Study: Sell HINDZINC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HINDZINC 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 HINDZINC 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
1-166780157629539.493866.413533.83-4278.91-34513.630.90.59-0.037-1062.29
2-292659157619638.855238.1216000-6376.92-36103.150.820.52-0.048-1864.07
3-280572157659241.46463.2532000-7616.12-49283.670.850.6-0.038-1787.08
4-193503157787949.686712.532000-9076.94-33538.490.740.73-0.025-1232.51
5-288803157688943.318099.3631978.32-9433.25-44262.30.860.66-0.034-1839.51
6-287163157698843.959004.7629864.25-10323.76-57516.340.870.68-0.03-1829.06
7-393901157738446.58923.7432298.14-12444.45-86111.110.720.62-0.034-2508.92
8-371249157718645.2211006.7443794.7-13403.81-1055560.820.68-0.029-2364.64
9-457263157708744.5911705.0560760.45-14673.75-1166670.80.64-0.032-2912.5
10-418239157708744.5911956.1541437.63-14427.23-84722.220.830.67-0.031-2663.94
Although, strategy looks good but profit factor on day 2 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
atrtrail24.27-3768291875812931.0210592.0530315.01-7683.47-26996.941.380.62-0.043-2015.13
atrtrail34.75-4146291875812931.029940.3245472.52-7683.47-26996.941.290.58-0.046-2217.27
atrtrail-15.05-4422191865712930.659549.9459008.77-7647.8-26996.941.250.55-0.049-2377.52
atrnil38.69-6424091803114917.2225286.4445472.52-9572.41-26996.942.640.55-0.056-3568.94
atrnil26.19-6156291864614024.7316213.2930315.01-9724.57-26996.941.670.55-0.061-3309.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.62. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:0.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Jan 2019 (-2.45%), 26 Mar 2019 (-1.61%), 11 Apr 2019 (-1.77%), 10 Jul 2019 (-2.69%), 14 Aug 2019 (-0.44%)
2018918 Jan 2018 (5.48%), 07 Mar 2018 (-3.28%), 02 May 2018 (5.87%), 22 Jun 2018 (5.11%), 12 Jul 2018 (0.58%), 20 Aug 2018 (-2.71%), 11 Sep 2018 (-2.32%), 28 Sep 2018 (8.13%), 31 Oct 2018 (-3.76%)
2017630 Mar 2017 (2.23%), 18 May 2017 (6.22%), 27 Jul 2017 (-2.23%), 22 Aug 2017 (-1.61%), 15 Sep 2017 (5.22%), 24 Oct 2017 (-2.55%)
20161307 Jan 2016 (-3.22%), 19 Feb 2016 (-1.25%), 16 Mar 2016 (-2.16%), 06 Apr 2016 (-2.09%), 04 May 2016 (-3.41%), 24 Jun 2016 (-1.93%), 25 Aug 2016 (-3.13%), 17 Oct 2016 (-3.5%), 27 Oct 2016 (-3.25%), 08 Nov 2016 (7.45%), 09 Nov 2016 (-4.61%), 14 Dec 2016 (-3.48%), 15 Dec 2016 (6.92%)
2015809 Jan 2015 (5.93%), 24 Feb 2015 (-2.82%), 27 Apr 2015 (-3.49%), 26 May 2015 (0.37%), 02 Jul 2015 (5.31%), 28 Jul 2015 (-2.67%), 02 Nov 2015 (7.23%), 11 Dec 2015 (-3.17%)
2014902 Jan 2014 (-0.27%), 27 Jan 2014 (-0.47%), 23 Apr 2014 (5.32%), 13 Jun 2014 (-4.8%), 25 Jul 2014 (-1.4%), 16 Sep 2014 (-3.33%), 11 Nov 2014 (-1.87%), 28 Nov 2014 (-1.84%), 12 Dec 2014 (0.47%)
20131110 Jan 2013 (5.76%), 22 Feb 2013 (-1.29%), 21 Mar 2013 (-2.92%), 15 Apr 2013 (0.73%), 14 May 2013 (-3.0%), 21 May 2013 (0.56%), 30 Jul 2013 (-3.51%), 31 Jul 2013 (-1.08%), 18 Sep 2013 (-4.46%), 24 Sep 2013 (-0.8%), 07 Nov 2013 (1.11%)
20121117 Feb 2012 (1.86%), 13 Apr 2012 (-3.17%), 08 May 2012 (5.97%), 12 Jul 2012 (-2.2%), 29 Aug 2012 (-3.45%), 24 Sep 2012 (-2.51%), 08 Oct 2012 (-3.76%), 15 Nov 2012 (-2.62%), 16 Nov 2012 (0.19%), 12 Dec 2012 (-2.16%), 19 Dec 2012 (-0.86%)
20111114 Jan 2011 (-2.76%), 28 Mar 2011 (-3.84%), 29 Mar 2011 (0.37%), 17 Jun 2011 (-2.16%), 11 Jul 2011 (-2.09%), 03 Aug 2011 (-3.65%), 04 Aug 2011 (7.54%), 23 Sep 2011 (8.14%), 11 Nov 2011 (7.06%), 15 Dec 2011 (-4.08%), 29 Dec 2011 (-1.73%)
20101019 Jan 2010 (6.65%), 25 Mar 2010 (-1.51%), 05 Jul 2010 (-3.02%), 18 Aug 2010 (-3.18%), 23 Aug 2010 (6.13%), 30 Sep 2010 (-3.27%), 28 Oct 2010 (-2.77%), 09 Nov 2010 (-2.97%), 10 Nov 2010 (5.9%), 10 Dec 2010 (-3.76%)
20091114 Jan 2009 (3.73%), 22 Apr 2009 (-4.69%), 14 May 2009 (-6.8%), 21 May 2009 (-4.3%), 09 Jun 2009 (-5.51%), 12 Aug 2009 (-5.6%), 13 Aug 2009 (1.6%), 23 Sep 2009 (-3.57%), 29 Oct 2009 (-3.62%), 30 Oct 2009 (1.24%), 10 Dec 2009 (1.1%)
2008809 Jan 2008 (9.17%), 13 Feb 2008 (-9.56%), 10 Mar 2008 (-6.24%), 13 May 2008 (-5.72%), 26 May 2008 (-3.55%), 13 Aug 2008 (-2.52%), 08 Sep 2008 (9.22%), 02 Dec 2008 (-6.02%)
2007705 Mar 2007 (-6.81%), 27 Apr 2007 (-4.7%), 15 May 2007 (3.17%), 10 Jul 2007 (-3.33%), 11 Jul 2007 (-3.56%), 22 Oct 2007 (-5.02%), 20 Dec 2007 (-5.35%)
2003105 Feb 2003 (1.86%)
2002824 Jan 2002 (-5.36%), 20 Feb 2002 (-5.89%), 05 Mar 2002 (-6.1%), 09 Apr 2002 (-1.9%), 10 Jun 2002 (1.71%), 25 Oct 2002 (-4.64%), 28 Oct 2002 (-4.94%), 13 Dec 2002 (-2.73%)
20011023 Jan 2001 (10.07%), 26 Feb 2001 (0.02%), 08 Mar 2001 (12.11%), 06 Apr 2001 (-0.19%), 15 May 2001 (-5.43%), 05 Jun 2001 (-0.16%), 19 Jul 2001 (1.61%), 27 Aug 2001 (-4.55%), 02 Nov 2001 (-5.48%), 12 Nov 2001 (-8.3%)
2000712 Jan 2000 (-3.85%), 13 Mar 2000 (-13.5%), 03 May 2000 (15.16%), 16 Jun 2000 (-7.71%), 04 Jul 2000 (-6.67%), 20 Sep 2000 (1.12%), 20 Dec 2000 (-1.12%)
19991018 Jan 1999 (-5.92%), 09 Mar 1999 (-9.84%), 25 May 1999 (-11.62%), 28 May 1999 (-5.41%), 23 Jul 1999 (-8.83%), 26 Jul 1999 (-8.58%), 02 Aug 1999 (-5.17%), 27 Aug 1999 (-2.33%), 28 Sep 1999 (-7.79%), 29 Sep 1999 (14.45%)
1998913 Jan 1998 (12.49%), 20 Apr 1998 (-7.0%), 04 Aug 1998 (12.48%), 31 Aug 1998 (-6.22%), 01 Sep 1998 (-5.53%), 28 Sep 1998 (-0.38%), 02 Nov 1998 (-0.73%), 30 Nov 1998 (-2.48%), 24 Dec 1998 (-3.61%)
19971117 Jan 1997 (-4.16%), 07 Feb 1997 (-4.22%), 21 Feb 1997 (1.77%), 25 Mar 1997 (-5.14%), 26 Mar 1997 (-4.93%), 01 Apr 1997 (-5.94%), 26 May 1997 (2.57%), 26 Jun 1997 (1.75%), 14 Jul 1997 (-4.4%), 19 Aug 1997 (10.49%), 08 Dec 1997 (4.82%)
1996609 Jan 1996 (2.26%), 11 Mar 1996 (-0.71%), 09 May 1996 (-4.52%), 02 Jul 1996 (9.12%), 13 Aug 1996 (14.93%), 17 Oct 1996 (-6.95%)
1995625 Apr 1995 (-4.29%), 26 Apr 1995 (3.55%), 22 Jun 1995 (-0.49%), 01 Aug 1995 (-5.35%), 30 Oct 1995 (-3.88%), 31 Oct 1995 (7.8%)



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