Study: Sell ICIL 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 ICIL 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 ICIL 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
1-15965.87361818504516.479944.75-5403.46-18561.860.840.84-0.021-443.5
2-18584836191752.786255.327983.54-17923.47-1627270.350.39-0.057-5162.45
3-18485336171947.229000.9836213.99-17782.6-1800000.510.45-0.051-5134.8
4-16457036171947.2210915.1144444.44-18427.74-1636360.590.53-0.047-4571.4
5-177147361818509392.2245267.49-19233.7-1627270.490.49-0.051-4920.74
6-16641536171947.2211021.7843621.4-18620.29-1445450.590.53-0.052-4622.65
7-21719536162044.4410798.8848559.67-19498.83-1481820.550.44-0.066-6033.18
8-30468336162044.4411488.0352674.9-24424.55-1545450.470.38-0.083-8463.4
9-29245336152141.6712555.3455967.08-22894.42-1372730.550.39-0.078-8123.69
10-34411436162044.4414460.0551851.85-28773.74-1390910.50.4-0.082-9558.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.84. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.

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-11-15965.87361818504516.479944.75-5403.46-18561.860.840.84-0.021-443.5
atrnil27.3-1049134010302531369.1963154.36-13953.51-28342.422.250.75-0.039-2622.84
atrnil312.8-220635406341544352.0894731.54-14316.09-28342.423.10.55-0.075-5515.87
atrtrail34.27-1908334193221.9515220.2240731.94-10244.22-28342.421.490.42-0.11-4654.46
atrtrail24.1-1938634193221.9514883.5836158.21-10244.22-28342.421.450.41-0.12-4728.36
atrtrail-14.78-2233014193221.9511612.6945550.43-10244.22-28342.421.130.32-0.14-5446.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ICIL Performance, X=1, Profit Factor:0.836

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017407 Apr 2017 (-0.23%), 27 Jun 2017 (-1.78%), 19 Jul 2017 (1.52%), 25 Sep 2017 (0.78%)
2016204 May 2016 (-3.5%), 29 Sep 2016 (-1.13%)
2015413 Feb 2015 (3.05%), 09 Jun 2015 (-9.28%), 08 Jul 2015 (-2.27%), 22 Jul 2015 (0.27%)
2014422 Jul 2014 (3.9%), 13 Aug 2014 (-3.31%), 13 Oct 2014 (-6.28%), 28 Nov 2014 (2.18%)
2013317 Jun 2013 (-1.72%), 01 Aug 2013 (2.26%), 12 Dec 2013 (1.74%)
2012214 Sep 2012 (-5.42%), 06 Nov 2012 (-0.0%)
2011217 Oct 2011 (4.97%), 21 Nov 2011 (-5.29%)
2010320 Jan 2010 (1.23%), 26 May 2010 (-0.0%), 20 Dec 2010 (-0.28%)
2009108 May 2009 (-0.0%)
2008103 Mar 2008 (4.71%)
2007624 Jan 2007 (1.4%), 03 May 2007 (0.32%), 03 Jul 2007 (-0.33%), 17 Jul 2007 (1.0%), 24 Sep 2007 (-2.16%), 29 Oct 2007 (1.49%)
2006417 Mar 2006 (4.48%), 01 Sep 2006 (1.75%), 20 Oct 2006 (-5.64%), 17 Nov 2006 (3.61%)



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