Study: Sell HINDALCO 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 HINDALCO 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 HINDALCO 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
1-30491.885414448.243477.2614148.94-3933.17-13667.60.880.82-0.015-358.73
2-9894.5685404547.065396.1115667.59-5016.42-13908.291.080.96-0.0036-116.41
340939.9685444151.767145.3423970.29-6669.63-21480.611.071.150.011481.65
410332685473855.297388.9226382.98-6419.82-29083.671.151.420.0271215.6
528223985493657.6511823.18179317-8252.68-33266.931.431.950.0313320.46
626430085493657.6512428.79179113-9575.3-31673.311.31.770.0283109.41
723570585463954.1213658.99179142-10066.88-36852.591.361.60.0242773
821668685483756.4713987.14179127-12289.11-49219.371.141.480.0212549.24
918797685523361.1813466.98178479-15524.45-69168.90.871.370.0182211.48
1010149285493657.6514681.16178515-17163.47-90679.70.861.160.0091194.02
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
atrnil37.457631.61104277725.9623791.4643110.31-8243.35-18084.042.891.010.00173.38
atrtrail34.86-3482.12104347032.6912836.5538044.93-6284.64-15878.982.040.99-0.00062-33.48
atrtrail24.25-36378.23105366934.2911390.3927872.12-6470.03-15878.981.760.92-0.0072-346.46
atrnil25.6-72164.02105337231.4315910.9428740.21-8294.79-18084.041.920.88-0.012-687.28
atrtrail-15.44-69481.97104347032.6910895.3756760.79-6284.64-15878.981.730.84-0.013-668.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 25.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.037%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.001, 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.
HINDALCO Performance, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jan 2019 (-2.58%)
2018311 Jan 2018 (8.13%), 04 Apr 2018 (-4.13%), 27 Apr 2018 (-4.09%)
2017508 Feb 2017 (-3.65%), 14 Aug 2017 (-3.51%), 15 Sep 2017 (8.82%), 31 Oct 2017 (-2.72%), 01 Nov 2017 (8.02%)
2016911 Feb 2016 (-5.15%), 01 Apr 2016 (-4.46%), 06 Apr 2016 (-4.53%), 29 Apr 2016 (-4.41%), 02 May 2016 (13.31%), 27 Jun 2016 (-3.56%), 21 Jul 2016 (-3.03%), 26 Aug 2016 (-2.83%), 01 Sep 2016 (-2.92%)
2015405 Mar 2015 (11.23%), 30 Jun 2015 (9.74%), 29 Oct 2015 (-4.14%), 30 Oct 2015 (12.4%)
2014528 May 2014 (-4.88%), 16 Jun 2014 (-4.99%), 01 Aug 2014 (-4.27%), 04 Aug 2014 (12.5%), 17 Oct 2014 (-5.59%)
2013709 Jan 2013 (8.31%), 22 Feb 2013 (9.29%), 15 Mar 2013 (-3.61%), 28 May 2013 (8.97%), 24 Sep 2013 (-4.4%), 27 Sep 2013 (-4.37%), 10 Oct 2013 (-4.07%)
2012516 Feb 2012 (14.25%), 10 Apr 2012 (-4.43%), 07 May 2012 (-3.61%), 14 May 2012 (-4.11%), 10 Oct 2012 (-4.56%)
2011217 Mar 2011 (-3.85%), 08 Jun 2011 (10.64%)
2010615 Jan 2010 (11.45%), 16 Aug 2010 (-2.82%), 17 Aug 2010 (-2.78%), 25 Aug 2010 (-3.52%), 18 Oct 2010 (-3.45%), 15 Nov 2010 (11.81%)
2009320 Apr 2009 (-7.94%), 17 Jun 2009 (20.9%), 29 Sep 2009 (-4.8%)
2008308 Feb 2008 (-9.04%), 29 Aug 2008 (-5.11%), 12 Sep 2008 (12.82%)
2007229 Jun 2007 (-3.76%), 30 Jul 2007 (12.89%)
2006213 Feb 2006 (-3.35%), 15 May 2006 (-5.81%)
2005320 May 2005 (-2.89%), 31 May 2005 (-3.13%), 23 Aug 2005 (-2.62%)
2004412 Jan 2004 (-3.92%), 21 Jul 2004 (-4.73%), 10 Sep 2004 (-2.43%), 11 Oct 2004 (7.35%)
2003901 Jan 2003 (-2.65%), 03 Jun 2003 (-2.5%), 04 Jun 2003 (-2.59%), 16 Jun 2003 (-2.4%), 26 Aug 2003 (-3.2%), 23 Oct 2003 (-4.94%), 24 Oct 2003 (-5.3%), 15 Nov 2003 (-4.88%), 08 Dec 2003 (-4.19%)
2002329 Jan 2002 (-2.9%), 04 Mar 2002 (-4.08%), 26 Mar 2002 (-3.89%)
2001417 Jan 2001 (-3.52%), 24 Jan 2001 (-3.74%), 28 May 2001 (8.89%), 13 Dec 2001 (11.94%)
2000718 Jan 2000 (-6.33%), 19 Jan 2000 (19.02%), 23 Jun 2000 (-4.64%), 09 Aug 2000 (-3.06%), 22 Sep 2000 (-4.65%), 25 Sep 2000 (14.68%), 27 Dec 2000 (-4.64%)
1999417 May 1999 (-6.04%), 28 Jun 1999 (-5.34%), 23 Jul 1999 (-5.29%), 24 Aug 1999 (13.92%)
1998528 Apr 1998 (-5.35%), 29 Apr 1998 (-5.43%), 15 Jun 1998 (-4.88%), 22 Jun 1998 (-5.86%), 06 Jul 1998 (-4.99%)
1997427 Jan 1997 (8.85%), 21 Mar 1997 (-2.81%), 16 Jul 1997 (-2.88%), 12 Aug 1997 (9.49%)
1996301 Mar 1996 (-4.14%), 13 May 1996 (-3.84%), 04 Sep 1996 (21.56%)
1995128 Aug 1995 (-1.9%)



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