Study: Sell ICICIPRULI 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 ICICIPRULI 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 ICICIPRULI 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
126059.971614287.52113.235860.26-1762.6-3254.071.28.390.381628.75
241608.111613381.253587.436641.78-1676.18-4894.512.149.270.432600.51
335780.1616124754736.499201.05-5264.42-12086.240.92.70.212236.26
446237.0716124755953.729890.85-6301.89-14029.760.942.830.232889.82
561549.291613381.256455.5911451-7457.78-12723.960.873.750.33846.83
627749.42169756.258055.9914105.97-6393.5-20194.351.261.620.0971734.34
7-9587.2167943.757544.2612835.63-6933-24202.851.090.85-0.032-599.2
8-13665.861688507196.714039.43-8904.93-21986.030.810.81-0.04-854.12
9-17286.451688508039.1918705.48-10200-24368.750.790.79-0.045-1080.4
10-28394.31688507484.1315009.81-11033.42-28429.340.680.68-0.072-1774.64

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 9.27. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.25%, which is excellent. Average return per trade is 1.3%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ICICIPRULI Performance, X=2, Profit Factor:9.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020114 Aug 2020 (1.11%)
2019523 Jan 2019 (1.96%), 22 Mar 2019 (2.75%), 15 Apr 2019 (0.01%), 11 Jun 2019 (2.67%), 15 Nov 2019 (3.32%)
2018430 Jan 2018 (-2.45%), 16 May 2018 (2.55%), 12 Jul 2018 (2.56%), 14 Aug 2018 (2.4%)
2017508 Feb 2017 (2.22%), 17 Mar 2017 (0.05%), 27 Apr 2017 (-0.05%), 19 May 2017 (0.02%), 14 Jul 2017 (1.68%)
2016126 Dec 2016 (-0.02%)

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
nilnil-1241608.111613381.253587.436641.78-1676.18-4894.512.149.270.432600.51
atrtrail25.0643714.94169756.256747.9316372.76-2430.92-4980.792.783.570.222732.18
atrtrail35.8818646.8169756.253962.587582.87-2430.92-4980.791.632.10.151165.43
atrtrail-15.8818646.8169756.253962.587582.87-2430.92-4980.791.632.10.151165.43
atrnil310.7520920.071651131.2517288.7420145.62-5956.7-8186.382.91.320.061307.5
atrnil27.1216664.631661037.512333.6516372.76-5733.73-7711.962.151.290.0591041.54

In the table above, row 1 shows the best exit criterion. Profit factor is 9.27. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.25%, which is excellent. Average return per trade is 1.3%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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