Study: Sell ITC 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 ITC 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 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
112195.1481394248.154114.624973.09-3530.34-18002.631.171.080.0055150.56
286878.1181414050.625673.5320884.35-3643.41-20367.941.561.60.0331072.57
360839.1381433853.096251.7822748.31-5473.35-26544.021.141.290.019751.1
446565.3381414050.626450.3922297.4-5447.52-20076.711.181.210.015574.88
551915.981414050.627717.5230922.12-6612.56-24704.341.171.20.013640.94
681399.9881433853.097367.3439717.57-6194.63-21010.511.191.350.0221004.94
791113.181443754.328258.2126889.76-7358.06-27112.51.121.330.0221124.85
844605.4481453655.567302.2430592.36-7888.76-26689.50.931.160.011550.68
9-71220.8781384346.917760.6524551.83-8514.55-29147.910.910.81-0.017-879.27
10-49760.7781404149.388048.7325152.53-9066.09-37085.210.890.87-0.011-614.33
Although, strategy looks good but profit factor on day 1 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
atrtrail24.799413.5895356036.847761.8533641.98-4370.85-11508.921.781.040.002799.09
atrtrail35.15-18917.3195356036.846952.3925848.9-4370.85-11508.921.590.93-0.0057-199.13
atrtrail-15.4-25826.9293336035.487033.8728846.84-4299.08-11508.921.640.9-0.0078-277.71
atrnil325.59-33349783156818.0720545.0150462.97-9436.35-2349932.180.48-0.029-4018.03
atrnil221.19-33371283206324.113689.4833641.98-9642.89-2349931.420.45-0.03-4020.63

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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.05%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0027, 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.
ITC Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Apr 2019 (-0.1%), 30 Apr 2019 (-1.82%), 19 Jul 2019 (-0.22%), 02 Aug 2019 (3.52%)
2018224 Aug 2018 (-1.84%), 12 Nov 2018 (-2.5%)
2017514 Feb 2017 (0.94%), 05 Apr 2017 (0.24%), 09 Jun 2017 (-0.23%), 17 Jul 2017 (5.95%), 18 Jul 2017 (2.21%)
2016413 Jul 2016 (-2.3%), 04 Aug 2016 (-0.02%), 12 Sep 2016 (-1.68%), 17 Nov 2016 (0.66%)
2015322 Jan 2015 (-2.4%), 28 Feb 2015 (3.27%), 30 Oct 2015 (-2.33%)
2014531 Mar 2014 (3.9%), 06 Aug 2014 (-1.99%), 07 Oct 2014 (4.05%), 25 Nov 2014 (-2.28%), 26 Nov 2014 (-1.51%)
2013511 Feb 2013 (-1.83%), 16 May 2013 (-0.21%), 29 Jul 2013 (5.55%), 04 Sep 2013 (-4.71%), 22 Nov 2013 (-2.6%)
2012430 Apr 2012 (4.28%), 12 Jul 2012 (-1.16%), 17 Aug 2012 (-1.44%), 04 Sep 2012 (0.54%)
2009425 Jun 2009 (-3.06%), 06 Aug 2009 (-0.37%), 21 Oct 2009 (-3.21%), 30 Oct 2009 (-1.15%)
2008215 Jan 2008 (-1.54%), 22 May 2008 (6.56%)
2007505 Jan 2007 (-1.21%), 24 Jul 2007 (-2.16%), 10 Aug 2007 (3.0%), 27 Sep 2007 (-3.24%), 28 Sep 2007 (6.56%)
2006112 Apr 2006 (-2.22%)
2005407 Jun 2005 (-2.38%), 20 Jul 2005 (-0.39%), 10 Aug 2005 (0.83%), 21 Sep 2005 (1.85%)
2004622 Jan 2004 (8.22%), 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%)
2003614 Jan 2003 (-2.0%), 17 Jan 2003 (3.89%), 17 Mar 2003 (0.16%), 07 May 2003 (3.85%), 08 May 2003 (-2.87%), 11 Sep 2003 (2.36%)
2002625 Jan 2002 (0.79%), 25 Apr 2002 (-1.87%), 23 May 2002 (-2.83%), 24 May 2002 (0.13%), 18 Jul 2002 (5.55%), 26 Dec 2002 (-1.82%)
2001709 Jan 2001 (2.75%), 01 Mar 2001 (-1.22%), 13 Mar 2001 (-5.14%), 14 Mar 2001 (-5.13%), 05 Jun 2001 (-1.7%), 28 Nov 2001 (-4.23%), 12 Dec 2001 (-0.6%)
2000424 Feb 2000 (16.82%), 17 Jul 2000 (-4.62%), 18 Jul 2000 (9.24%), 22 Dec 2000 (-0.13%)
1999521 Jan 1999 (-0.88%), 17 Feb 1999 (5.75%), 22 Mar 1999 (-0.23%), 25 May 1999 (0.58%), 21 Oct 1999 (-5.75%)
1998319 Mar 1998 (1.65%), 13 Apr 1998 (-2.7%), 15 Apr 1998 (-1.45%)
1997631 Jan 1997 (-1.62%), 18 Feb 1997 (1.86%), 11 Mar 1997 (-4.44%), 12 Mar 1997 (8.62%), 23 Jun 1997 (-3.18%), 24 Oct 1997 (8.41%)
1996229 Feb 1996 (1.29%), 17 Oct 1996 (-3.02%)
1995203 Aug 1995 (-4.05%), 11 Aug 1995 (-3.83%)



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