Study: Sell INDIACEM 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 INDIACEM 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 INDIACEM 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
149090.5971393254.934679.6714277.56-4169.27-15789.471.121.370.025691.42
218203.9971353649.35833.7318584.07-5166.02-16447.371.131.10.0076256.39
3-52848.7871333846.487364.7319225.81-7786.45-32392.270.950.82-0.016-744.35
4-25237.6271343747.898855.4627477.88-8819.55-35258.6610.92-0.0062-355.46
5-10540771363550.78982.1628195.94-12250.43-41753.340.730.75-0.022-1484.61
6-85452.8471393254.939383.4127796.61-14106.43-59286.780.670.81-0.016-1203.56
7-33136.5971383353.5212387.1329830.51-15268.11-59286.780.810.93-0.0054-466.71
8-73141.671393254.9311638.234576.27-16469.73-74145.620.710.86-0.011-1030.16
9-82793.171393254.9311739.344931.51-16894.56-70430.910.690.85-0.013-1166.1
10-62706.1471353649.313432.9853041.1-14801.68-66716.20.910.88-0.0095-883.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1149090.5971393254.934679.6714277.56-4169.27-15789.471.121.370.025691.42
atrtrail24.48-16443.9677284936.361128932268.62-6786.45-15891.291.660.95-0.0042-213.56
atrnil39-54863.4175205526.6726327.7948402.93-10571.26-17403.162.490.91-0.0089-731.51
atrtrail35.01-39708.3277275035.0610863.4225872.56-6660.41-15891.291.630.88-0.01-515.69
atrtrail-15.64-49396.9877275035.0610504.5831232.55-6660.41-15891.291.580.85-0.013-641.52
atrnil27.01-14677476235330.2617963.8132268.62-10564.95-17403.161.70.74-0.029-1931.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, X=1, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Mar 2019 (-3.58%), 10 Apr 2019 (-1.86%)
2018407 Mar 2018 (-2.18%), 04 Jun 2018 (3.74%), 28 Jun 2018 (-2.87%), 18 Jul 2018 (0.45%)
2017214 Feb 2017 (2.67%), 12 May 2017 (-5.03%)
2016515 Jan 2016 (7.14%), 21 Apr 2016 (-0.39%), 24 Jun 2016 (-2.5%), 15 Jul 2016 (2.74%), 12 Sep 2016 (-5.59%)
2015105 Feb 2015 (-5.19%)
2014202 Jan 2014 (-0.94%), 28 Apr 2014 (-0.07%)
2013520 Mar 2013 (-0.3%), 05 Apr 2013 (0.98%), 25 Jun 2013 (6.68%), 30 Jul 2013 (-3.81%), 03 Dec 2013 (2.3%)
2012324 Feb 2012 (6.18%), 02 Apr 2012 (0.55%), 23 Oct 2012 (-0.15%)
2011528 Feb 2011 (-3.04%), 27 Apr 2011 (-0.0%), 20 Jun 2011 (2.52%), 02 Aug 2011 (-0.37%), 09 Nov 2011 (0.77%)
2010319 Jan 2010 (1.15%), 16 Apr 2010 (2.15%), 11 Oct 2010 (1.3%)
2009315 Jan 2009 (-0.48%), 18 Mar 2009 (1.26%), 28 Apr 2009 (1.29%)
2007223 Jul 2007 (0.51%), 26 Sep 2007 (-1.45%)
2006314 Feb 2006 (1.89%), 21 Mar 2006 (1.53%), 04 May 2006 (0.62%)
2005311 Jan 2005 (4.12%), 17 Feb 2005 (0.61%), 30 May 2005 (1.18%)
2004103 Sep 2004 (-0.87%)
2003301 Jul 2003 (-2.12%), 28 Aug 2003 (-2.48%), 02 Dec 2003 (1.47%)
2002412 Jul 2002 (2.29%), 26 Aug 2002 (1.82%), 25 Sep 2002 (-2.5%), 09 Dec 2002 (-0.27%)
2001312 Feb 2001 (4.0%), 13 Nov 2001 (-0.95%), 11 Dec 2001 (2.82%)
2000127 Dec 2000 (-3.78%)
1999515 Jan 1999 (-1.31%), 27 May 1999 (0.61%), 15 Jun 1999 (-3.01%), 30 Jul 1999 (0.3%), 23 Aug 1999 (5.84%)
1998416 Jan 1998 (2.42%), 23 Apr 1998 (4.13%), 23 Sep 1998 (2.16%), 06 Nov 1998 (-7.89%)
1997320 Jan 1997 (5.26%), 21 Jul 1997 (-0.98%), 08 Aug 1997 (0.98%)
1996301 Jul 1996 (1.14%), 12 Sep 1996 (1.67%), 22 Nov 1996 (-0.62%)
1995128 Jul 1995 (-0.12%)



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