Study: Sell INDUSINDBK when there is Bearish Crossover in MACD

home > technical-strategy > indusindbk > 25

In this study, we evaluate the performance of strategy "Sell INDUSINDBK 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 INDUSINDBK 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
113583.48169898052.663975.6625571.73-4253.13-21423.280.931.040.00380.38
2-103565169878251.485287.6627991.45-6873.07-35765.260.770.82-0.015-612.81
3-112768169818847.937046.131369.15-7767.07-36506.140.910.84-0.014-667.27
4-17058.35169868350.898223.5854419.41-8726.34-39847.160.940.98-0.0018-100.94
5-89573.67169868350.898636.2843030.3-10027.64-46397.380.860.89-0.0092-530.02
6-208467169759444.3810030.1744905.32-10220.52-67135.820.980.78-0.019-1233.53
7-237720169779245.5610342.8437781.63-11240.42-72484.170.920.77-0.021-1406.63
8-217514169779245.5611552.0442389.76-12032.83-67980.30.960.8-0.018-1287.06
9-237163169779245.5612935.1441536.27-13404.01-73891.630.970.81-0.018-1403.33
10-258549169828748.5212018.3640682.79-14299.48-65306.120.840.79-0.019-1529.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 52.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.04%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.003, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
atrnil26.1547068.091916412733.5118692.4740335.87-9049.21-25447.842.071.040.0038246.43
nilnil-1113583.48169898052.663975.6625571.73-4253.13-21423.280.931.040.00380.38
atrtrail24-1978511976113630.9612333.7239879.93-6986.83-24281.551.770.79-0.02-1004.32
atrtrail34.43-3073621956013530.7710243.3443662.93-6829.35-24259.921.50.67-0.033-1576.22
atrnil38.72-5099031803214817.7826547.3243981.84-9185.25-25447.842.890.62-0.042-2832.79
atrtrail-14.67-3935501956013530.778806.8755984.79-6829.35-24259.921.290.57-0.046-2018.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 33.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0038, 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.
INDUSINDBK Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019721 Feb 2019 (-2.46%), 04 Apr 2019 (-2.66%), 13 Jun 2019 (8.89%), 19 Jul 2019 (7.76%), 23 Aug 2019 (-4.16%), 04 Sep 2019 (-4.26%), 19 Sep 2019 (-3.73%)
20181017 Jan 2018 (-1.9%), 18 Jan 2018 (-1.95%), 06 Feb 2018 (5.04%), 19 Apr 2018 (-1.84%), 22 May 2018 (-1.9%), 29 Jun 2018 (-2.1%), 14 Aug 2018 (3.29%), 22 Oct 2018 (-4.48%), 11 Dec 2018 (-3.19%), 21 Dec 2018 (5.68%)
20171115 Feb 2017 (-2.09%), 05 Apr 2017 (-1.82%), 02 May 2017 (3.32%), 15 Jun 2017 (-1.66%), 24 Jul 2017 (-1.41%), 10 Aug 2017 (-1.63%), 20 Sep 2017 (4.07%), 18 Oct 2017 (3.91%), 15 Nov 2017 (-2.18%), 14 Dec 2017 (-1.74%), 22 Dec 2017 (-1.73%)
20161305 Jan 2016 (3.56%), 08 Feb 2016 (5.57%), 08 Apr 2016 (-2.12%), 11 Apr 2016 (-2.11%), 19 May 2016 (-1.91%), 07 Jun 2016 (3.64%), 13 Jul 2016 (-2.07%), 19 Jul 2016 (-2.08%), 10 Aug 2016 (-2.07%), 29 Sep 2016 (-2.22%), 13 Oct 2016 (4.39%), 09 Nov 2016 (-2.18%), 10 Nov 2016 (4.34%)
2015707 Jan 2015 (-2.19%), 04 Feb 2015 (4.79%), 11 Mar 2015 (-3.02%), 17 Apr 2015 (6.41%), 08 Jun 2015 (-2.7%), 04 Aug 2015 (4.73%), 11 Dec 2015 (-1.92%)
2014727 Jan 2014 (6.3%), 03 Apr 2014 (-2.73%), 29 May 2014 (-3.75%), 07 Jul 2014 (-2.92%), 24 Sep 2014 (-2.47%), 17 Nov 2014 (-2.18%), 15 Dec 2014 (-2.38%)
2013906 Feb 2013 (-2.33%), 21 Feb 2013 (4.62%), 19 Mar 2013 (6.2%), 08 Apr 2013 (-3.52%), 21 May 2013 (-3.34%), 17 Jul 2013 (8.98%), 25 Sep 2013 (-7.36%), 08 Nov 2013 (-4.13%), 13 Dec 2013 (-3.81%)
20121121 Feb 2012 (7.96%), 24 Apr 2012 (-3.39%), 25 Apr 2012 (8.11%), 31 May 2012 (-3.98%), 13 Jul 2012 (7.75%), 29 Aug 2012 (-2.67%), 16 Oct 2012 (-2.61%), 20 Nov 2012 (-2.57%), 12 Dec 2012 (-2.86%), 13 Dec 2012 (-2.89%), 24 Dec 2012 (-2.78%)
20111007 Jan 2011 (-5.14%), 28 Jan 2011 (-5.67%), 09 Feb 2011 (-5.52%), 10 Feb 2011 (-5.5%), 19 Apr 2011 (6.65%), 16 Jun 2011 (-3.16%), 14 Jul 2011 (5.63%), 03 Oct 2011 (-4.27%), 09 Nov 2011 (7.01%), 14 Dec 2011 (9.22%)
20101408 Jan 2010 (-4.13%), 27 Jan 2010 (-4.78%), 28 Jan 2010 (-4.61%), 08 Feb 2010 (-4.56%), 23 Feb 2010 (-3.91%), 12 Apr 2010 (-3.63%), 03 May 2010 (6.81%), 02 Jun 2010 (-5.03%), 15 Jul 2010 (-3.44%), 25 Aug 2010 (-3.14%), 26 Aug 2010 (-3.42%), 12 Oct 2010 (-4.03%), 18 Nov 2010 (-4.95%), 07 Dec 2010 (10.27%)
20091313 Jan 2009 (-9.39%), 19 Feb 2009 (12.44%), 29 Apr 2009 (-7.47%), 04 May 2009 (-7.18%), 11 May 2009 (-7.23%), 12 Jun 2009 (-7.81%), 30 Jun 2009 (-8.43%), 28 Jul 2009 (-7.08%), 04 Sep 2009 (-4.58%), 05 Oct 2009 (-4.54%), 27 Oct 2009 (11.16%), 16 Nov 2009 (11.52%), 21 Dec 2009 (-5.42%)
2008812 Feb 2008 (-12.72%), 04 Mar 2008 (20.17%), 12 May 2008 (14.45%), 24 Jun 2008 (15.84%), 19 Aug 2008 (-6.15%), 10 Sep 2008 (10.63%), 30 Sep 2008 (-6.55%), 19 Nov 2008 (19.94%)
20071023 Jan 2007 (-5.86%), 12 Feb 2007 (13.11%), 11 Jul 2007 (-4.65%), 23 Aug 2007 (-6.56%), 03 Oct 2007 (14.22%), 18 Oct 2007 (-10.4%), 09 Nov 2007 (-8.23%), 22 Nov 2007 (-9.51%), 23 Nov 2007 (-8.9%), 14 Dec 2007 (12.24%)
20061317 Jan 2006 (8.33%), 22 Feb 2006 (-3.56%), 02 Mar 2006 (7.38%), 25 Apr 2006 (-5.68%), 26 Apr 2006 (-5.48%), 16 May 2006 (-6.55%), 17 May 2006 (12.5%), 01 Sep 2006 (-5.48%), 11 Oct 2006 (9.24%), 20 Nov 2006 (-5.16%), 30 Nov 2006 (-4.6%), 01 Dec 2006 (-4.61%), 12 Dec 2006 (-7.47%)
2005805 Jan 2005 (-7.09%), 17 Mar 2005 (8.33%), 20 Apr 2005 (-4.74%), 17 Jun 2005 (-4.59%), 15 Jul 2005 (-4.65%), 02 Aug 2005 (-3.83%), 09 Aug 2005 (-4.48%), 23 Aug 2005 (-4.92%)
2004820 Jan 2004 (11.29%), 21 Jan 2004 (13.7%), 23 Mar 2004 (-5.78%), 14 May 2004 (19.74%), 17 May 2004 (-12.14%), 01 Jul 2004 (12.93%), 03 Aug 2004 (11.95%), 15 Oct 2004 (6.64%)
20031127 Jan 2003 (-4.84%), 07 Mar 2003 (-4.22%), 25 Mar 2003 (-3.8%), 24 Apr 2003 (-3.23%), 13 May 2003 (-3.6%), 14 May 2003 (-3.57%), 06 Jun 2003 (-5.59%), 11 Aug 2003 (-4.82%), 01 Sep 2003 (11.29%), 23 Oct 2003 (-4.33%), 17 Dec 2003 (-5.66%)
2002504 Mar 2002 (-8.01%), 14 May 2002 (9.6%), 05 Jul 2002 (10.0%), 20 Sep 2002 (8.15%), 26 Dec 2002 (-3.92%)
2001218 Sep 2001 (-7.37%), 03 Dec 2001 (11.02%)
2000111 Feb 2000 (-8.48%)
1999829 Jan 1999 (11.92%), 10 Mar 1999 (15.65%), 26 Apr 1999 (-6.68%), 28 May 1999 (-6.78%), 22 Jul 1999 (11.39%), 07 Sep 1999 (-8.23%), 21 Oct 1999 (14.55%), 27 Dec 1999 (-8.11%)
1998530 Apr 1998 (12.09%), 27 Jul 1998 (-4.88%), 17 Aug 1998 (6.96%), 06 Oct 1998 (14.66%), 15 Dec 1998 (8.25%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play