Study: Sell ITC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ITC 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 ITC 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
1-34960.032009510547.53193.9124973.09-3222.68-18002.630.990.9-0.0077-174.8
2-53719.7720086114434597.921176.91-3939.82-21671.871.170.88-0.0092-268.6
3-71413.682009110945.55006.3222748.31-4834.76-26544.021.040.86-0.011-357.07
4-70807.371998911044.725230.3927143.13-4875.56-26749.911.070.87-0.01-355.82
5-38908.471999310646.736576.9432091.94-6137.4-24704.341.070.94-0.0046-195.52
643961.121991019850.756483.7139717.57-6233.61-21609.281.041.070.0051220.91
716713.941991009950.257354.4433888.09-7259.89-273741.011.020.001783.99
824710.71991029751.267546.8734742.2-7681.13-31134.240.981.030.0024124.17
9-1088531999710248.748164.5538774.1-8831.51-32521.680.920.88-0.0099-547
10-75032.651999510447.749192.343446.59-9118.28-39542.141.010.92-0.0063-377.05
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail34.65-1659292557717830.28407.7746071.87-4569.25-12843.441.840.8-0.017-650.7
atrtrail24.33-2038562557717830.27915.2133641.98-4569.25-12843.441.730.75-0.023-799.43
atrtrail-14.97-2163482527417829.377956.6834990.08-4523.27-12843.441.760.73-0.023-858.52
atrnil211.94-3317372086114729.3312576.6433641.98-7475.59-2349931.680.7-0.017-1594.89
atrnil315.69-3915021903915120.5318650.0450462.97-7409.63-2349932.520.65-0.021-2060.54

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 30.2%, which is not acceptable. Avoid this strategy. Average return per trade is -0.33%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:0.796

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019723 Jan 2019 (-1.2%), 19 Feb 2019 (-1.38%), 01 Apr 2019 (-0.1%), 30 Apr 2019 (-1.82%), 23 May 2019 (3.18%), 19 Jul 2019 (-0.22%), 02 Aug 2019 (2.28%)
2018902 Jan 2018 (-1.49%), 17 Jan 2018 (-1.67%), 02 Feb 2018 (2.12%), 19 Mar 2018 (-0.49%), 15 May 2018 (-1.86%), 16 May 2018 (0.37%), 24 Aug 2018 (-1.84%), 12 Nov 2018 (-2.5%), 06 Dec 2018 (-1.08%)
20171014 Feb 2017 (0.94%), 05 Apr 2017 (0.24%), 02 May 2017 (0.56%), 09 Jun 2017 (-0.23%), 17 Jul 2017 (8.92%), 18 Jul 2017 (2.21%), 08 Sep 2017 (-1.88%), 14 Sep 2017 (0.04%), 07 Nov 2017 (0.28%), 05 Dec 2017 (-0.62%)
20161107 Jan 2016 (-2.09%), 08 Jan 2016 (-2.09%), 10 Feb 2016 (1.0%), 06 Apr 2016 (-0.62%), 22 Apr 2016 (-0.92%), 10 Jun 2016 (-2.24%), 13 Jul 2016 (-2.3%), 04 Aug 2016 (-0.02%), 12 Sep 2016 (-1.68%), 16 Nov 2016 (0.4%), 21 Dec 2016 (-1.59%)
20151422 Jan 2015 (-2.4%), 28 Feb 2015 (3.27%), 29 Apr 2015 (-0.78%), 26 May 2015 (-2.36%), 03 Jun 2015 (-0.25%), 27 Jul 2015 (0.44%), 12 Aug 2015 (-1.66%), 25 Aug 2015 (-1.99%), 01 Sep 2015 (-2.72%), 22 Sep 2015 (-2.29%), 30 Oct 2015 (-2.33%), 23 Nov 2015 (-1.94%), 04 Dec 2015 (6.85%), 07 Dec 2015 (-2.85%)
20141307 Jan 2014 (-1.29%), 29 Jan 2014 (-0.06%), 31 Mar 2014 (1.41%), 20 May 2014 (0.43%), 23 Jun 2014 (-2.48%), 06 Aug 2014 (-1.99%), 04 Sep 2014 (-1.82%), 11 Sep 2014 (-1.75%), 16 Sep 2014 (-1.73%), 07 Oct 2014 (2.29%), 25 Nov 2014 (-2.28%), 26 Nov 2014 (-1.51%), 17 Dec 2014 (2.82%)
2013711 Feb 2013 (-1.83%), 04 Apr 2013 (5.55%), 16 May 2013 (-0.21%), 29 Jul 2013 (8.32%), 04 Sep 2013 (-4.71%), 03 Oct 2013 (-3.16%), 22 Nov 2013 (-2.6%)
20121104 Jan 2012 (-2.05%), 25 Jan 2012 (1.37%), 03 Mar 2012 (-1.8%), 12 Mar 2012 (-1.92%), 30 Apr 2012 (1.54%), 04 Jul 2012 (-2.5%), 12 Jul 2012 (-1.16%), 17 Aug 2012 (-1.44%), 04 Sep 2012 (0.54%), 29 Oct 2012 (0.82%), 14 Dec 2012 (3.96%)
20111311 Jan 2011 (-2.41%), 12 Jan 2011 (-0.71%), 21 Jan 2011 (8.27%), 21 Mar 2011 (-2.51%), 13 Jun 2011 (-2.07%), 26 Jul 2011 (-2.11%), 03 Aug 2011 (6.85%), 26 Aug 2011 (-2.84%), 07 Sep 2011 (-0.66%), 04 Oct 2011 (-2.79%), 05 Oct 2011 (-2.77%), 14 Nov 2011 (5.91%), 09 Dec 2011 (-1.95%)
20101813 Jan 2010 (-1.78%), 01 Feb 2010 (-1.73%), 06 Feb 2010 (-0.77%), 26 Feb 2010 (-2.77%), 02 Mar 2010 (-2.82%), 15 Apr 2010 (-2.21%), 16 Apr 2010 (0.16%), 19 May 2010 (-2.93%), 25 May 2010 (-3.32%), 29 Jun 2010 (-2.49%), 02 Jul 2010 (1.78%), 12 Aug 2010 (-2.25%), 13 Aug 2010 (-2.23%), 30 Aug 2010 (-2.26%), 31 Aug 2010 (-2.24%), 09 Sep 2010 (-2.16%), 16 Nov 2010 (-2.58%), 18 Nov 2010 (-2.04%)
20091118 Feb 2009 (-2.66%), 02 Mar 2009 (8.31%), 29 Apr 2009 (-3.62%), 07 May 2009 (-1.24%), 20 May 2009 (-2.85%), 25 Jun 2009 (-3.06%), 06 Aug 2009 (-0.37%), 31 Aug 2009 (-2.27%), 21 Oct 2009 (-3.21%), 30 Oct 2009 (-1.15%), 27 Nov 2009 (2.23%)
2008715 Jan 2008 (-1.54%), 03 Mar 2008 (-1.0%), 22 May 2008 (4.36%), 19 Aug 2008 (-3.0%), 17 Sep 2008 (-4.11%), 25 Sep 2008 (-4.01%), 26 Dec 2008 (-2.41%)
2007905 Jan 2007 (-1.21%), 29 May 2007 (-0.41%), 24 Jul 2007 (-2.16%), 10 Aug 2007 (3.0%), 27 Sep 2007 (-3.24%), 28 Sep 2007 (2.62%), 29 Nov 2007 (-5.08%), 10 Dec 2007 (-4.33%), 11 Dec 2007 (-4.49%)
2006814 Mar 2006 (-1.8%), 12 Apr 2006 (-2.22%), 08 May 2006 (9.22%), 17 Jul 2006 (-1.79%), 11 Sep 2006 (-2.58%), 21 Oct 2006 (-0.19%), 12 Dec 2006 (-3.0%), 13 Dec 2006 (-3.2%)
2005807 Feb 2005 (-2.38%), 16 Mar 2005 (1.76%), 26 Apr 2005 (-2.63%), 27 Apr 2005 (-2.7%), 07 Jun 2005 (-2.38%), 20 Jul 2005 (-0.39%), 10 Aug 2005 (0.83%), 21 Sep 2005 (1.85%)
2004722 Jan 2004 (5.38%), 15 Mar 2004 (2.34%), 27 Apr 2004 (-3.06%), 23 Jul 2004 (-3.56%), 02 Aug 2004 (-1.15%), 28 Sep 2004 (-2.41%), 13 Dec 2004 (-1.53%)
2003914 Jan 2003 (-2.0%), 17 Jan 2003 (5.84%), 17 Mar 2003 (0.16%), 07 May 2003 (5.77%), 08 May 2003 (-2.87%), 26 May 2003 (-2.8%), 10 Jul 2003 (1.11%), 11 Sep 2003 (2.36%), 23 Oct 2003 (-3.01%)
20021025 Jan 2002 (0.79%), 05 Mar 2002 (0.69%), 25 Apr 2002 (-1.87%), 23 May 2002 (-2.83%), 24 May 2002 (0.13%), 18 Jul 2002 (8.33%), 27 Aug 2002 (-3.63%), 03 Sep 2002 (0.21%), 28 Oct 2002 (0.35%), 26 Dec 2002 (-1.82%)
20011509 Jan 2001 (2.75%), 01 Mar 2001 (-1.22%), 13 Mar 2001 (-5.14%), 14 Mar 2001 (-5.13%), 30 Apr 2001 (9.28%), 05 Jun 2001 (-1.7%), 06 Jul 2001 (-2.06%), 27 Jul 2001 (-2.85%), 30 Jul 2001 (-2.89%), 02 Aug 2001 (-2.91%), 03 Aug 2001 (9.86%), 07 Sep 2001 (-4.45%), 06 Nov 2001 (-2.53%), 28 Nov 2001 (-4.23%), 12 Dec 2001 (-0.6%)
20001420 Jan 2000 (-6.42%), 21 Jan 2000 (5.81%), 24 Feb 2000 (11.55%), 21 Mar 2000 (-4.86%), 05 Apr 2000 (-6.13%), 13 Apr 2000 (23.04%), 27 Jun 2000 (-4.61%), 28 Jun 2000 (-4.56%), 17 Jul 2000 (-4.62%), 18 Jul 2000 (4.53%), 23 Aug 2000 (-1.21%), 19 Sep 2000 (-3.7%), 10 Nov 2000 (-2.76%), 22 Dec 2000 (-0.13%)
1999821 Jan 1999 (-0.88%), 17 Feb 1999 (4.54%), 22 Mar 1999 (-0.23%), 25 May 1999 (0.58%), 08 Jul 1999 (-0.8%), 07 Sep 1999 (5.96%), 21 Oct 1999 (-5.75%), 01 Dec 1999 (8.49%)
19981208 Jan 1998 (-0.46%), 19 Mar 1998 (1.65%), 13 Apr 1998 (-2.7%), 15 Apr 1998 (-1.45%), 25 May 1998 (8.22%), 24 Jul 1998 (-2.75%), 22 Sep 1998 (-2.63%), 05 Oct 1998 (-3.48%), 06 Oct 1998 (-3.55%), 31 Oct 1998 (-3.38%), 19 Nov 1998 (7.0%), 18 Dec 1998 (-2.27%)
19971131 Jan 1997 (-1.62%), 18 Feb 1997 (1.86%), 11 Mar 1997 (-4.44%), 12 Mar 1997 (12.92%), 09 May 1997 (-1.01%), 23 Jun 1997 (-3.18%), 10 Jul 1997 (9.68%), 19 Aug 1997 (-0.89%), 24 Sep 1997 (-2.95%), 24 Oct 1997 (5.93%), 11 Dec 1997 (-2.41%)
1996809 Jan 1996 (11.76%), 29 Feb 1996 (1.29%), 06 May 1996 (-3.7%), 20 May 1996 (-1.36%), 01 Jul 1996 (-1.12%), 13 Sep 1996 (-0.72%), 17 Oct 1996 (-3.02%), 01 Nov 1996 (12.12%)
1995520 Apr 1995 (9.66%), 26 Jun 1995 (-2.9%), 03 Aug 1995 (-4.05%), 11 Aug 1995 (-3.83%), 25 Aug 1995 (2.44%)



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