Study: Sell HINDUNILVR when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HINDUNILVR 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 HINDUNILVR 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
1-43908.3921510311247.912739.8813071.32-2911.75-16166.690.940.87-0.01-204.23
2-56580.921510910650.73832.7622021.66-4475.02-51069.780.860.88-0.0082-263.17
3-70626.5721510511048.844617.5716824.91-5049.74-45930.550.910.87-0.0096-328.5
4-17648621511010551.164466.8718179.77-6360.4-46167.080.70.74-0.022-820.87
5-15462521510411148.375414.0718529.49-6465.66-46489.620.840.78-0.017-719.19
6-27501921510511048.845525.6431956.17-7774.65-491560.710.68-0.028-1279.16
7-25798221510810750.235967.6825975.8-8434.5-52445.970.710.71-0.024-1199.92
8-32333921410910550.935950.8330038.8-9256.94-51521.340.640.67-0.028-1510.93
9-35189921410910550.936365.2226046.51-9959.13-51585.850.640.66-0.029-1644.39
10-3355352149911546.267599.3631531.29-9459.75-52058.920.80.69-0.027-1567.92
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
atrtrail24.47-12763.052618917234.18281.6651048.9-4359.48-12144.81.90.98-0.0013-48.9
atrtrail34.92-50265.492598717233.598027.8451048.9-4352.83-12144.81.840.93-0.0049-194.08
atrnil229.47-169413128448434.3810449.3326552.29-7490.28-2045281.40.73-0.014-1323.54
atrtrail-15.18-2103702578517233.076207.3451048.9-4290.66-12144.81.450.71-0.024-818.56
atrnil334.53-318172117259221.3714467.1223036.7-7389.67-2045281.960.53-0.027-2719.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 34.1%, which is not acceptable. Avoid this strategy. Average return per trade is -0.024%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:0.983

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019715 Feb 2019 (0.5%), 18 Mar 2019 (-0.25%), 06 May 2019 (-1.6%), 07 May 2019 (-1.07%), 17 Jun 2019 (3.57%), 03 Sep 2019 (-0.83%), 04 Oct 2019 (-2.21%)
2018902 Jan 2018 (-1.86%), 01 Feb 2018 (3.85%), 16 Mar 2018 (-1.78%), 03 May 2018 (-1.85%), 18 Jul 2018 (-2.33%), 14 Aug 2018 (-1.51%), 29 Aug 2018 (-1.81%), 04 Oct 2018 (5.63%), 19 Dec 2018 (4.29%)
2017902 Feb 2017 (-1.93%), 12 Apr 2017 (0.21%), 31 Jul 2017 (-2.08%), 10 Aug 2017 (-0.52%), 04 Sep 2017 (-1.92%), 25 Sep 2017 (3.62%), 26 Sep 2017 (1.41%), 30 Oct 2017 (-2.15%), 23 Nov 2017 (-0.47%)
20161001 Jan 2016 (3.62%), 10 Mar 2016 (-2.36%), 07 Apr 2016 (-1.0%), 28 Apr 2016 (1.0%), 21 Jun 2016 (-0.66%), 19 Jul 2016 (-2.22%), 16 Aug 2016 (0.32%), 14 Sep 2016 (-1.86%), 11 Nov 2016 (-1.79%), 15 Dec 2016 (3.78%)
2015802 Feb 2015 (-0.41%), 17 Mar 2015 (6.04%), 21 Apr 2015 (-2.83%), 22 Apr 2015 (5.68%), 04 Jun 2015 (-2.73%), 05 Jun 2015 (-0.72%), 19 Oct 2015 (-1.55%), 16 Nov 2015 (-2.04%)
20141009 Jan 2014 (1.12%), 12 Feb 2014 (4.28%), 17 Apr 2014 (4.23%), 21 May 2014 (-1.37%), 20 Jun 2014 (-1.13%), 21 Aug 2014 (-1.27%), 02 Sep 2014 (-1.92%), 27 Oct 2014 (-1.99%), 21 Nov 2014 (-1.47%), 11 Dec 2014 (3.97%)
20131310 Jan 2013 (3.65%), 11 Jan 2013 (-0.6%), 28 Feb 2013 (-2.6%), 05 Mar 2013 (1.1%), 26 Apr 2013 (-2.34%), 17 May 2013 (-1.34%), 30 Jul 2013 (-1.36%), 26 Sep 2013 (2.32%), 25 Oct 2013 (-2.9%), 28 Oct 2013 (-3.11%), 06 Nov 2013 (-0.09%), 21 Nov 2013 (-1.93%), 05 Dec 2013 (-0.11%)
20121302 Jan 2012 (-2.27%), 03 Jan 2012 (4.48%), 07 Feb 2012 (-2.81%), 16 Feb 2012 (-0.88%), 09 Apr 2012 (-2.03%), 24 Apr 2012 (-0.49%), 15 May 2012 (-0.59%), 02 Jul 2012 (-0.11%), 03 Sep 2012 (-2.05%), 18 Sep 2012 (4.15%), 19 Oct 2012 (5.08%), 13 Dec 2012 (-1.6%), 27 Dec 2012 (-2.06%)
20111012 Jan 2011 (-1.91%), 15 Mar 2011 (0.85%), 03 May 2011 (-0.85%), 27 May 2011 (-2.75%), 08 Jun 2011 (-1.83%), 22 Jun 2011 (-2.6%), 23 Jun 2011 (-2.56%), 08 Jul 2011 (-1.05%), 23 Sep 2011 (-1.87%), 22 Nov 2011 (-0.12%)
20101314 Jan 2010 (-1.59%), 29 Jan 2010 (5.23%), 12 Mar 2010 (-3.07%), 15 Mar 2010 (-2.17%), 07 Apr 2010 (-0.85%), 05 May 2010 (-2.79%), 06 May 2010 (-2.82%), 20 May 2010 (-0.54%), 05 Jul 2010 (0.88%), 27 Aug 2010 (-1.89%), 06 Oct 2010 (0.71%), 16 Nov 2010 (-0.83%), 20 Dec 2010 (-0.86%)
20091214 Jan 2009 (-0.39%), 11 Feb 2009 (6.54%), 28 Apr 2009 (-3.57%), 29 Apr 2009 (2.07%), 25 Jun 2009 (-3.3%), 26 Jun 2009 (-3.26%), 08 Jul 2009 (-1.04%), 07 Aug 2009 (3.26%), 11 Sep 2009 (-3.63%), 24 Sep 2009 (-2.81%), 21 Oct 2009 (-3.12%), 03 Dec 2009 (-2.63%)
20081414 Jan 2008 (7.83%), 12 Feb 2008 (-6.07%), 13 Mar 2008 (-4.57%), 11 Apr 2008 (-4.78%), 15 Apr 2008 (1.08%), 06 May 2008 (7.58%), 20 Jun 2008 (6.19%), 18 Aug 2008 (-0.88%), 11 Sep 2008 (6.24%), 07 Oct 2008 (7.24%), 24 Oct 2008 (11.95%), 27 Oct 2008 (-5.47%), 19 Nov 2008 (-3.5%), 31 Dec 2008 (-0.27%)
20071031 Jan 2007 (-2.58%), 23 Apr 2007 (-3.34%), 24 Apr 2007 (-3.27%), 30 Apr 2007 (7.79%), 06 Jun 2007 (1.55%), 20 Jul 2007 (-2.96%), 27 Jul 2007 (-3.48%), 06 Aug 2007 (-3.76%), 03 Oct 2007 (6.18%), 01 Nov 2007 (-3.56%)
20061016 Jan 2006 (-1.97%), 02 Feb 2006 (-1.28%), 06 Mar 2006 (-3.09%), 07 Mar 2006 (0.61%), 12 Apr 2006 (-2.85%), 19 Jul 2006 (-5.06%), 01 Aug 2006 (-0.5%), 11 Sep 2006 (-2.64%), 04 Oct 2006 (6.05%), 23 Nov 2006 (-0.57%)
2005911 Feb 2005 (6.8%), 08 Mar 2005 (6.63%), 09 May 2005 (0.33%), 07 Jul 2005 (-1.14%), 08 Aug 2005 (-2.39%), 19 Aug 2005 (0.49%), 22 Sep 2005 (-2.94%), 23 Sep 2005 (-3.01%), 14 Dec 2005 (-2.75%)
20041312 Jan 2004 (-2.75%), 18 Feb 2004 (7.14%), 29 Apr 2004 (-1.52%), 17 May 2004 (-5.16%), 18 May 2004 (-5.13%), 10 Jun 2004 (-1.18%), 09 Jul 2004 (-2.17%), 30 Jul 2004 (-4.44%), 02 Aug 2004 (0.47%), 28 Sep 2004 (-2.22%), 29 Sep 2004 (-2.27%), 22 Nov 2004 (-2.07%), 13 Dec 2004 (-2.68%)
2003907 Mar 2003 (-0.53%), 25 Mar 2003 (5.83%), 09 Apr 2003 (-1.62%), 03 Jul 2003 (5.69%), 06 Aug 2003 (-4.44%), 04 Sep 2003 (-3.79%), 09 Sep 2003 (7.6%), 22 Oct 2003 (-1.68%), 20 Nov 2003 (-2.65%)
2002909 Jan 2002 (0.14%), 08 Mar 2002 (2.38%), 21 May 2002 (1.36%), 30 May 2002 (-3.39%), 19 Jun 2002 (-2.83%), 17 Jul 2002 (-0.97%), 13 Sep 2002 (5.24%), 25 Oct 2002 (1.91%), 30 Dec 2002 (0.32%)
2001903 Jan 2001 (-3.57%), 01 Feb 2001 (-1.81%), 26 Feb 2001 (-2.95%), 12 Mar 2001 (-2.82%), 04 Apr 2001 (8.37%), 26 Apr 2001 (9.54%), 01 Aug 2001 (-2.72%), 24 Oct 2001 (-0.78%), 21 Nov 2001 (0.08%)
2000728 Jan 2000 (8.39%), 06 Mar 2000 (-3.52%), 24 Mar 2000 (1.1%), 17 Apr 2000 (-5.95%), 11 May 2000 (-2.22%), 15 Jun 2000 (-5.08%), 05 Jul 2000 (25.52%)
19991515 Jan 1999 (-2.8%), 18 Jan 1999 (-1.79%), 18 Feb 1999 (2.39%), 24 Mar 1999 (-2.53%), 04 Jun 1999 (-0.4%), 25 Jun 1999 (-2.9%), 28 Jun 1999 (-2.83%), 09 Jul 1999 (-2.34%), 16 Jul 1999 (-2.64%), 19 Jul 1999 (-2.59%), 06 Aug 1999 (4.64%), 02 Sep 1999 (5.06%), 05 Oct 1999 (-2.57%), 15 Oct 1999 (0.25%), 17 Dec 1999 (0.94%)
19981309 Jan 1998 (5.43%), 10 Mar 1998 (-2.92%), 11 Mar 1998 (-2.3%), 28 May 1998 (5.57%), 19 Jun 1998 (8.69%), 04 Aug 1998 (6.09%), 21 Sep 1998 (-1.89%), 22 Sep 1998 (-1.82%), 29 Sep 1998 (-1.97%), 30 Sep 1998 (3.94%), 20 Oct 1998 (5.29%), 16 Nov 1998 (0.39%), 23 Dec 1998 (4.41%)
19971130 Jan 1997 (-0.34%), 18 Mar 1997 (-2.82%), 05 May 1997 (-1.26%), 24 Jun 1997 (-3.16%), 25 Jun 1997 (-3.13%), 04 Jul 1997 (-0.53%), 14 Aug 1997 (5.69%), 18 Sep 1997 (0.99%), 28 Oct 1997 (-3.47%), 29 Oct 1997 (1.67%), 09 Dec 1997 (6.35%)
19961029 Feb 1996 (3.93%), 06 May 1996 (-2.29%), 25 Jun 1996 (-2.61%), 11 Jul 1996 (-0.98%), 12 Aug 1996 (4.48%), 02 Sep 1996 (0.22%), 03 Oct 1996 (2.98%), 04 Oct 1996 (3.54%), 04 Nov 1996 (-1.53%), 27 Nov 1996 (-2.08%)
1995821 Mar 1995 (-3.83%), 20 Apr 1995 (5.44%), 26 May 1995 (-2.04%), 14 Jun 1995 (-1.03%), 26 Jun 1995 (3.69%), 31 Jul 1995 (-1.63%), 22 Aug 1995 (3.41%), 25 Oct 1995 (-0.88%)



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