Study: Sell HINDUNILVR 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 HINDUNILVR 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 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
12367.1486394745.352859.210746.53-2322.16-15640.61.231.020.001527.52
26123.3586473954.653519.4117186.49-4084.33-23377.70.861.040.002671.2
3-15238.3686414547.674805.4214860.08-4716.9-27703.831.020.93-0.0055-177.19
4-87960.5786473954.654384.6416295.97-7539.45-29367.720.580.7-0.025-1022.8
5-97714.186424448.845310.5517529.18-7289.94-31650.040.730.7-0.026-1136.21
6-83210.5286444251.166363.725897.38-8647.94-35690.520.740.77-0.02-967.56
7-92100.6186454152.335981.0523651.18-8810.92-33026.040.680.75-0.022-1070.94
8-13930985404547.066326.2727042.5-8719.1-35828.080.730.64-0.032-1638.93
9-17595785424349.416187.8322506.06-10135.95-33472.170.610.6-0.039-2070.09
10-20442385364942.356813.9419170.15-9178.06-30983.630.740.55-0.046-2404.98
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
atrtrail24.47-11837.81101336832.678880.5847375.7-4483.78-12144.81.980.96-0.003-117.21
atrtrail35.09-48167.391003268328022.7947375.7-4483.78-12144.81.790.84-0.012-481.67
atrtrail-15.36-78855.999316831.317291.6447375.7-4483.78-12144.81.630.74-0.021-796.52
atrnil260.35-19271955193634.5510075.7117370.91-10671.04-1951100.940.5-0.026-3503.98
atrnil364.24-27596054124222.2212485.6517069.54-10137.8-1951101.230.35-0.038-5110.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 32.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.059%, 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:0.961

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 Jun 2019 (3.57%), 03 Sep 2019 (-0.83%), 04 Oct 2019 (-2.21%), 05 Nov 2019 (3.53%)
2018602 Jan 2018 (-1.86%), 01 Feb 2018 (3.85%), 03 May 2018 (-1.85%), 18 Jul 2018 (-2.33%), 04 Oct 2018 (5.63%), 19 Dec 2018 (4.29%)
2017702 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%)
2016111 Nov 2016 (-1.79%)
2015202 Feb 2015 (-0.41%), 19 Oct 2015 (-1.55%)
2014517 Apr 2014 (4.23%), 20 Jun 2014 (-1.13%), 21 Aug 2014 (-1.27%), 02 Sep 2014 (-1.92%), 11 Dec 2014 (3.97%)
2013428 Feb 2013 (-2.6%), 05 Mar 2013 (1.1%), 17 May 2013 (-1.34%), 30 Jul 2013 (-1.36%)
2012902 Jan 2012 (-2.27%), 03 Jan 2012 (4.48%), 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%)
2011627 May 2011 (-2.75%), 08 Jun 2011 (-1.83%), 22 Jun 2011 (-2.6%), 08 Jul 2011 (-1.05%), 23 Sep 2011 (-1.87%), 22 Nov 2011 (-0.12%)
2010529 Jan 2010 (5.23%), 12 Mar 2010 (-3.07%), 15 Mar 2010 (-2.17%), 07 Apr 2010 (-0.85%), 06 Oct 2010 (0.71%)
2009425 Jun 2009 (-3.3%), 26 Jun 2009 (-3.26%), 08 Jul 2009 (-1.04%), 07 Aug 2009 (3.26%)
2008312 Feb 2008 (-6.07%), 23 Jun 2008 (6.18%), 19 Nov 2008 (-3.5%)
2007201 Feb 2007 (-3.05%), 07 Aug 2007 (-3.76%)
2006416 Jan 2006 (-1.97%), 06 Mar 2006 (-3.09%), 07 Mar 2006 (0.61%), 12 Apr 2006 (-2.85%)
2005511 Feb 2005 (6.8%), 09 May 2005 (0.33%), 07 Jul 2005 (-1.14%), 08 Aug 2005 (-2.39%), 14 Dec 2005 (-2.75%)
2004512 Jan 2004 (-2.75%), 17 May 2004 (-5.16%), 18 May 2004 (-5.13%), 22 Nov 2004 (-2.07%), 13 Dec 2004 (-2.68%)
2002321 May 2002 (1.36%), 30 May 2002 (-3.39%), 30 Dec 2002 (0.32%)
2001218 May 2001 (6.23%), 01 Aug 2001 (-2.72%)
2000428 Jan 2000 (8.39%), 06 Mar 2000 (-3.52%), 22 May 2000 (-5.44%), 06 Jul 2000 (23.69%)
1999418 Feb 1999 (2.39%), 24 Mar 1999 (-2.53%), 04 Jun 1999 (-0.4%), 06 Aug 1999 (4.64%)
1998310 Mar 1998 (-2.92%), 11 Mar 1998 (-2.3%), 19 Jun 1998 (8.69%)
1997618 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%)
1996429 Feb 1996 (3.93%), 06 May 1996 (-2.29%), 25 Jun 1996 (-2.61%), 04 Oct 1996 (3.54%)
1995321 Mar 1995 (-3.83%), 20 Apr 1995 (5.44%), 25 Oct 1995 (-0.88%)



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