Study: Sell HINDZINC 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 HINDZINC 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 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
1-14502865214432.313458.0713533.83-4946.52-34513.630.70.33-0.074-2231.19
2-22466265234235.384987.8114851.49-8080.53-36103.150.620.34-0.075-3456.35
3-26440665234235.385981.5122134.39-9570.97-49283.670.620.34-0.076-4067.78
4-22037165323349.235816.3221343.87-12317.96-33538.490.470.46-0.062-3390.32
5-30162365254038.467738.6626755.85-12377.23-44262.30.630.39-0.073-4640.35
6-32234165234235.388337.5228229.67-12240.57-57516.340.680.37-0.072-4959.09
7-362216652639408530.9528708.13-14974.88-62827.230.570.38-0.071-5572.55
8-35601765234235.3811356.6428428.09-14695.71-59685.860.770.42-0.066-5477.19
9-42645265273841.549624.6932000-18061.03-61654.140.530.38-0.074-6560.81
10-43231665254038.4611367.1528762.54-17912.38-80451.130.630.4-0.071-6651.02
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
atrnil36.81-43887881117013.5823565.7743343.06-9972.88-19118.452.360.37-0.096-5418.25
atrtrail23.61-33106082206224.399557.3528895.37-8422.69-19118.451.130.37-0.096-4037.31
atrnil25.24-43535382156718.2915808.3528895.37-10036.98-19118.451.580.35-0.11-5309.18
atrtrail33.95-36325282206224.397947.7222343.8-8422.69-19118.450.940.3-0.11-4429.91
atrtrail-14.15-37742981196223.467377.6921532.52-8348.47-19118.450.880.27-0.13-4659.61

In the table above, row 1 shows the best exit criterion. Profit factor is 0.37. 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:0.371

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Apr 2019 (6.42%), 10 Jul 2019 (-2.69%), 14 Aug 2019 (-3.34%)
2017318 May 2017 (-3.11%), 27 Jul 2017 (-2.23%), 22 Aug 2017 (-2.78%)
2016619 Feb 2016 (-4.1%), 25 Aug 2016 (-3.13%), 17 Oct 2016 (-3.5%), 27 Oct 2016 (-3.25%), 08 Nov 2016 (11.17%), 09 Nov 2016 (-4.61%)
2015102 Nov 2015 (10.85%)
2014113 Jun 2014 (-4.8%)
2013422 Feb 2013 (-2.97%), 21 Mar 2013 (-3.28%), 18 Sep 2013 (-4.46%), 24 Sep 2013 (-4.57%)
2012517 Feb 2012 (-3.71%), 12 Jul 2012 (-3.03%), 29 Aug 2012 (-3.45%), 24 Sep 2012 (-3.58%), 08 Oct 2012 (-3.76%)
2011314 Jan 2011 (11.4%), 28 Mar 2011 (-3.84%), 29 Mar 2011 (-3.91%)
2010719 Jan 2010 (9.98%), 05 Jul 2010 (-3.3%), 18 Aug 2010 (-3.18%), 23 Aug 2010 (-3.06%), 28 Oct 2010 (-2.93%), 09 Nov 2010 (-2.97%), 10 Nov 2010 (8.84%)
20091022 Apr 2009 (-4.69%), 14 May 2009 (-6.8%), 21 May 2009 (-7.99%), 09 Jun 2009 (-6.08%), 12 Aug 2009 (-5.6%), 13 Aug 2009 (-5.35%), 23 Sep 2009 (-3.57%), 29 Oct 2009 (-3.62%), 30 Oct 2009 (-3.72%), 10 Dec 2009 (-5.2%)
2008213 Feb 2008 (-9.56%), 13 May 2008 (-5.72%)
2007205 Mar 2007 (-6.81%), 27 Apr 2007 (-4.7%)
2003105 Feb 2003 (-4.18%)
2002624 Jan 2002 (-5.36%), 20 Feb 2002 (-5.89%), 05 Mar 2002 (-6.1%), 09 Apr 2002 (-3.84%), 10 Jun 2002 (2.56%), 13 Dec 2002 (-4.44%)
2001323 Jan 2001 (-5.04%), 02 Nov 2001 (-5.48%), 12 Nov 2001 (-8.51%)
2000316 Jun 2000 (-7.71%), 20 Sep 2000 (-6.16%), 20 Dec 2000 (-5.25%)
1999718 Jan 1999 (-7.08%), 23 Jul 1999 (-8.83%), 26 Jul 1999 (-8.58%), 02 Aug 1999 (-8.87%), 27 Aug 1999 (-7.83%), 28 Sep 1999 (-7.79%), 29 Sep 1999 (21.67%)
1998220 Apr 1998 (-7.0%), 24 Dec 1998 (-3.61%)
1997817 Jan 1997 (-6.81%), 07 Feb 1997 (-4.83%), 21 Feb 1997 (-4.87%), 25 Mar 1997 (-5.14%), 26 Mar 1997 (-4.93%), 01 Apr 1997 (-5.94%), 19 Aug 1997 (15.73%), 08 Dec 1997 (-6.61%)
1996211 Mar 1996 (12.55%), 09 May 1996 (18.43%)
1995225 Apr 1995 (-4.29%), 26 Apr 1995 (-5.11%)



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