Study: Sell IDFC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell IDFC 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 IDFC 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
140687.17103515249.514459.7633034.3-3591.55-13034.941.241.220.018395.02
2-1661.17103584556.315498.0431451.19-7123.28-45302.010.770.99-0.00046-16.13
3-7337.44103594457.285895.5826385.22-8072.2-28859.060.730.98-0.002-71.24
48592.77103525150.498142.0430079.16-8133.2-40897.2711.020.002183.42
5-36527.86103594457.287586.2323746.7-11002.62-49544.860.690.92-0.0079-354.64
6-107398103515249.519566.3532612.14-11447.74-55916.780.840.82-0.02-1042.7
7-84026.89103515249.519861.9231863.84-11288.17-50845.250.870.86-0.016-815.8
8-34647.47103544952.439877.933806.45-11592.94-50975.290.850.94-0.0065-336.38
915322.68103564754.3710150.3147265.62-11767.97-41352.410.861.030.0028148.76
10-14873.17103535051.4611138.4344977.68-12104.2-44863.460.920.98-0.0025-144.4

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.22. 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 49.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, which is low, don't trade solely on the basis of this study.

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-1140687.17103515249.514459.7633034.3-3591.55-13034.941.241.220.018395.02
atrnil26.4165956.58119457437.8217128.164965.68-9524.43-21827.181.81.090.01554.26
atrnil318.5929983.188246427.2727768.7697448.52-9944.8-21827.182.791.050.0048340.72
atrtrail24.47-14706.812042783512471.6351081.3-6904.04-21141.651.810.97-0.0029-122.56
atrtrail35.03-53132.44117407734.1911614.351081.3-6723.44-21141.651.730.9-0.011-454.12
atrtrail-15.54-61928.5117407734.1911394.451081.3-6723.44-21141.651.690.88-0.012-529.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 49.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
IDFC Performance, X=1, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jan 2019 (2.21%), 08 Apr 2019 (-1.19%)
2018716 Jan 2018 (-3.01%), 07 Mar 2018 (-0.0%), 10 May 2018 (-2.15%), 22 Jun 2018 (0.21%), 16 Jul 2018 (-5.8%), 04 Sep 2018 (0.2%), 06 Dec 2018 (0.13%)
2017730 Jan 2017 (2.83%), 18 May 2017 (0.57%), 27 Jun 2017 (-1.18%), 03 Aug 2017 (-1.05%), 26 Sep 2017 (3.15%), 24 Oct 2017 (0.39%), 04 Dec 2017 (-0.08%)
2016914 Jan 2016 (5.09%), 25 Feb 2016 (-0.67%), 17 Mar 2016 (-0.26%), 02 May 2016 (-0.11%), 23 May 2016 (-0.21%), 06 Jun 2016 (-2.02%), 16 Aug 2016 (-2.04%), 14 Sep 2016 (0.5%), 20 Dec 2016 (-0.19%)
2015707 Jan 2015 (-1.39%), 05 Feb 2015 (0.54%), 10 Mar 2015 (1.57%), 17 Apr 2015 (0.86%), 02 Jun 2015 (1.07%), 28 Jul 2015 (-1.05%), 05 Oct 2015 (-0.32%)
2014803 Jan 2014 (1.09%), 25 Mar 2014 (-3.0%), 11 Apr 2014 (3.28%), 30 May 2014 (-2.61%), 28 Jul 2014 (-1.72%), 23 Sep 2014 (0.11%), 25 Nov 2014 (0.61%), 09 Dec 2014 (-1.46%)
2013911 Jan 2013 (-1.21%), 26 Feb 2013 (-2.85%), 20 Mar 2013 (3.43%), 09 May 2013 (0.39%), 24 May 2013 (-1.16%), 24 Jul 2013 (0.81%), 26 Aug 2013 (16.52%), 11 Nov 2013 (0.68%), 13 Dec 2013 (-0.92%)
2012813 Feb 2012 (-3.18%), 16 Mar 2012 (4.87%), 13 Jul 2012 (-0.07%), 13 Aug 2012 (-2.55%), 29 Aug 2012 (-2.52%), 10 Oct 2012 (-1.85%), 09 Nov 2012 (-2.93%), 18 Dec 2012 (-1.69%)
2011607 Jan 2011 (3.14%), 13 Apr 2011 (1.41%), 14 Jun 2011 (3.43%), 27 Jul 2011 (3.55%), 08 Nov 2011 (2.51%), 13 Dec 2011 (1.65%)
2010621 Jan 2010 (1.82%), 16 Apr 2010 (-0.78%), 26 Jul 2010 (0.86%), 27 Aug 2010 (1.49%), 12 Oct 2010 (-3.18%), 10 Nov 2010 (1.18%)
2009809 Jan 2009 (5.58%), 24 Feb 2009 (0.38%), 02 Jun 2009 (-2.84%), 22 Jul 2009 (1.06%), 06 Aug 2009 (0.76%), 29 Sep 2009 (-2.2%), 26 Oct 2009 (4.41%), 26 Nov 2009 (4.06%)
20081004 Jan 2008 (2.23%), 11 Feb 2008 (3.96%), 03 Mar 2008 (-2.9%), 12 May 2008 (-1.12%), 23 Jun 2008 (-0.56%), 16 Jul 2008 (-6.43%), 21 Aug 2008 (-0.33%), 15 Sep 2008 (2.18%), 20 Nov 2008 (5.03%), 24 Dec 2008 (0.08%)
2007912 Feb 2007 (1.57%), 02 Apr 2007 (1.01%), 28 May 2007 (-0.89%), 06 Jul 2007 (-4.6%), 30 Jul 2007 (-6.52%), 19 Oct 2007 (-1.66%), 05 Nov 2007 (1.08%), 22 Nov 2007 (-0.99%), 17 Dec 2007 (-0.9%)
2006608 Mar 2006 (-0.22%), 27 Apr 2006 (-0.7%), 12 Jul 2006 (1.29%), 08 Sep 2006 (5.2%), 19 Oct 2006 (-2.77%), 07 Nov 2006 (1.69%)
2005107 Dec 2005 (-1.33%)



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