Study: Sell IDEA when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell IDEA 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 IDEA 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
130634.3495445146.324251.8920973.78-3067.62-11531.071.391.20.019322.47
226145.8295455047.375359.6729407.11-4300.79-16302.521.251.120.012275.22
3-28114.8495415443.167344.4249802.37-6096.96-26386.551.20.91-0.0084-295.95
445019.5995405542.1111306.8579338.84-7404.63-33255.581.531.110.0091473.89
515287595494651.5812332.1483478.26-9813.04-42719.091.261.340.0251609.21
617287595484750.5313488.5689256.2-10097.36-56587.841.341.360.0261819.73
720173795524354.7413405.1694876.03-11519.33-55236.491.161.410.0312123.55
828032495504552.6315535.0499834.71-11031.74-45439.191.411.560.0412950.78
937298495524354.7416407.2392231.4-11167.26-33522.161.471.780.0553926.14
1025041895524354.7415825.6988372.09-13314.37-84011.631.191.440.0342635.98
Although, strategy looks good but profit factor on day 3 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
atrtrail-15.9396244.56107357232.7115659.9394360.73-6275.74-17823.12.51.210.015899.48
atrnil26.6681345.96109397035.7818054.6760376.76-8896.95-17823.12.031.130.015746.29
atrnil38.9252573.44103287527.1825620.2455398.7-8863.91-17823.12.891.080.0089510.42
atrtrail24.7911261.67109387134.8612502.236932.46-6532.71-17823.11.911.020.0027103.32
atrtrail35.4-3354.49108357332.4112961.755398.7-6260.46-17823.12.070.99-0.00072-31.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 32.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDEA Performance, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019414 Jan 2019 (4.53%), 25 Mar 2019 (43.45%), 22 Jul 2019 (47.18%), 24 Oct 2019 (-1.93%)
2018615 Jan 2018 (18.98%), 09 Apr 2018 (1.36%), 26 Apr 2018 (-3.46%), 25 Jun 2018 (-4.62%), 14 Aug 2018 (-1.93%), 27 Nov 2018 (9.26%)
2017513 Jan 2017 (-1.46%), 16 Feb 2017 (-2.76%), 24 May 2017 (-0.38%), 02 Aug 2017 (2.46%), 09 Nov 2017 (-0.87%)
2016906 Jan 2016 (13.61%), 15 Mar 2016 (-3.15%), 04 May 2016 (2.24%), 06 Jun 2016 (3.0%), 29 Jul 2016 (-2.08%), 31 Aug 2016 (8.18%), 14 Oct 2016 (-0.05%), 04 Nov 2016 (-0.94%), 21 Dec 2016 (1.37%)
20151412 Jan 2015 (-3.29%), 02 Feb 2015 (-1.06%), 20 Feb 2015 (-2.17%), 05 Mar 2015 (-2.82%), 20 Apr 2015 (0.73%), 22 May 2015 (-3.1%), 16 Jun 2015 (-3.98%), 29 Jun 2015 (-3.19%), 13 Jul 2015 (-2.82%), 24 Jul 2015 (2.68%), 07 Sep 2015 (-3.95%), 24 Sep 2015 (-3.43%), 23 Oct 2015 (4.34%), 09 Dec 2015 (-1.71%)
2014916 Jan 2014 (6.99%), 10 Feb 2014 (-5.51%), 17 Apr 2014 (-2.02%), 27 May 2014 (-2.68%), 16 Jun 2014 (-3.74%), 17 Jun 2014 (4.11%), 13 Aug 2014 (-3.18%), 16 Sep 2014 (-2.1%), 26 Nov 2014 (-0.7%)
20131124 Jan 2013 (1.99%), 07 Mar 2013 (-3.07%), 14 Mar 2013 (2.85%), 04 Apr 2013 (-1.74%), 13 May 2013 (-3.55%), 26 Jun 2013 (-4.24%), 03 Jul 2013 (-1.42%), 05 Aug 2013 (-4.71%), 21 Aug 2013 (-0.05%), 21 Oct 2013 (3.24%), 12 Dec 2013 (0.99%)
2012710 Feb 2012 (-2.83%), 07 Mar 2012 (-3.46%), 09 Apr 2012 (8.08%), 26 Jun 2012 (-3.88%), 19 Jul 2012 (-3.48%), 20 Jul 2012 (0.04%), 06 Dec 2012 (1.28%)
20111010 Jan 2011 (-3.66%), 02 Feb 2011 (-3.72%), 08 Feb 2011 (-0.87%), 03 May 2011 (2.23%), 05 Jul 2011 (-3.44%), 12 Jul 2011 (-3.42%), 13 Jul 2011 (-1.03%), 10 Aug 2011 (-4.05%), 08 Sep 2011 (-0.46%), 24 Nov 2011 (-4.19%)
2010613 Jan 2010 (-0.91%), 28 Jan 2010 (-2.08%), 15 Mar 2010 (-3.19%), 01 Apr 2010 (-2.0%), 28 Sep 2010 (2.44%), 09 Dec 2010 (-4.16%)
2009709 Jan 2009 (2.93%), 02 Mar 2009 (-1.65%), 08 May 2009 (-3.24%), 08 Jun 2009 (-6.81%), 15 Jun 2009 (15.43%), 07 Aug 2009 (-5.56%), 02 Sep 2009 (-3.82%)
20081221 Jan 2008 (-6.42%), 22 Jan 2008 (-8.76%), 07 Mar 2008 (2.22%), 09 May 2008 (-4.98%), 29 May 2008 (5.74%), 23 Jun 2008 (-1.78%), 19 Aug 2008 (-3.24%), 16 Sep 2008 (-0.09%), 29 Sep 2008 (-6.47%), 30 Sep 2008 (7.97%), 17 Oct 2008 (31.72%), 24 Dec 2008 (-8.91%)
2007704 Jun 2007 (4.65%), 10 Jul 2007 (-3.19%), 30 Jul 2007 (-3.52%), 31 Jul 2007 (1.6%), 22 Oct 2007 (-7.1%), 29 Oct 2007 (4.17%), 24 Dec 2007 (-5.71%)



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