3%)
2012627 Feb 2012 (-7.84%), 25 Apr 2012 (19.6%), 22 Aug 2012 (11.46%), 16 Oct 2012 (-4.76%), 16 Nov 2012 (-3.22%), 17 Dec 2012 (4.44%)
2011811 Jan 2011 (-5.61%), 28 Jan 2011 (3.91%), 18 Mar 2011 (-2.03%), 19 Apr 2011 (-4.38%), 20 Jun 2011 (0.18%), 15 Jul 2011 (26.06%), 03 Oct 2011 (-3.97%), 14 Nov 2011 (19.37%)
20101221 Jan 2010 (9.14%), 22 Feb 2010 (-4.58%), 22 Mar 2010 (-4.33%), 22 Apr 2010 (13.07%), 05 Jul 2010 (-4.1%), 27 Jul 2010 (-1.99%), 25 Aug 2010 (4.71%), 15 Sep 2010 (-3.63%), 23 Sep 2010 (-1.92%), 15 Oct 2010 (5.3%), 12 Nov 2010 (21.18%), 10 Dec 2010 (-7.25%)
20091007 Jan 2009 (19.48%), 09 Mar 2009 (-9.15%), 05 Jun 2009 (4.0%), 10 Aug 2009 (-7.03%), 19 Aug 2009 (-6.79%), 03 Sep 2009 (-5.78%), 10 Sep 2009 (-3.36%), 24 Sep 2009 (-3.68%), 26 Oct 2009 (15.64%), 19 Nov 2009 (4.79%)
2008721 Jan 2008 (-7.65%), 05 Mar 2008 (2.2%), 12 May 2008 (-6.88%), 23 May 2008 (-1.93%), 18 Aug 2008 (8.35%), 12 Sep 2008 (15.57%), 20 Nov 2008 (-0.05%)
2007118 Oct 2007 (-0.9%)



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