Study: Sell IDFC 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 IDFC 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 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
1-2221.93501931385502.1333034.3-3443.95-12863.531.60.98-0.0018-44.44
2-74726.76502525505658.4331451.19-8647.5-45302.010.650.65-0.036-1494.54
3-71466.12502723546153.726385.22-10331.13-26853.060.60.7-0.037-1429.32
4-46206.98502426488748.8630079.16-9853.06-40897.270.890.82-0.021-924.14
5-61792.39502723548308.5923746.7-12440.19-49544.860.670.78-0.025-1235.85
6-82470.715023274611295.6132612.14-12676.66-55916.780.890.76-0.028-1649.41
7-1166985020304012362.1331240.11-12131.34-50845.251.020.68-0.04-2333.95
8-37480.465024264811335.1833806.45-11904.8-50975.290.950.88-0.013-749.61
9-45931.25025255010170.8628503.18-12008.1-41352.410.850.85-0.017-918.62
10-1318855022284410435.5335828.03-12909.53-44863.460.810.64-0.047-2637.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 38%, which is not acceptable. Avoid this strategy. Average return per trade is -0.022%, 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
atrnil331.0823545.1638102826.3232133.8997448.52-10635.49-21141.653.021.080.0075619.61
nilnil-11-2221.93501931385502.1333034.3-3443.95-12863.531.60.98-0.0018-44.44
atrnil26.74-17822.4857203735.0917856.8664965.68-10134.04-21141.651.760.95-0.0055-312.68
atrtrail35.34-23873.0256203635.7113386.6251081.3-8100.15-21141.651.650.92-0.0085-426.3
atrtrail-16.02-34247.1956203635.7112867.9151081.3-8100.15-21141.651.590.88-0.012-611.56
atrtrail24.82-49047.5157203735.0912951.8151081.3-8326.59-21141.651.560.84-0.018-860.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 26.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0075, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDFC Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Apr 2019 (10.54%)
2015202 Jun 2015 (-2.61%), 05 Oct 2015 (48.72%)
2014611 Apr 2014 (12.04%), 30 May 2014 (-4.48%), 11 Jun 2014 (-4.13%), 28 Jul 2014 (-4.33%), 25 Nov 2014 (-2.98%), 08 Dec 2014 (-2.78%)
2013426 Feb 2013 (-3.29%), 01 Mar 2013 (-4.03%), 24 Jul 2013 (14.27%), 26 Aug 2013 (19.64%)
2012513 Feb 2012 (-4.59%), 24 Feb 2012 (-5.22%), 16 Mar 2012 (14.49%), 13 Jul 2012 (-3.05%), 10 Oct 2012 (-4.48%)
2011207 Jan 2011 (10.55%), 08 Nov 2011 (11.42%)
2010316 Apr 2010 (-3.01%), 26 Jul 2010 (8.08%), 12 Oct 2010 (-3.05%)
2009202 Jun 2009 (-7.24%), 26 Oct 2009 (10.92%)
2008412 Feb 2008 (-8.36%), 23 Jun 2008 (-7.42%), 16 Jul 2008 (-10.57%), 17 Jul 2008 (-9.94%)
2007712 Feb 2007 (-5.97%), 28 May 2007 (-4.2%), 06 Jul 2007 (-4.23%), 09 Jul 2007 (-4.11%), 19 Oct 2007 (-8.8%), 05 Nov 2007 (-8.12%), 22 Nov 2007 (-7.88%)
2006212 Jul 2006 (-5.74%), 07 Nov 2006 (-4.3%)



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