Study: Sell INDUSINDBK 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 INDUSINDBK 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 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
155477.383443953.014758.2425571.73-3945.78-16482.161.211.360.023668.4
2-10991083374644.585576.0927991.45-6874.47-32812.50.810.65-0.031-1324.22
3-13923883354842.176761.4829742.88-7831.05-33928.570.860.63-0.037-1677.57
4-11728.283384545.787747.0233939.39-6802.55-30750.311.140.96-0.0031-141.3
5-48929.7983424150.67206.9843030.3-8576.17-27148.70.840.86-0.012-589.52
6-13392583354842.177903.437575.76-8553-26173.040.920.67-0.034-1613.56
7-18192083344940.967971.2334688.35-9243.71-44201.910.860.6-0.042-2191.81
8-18193383344940.969274.4340379.4-10148.25-39196.430.910.63-0.037-2191.97
9-17096583335039.7610875.2238753.39-10596.95-39732.141.030.68-0.033-2059.82
10-14384183364743.3710327.6432264.96-10970.99-44065.480.940.72-0.027-1733.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.36. 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 53.01%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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-1155477.383443953.014758.2425571.73-3945.78-16482.161.211.360.023668.4
atrnil25.98-81952.8896276928.1220067.3539879.93-9040.17-25447.842.220.87-0.013-853.68
atrtrail23.6-14207098287028.5712306.3939879.93-6952.13-24281.551.770.71-0.028-1449.7
atrtrail33.97-20218096276928.129489.7334172.17-6643.52-24259.921.430.56-0.047-2106.04
atrnil37.59-34915194148014.8927189.8743981.84-9122.61-25447.842.980.52-0.059-3714.37
atrtrail-14.1-26309196276928.127233.7832505.74-6643.52-24259.921.090.43-0.072-2740.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 53.01%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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, X=1, Profit Factor:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Apr 2019 (-1.83%), 22 Aug 2019 (1.88%)
2018419 Apr 2018 (1.1%), 22 May 2018 (2.64%), 29 Jun 2018 (-0.86%), 22 Oct 2018 (-1.64%)
2017715 Feb 2017 (-0.23%), 05 Apr 2017 (-1.48%), 02 May 2017 (0.51%), 15 Jun 2017 (-0.53%), 24 Jul 2017 (0.77%), 10 Aug 2017 (0.25%), 20 Sep 2017 (-0.22%)
2016219 May 2016 (0.15%), 07 Jun 2016 (-0.33%)
2015407 Jan 2015 (-0.85%), 04 Feb 2015 (-0.24%), 11 Mar 2015 (-0.18%), 04 Aug 2015 (-0.04%)
2014603 Apr 2014 (-1.05%), 29 May 2014 (1.62%), 07 Jul 2014 (0.87%), 24 Sep 2014 (1.79%), 17 Nov 2014 (0.46%), 15 Dec 2014 (2.4%)
2013121 May 2013 (0.4%)
2012521 Feb 2012 (4.71%), 13 Jul 2012 (0.16%), 16 Oct 2012 (-1.1%), 20 Nov 2012 (0.18%), 12 Dec 2012 (-1.14%)
2011407 Jan 2011 (2.91%), 28 Jan 2011 (-3.85%), 19 Apr 2011 (-1.14%), 09 Nov 2011 (0.44%)
2010708 Jan 2010 (-0.14%), 27 Jan 2010 (-3.89%), 12 Apr 2010 (-2.29%), 03 May 2010 (-0.69%), 15 Jul 2010 (-2.09%), 25 Aug 2010 (-3.88%), 12 Oct 2010 (0.31%)
2009729 Apr 2009 (-8.24%), 12 Jun 2009 (4.23%), 30 Jun 2009 (-0.41%), 28 Jul 2009 (3.38%), 05 Oct 2009 (0.04%), 27 Oct 2009 (1.93%), 16 Nov 2009 (0.86%)
2008212 Feb 2008 (0.39%), 19 Nov 2008 (8.54%)
2007523 Jan 2007 (-1.86%), 12 Feb 2007 (5.86%), 11 Jul 2007 (-1.55%), 03 Oct 2007 (-0.35%), 14 Dec 2007 (4.75%)
2006222 Feb 2006 (1.59%), 17 Mar 2006 (2.53%)
2005505 Jan 2005 (-1.32%), 17 Jun 2005 (2.08%), 15 Jul 2005 (-2.57%), 02 Aug 2005 (1.26%), 23 Aug 2005 (3.12%)
2004220 Jan 2004 (10.36%), 14 May 2004 (12.79%)
2003727 Jan 2003 (-0.64%), 10 Mar 2003 (-0.0%), 24 Apr 2003 (-0.56%), 13 May 2003 (-1.94%), 11 Aug 2003 (0.4%), 01 Sep 2003 (1.1%), 17 Dec 2003 (0.84%)
2002304 Mar 2002 (1.33%), 14 May 2002 (1.82%), 05 Jul 2002 (-2.49%)
2001218 Sep 2001 (-5.13%), 03 Dec 2001 (2.44%)
2000111 Feb 2000 (-7.35%)
1999429 Jan 1999 (5.94%), 22 Jul 1999 (2.82%), 07 Sep 1999 (-8.06%), 27 Dec 1999 (0.73%)
1998106 Oct 1998 (-4.81%)



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