Study: Sell ITC when there is Bearish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ITC when there is Bearish Centerline 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
112158.2794544.446539.9415401.26-2800.29-5264.752.341.870.0451350.92
214162.6994544.44591011506.4-1895.46-4175.493.122.490.0671573.63
325120.5595455.568181.8620594.41-3947.19-10650.532.072.590.0682791.17
426314.5195455.568097.0916355.88-3542.74-5195.222.292.860.0842923.83
519868.8894544.4410504.0516584.99-4429.47-8002.582.371.90.0552207.65
630481.9995455.5610733.4421307.2-5796.3-6840.921.852.310.073386.89
723162.9594544.4411390.1915910.39-4479.56-7140.72.542.030.0632573.66
818469.3694544.4411750.3216674.09-5706.38-8959.492.061.650.0452052.15
912424.4994544.4410243.1711503.2-5709.64-9984.871.791.440.0341380.5
10-16309.9593633.338004.969770.02-6720.81-13676.251.190.6-0.048-1812.22

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.86. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.084, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ITC Performance, X=4, Profit Factor:2.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Dec 2018 (0.24%)
2016108 Feb 2016 (4.81%)
2015223 Apr 2015 (4.08%), 10 Jul 2015 (-2.6%)
2014103 Jan 2014 (-0.27%)
2012102 Jan 2012 (-1.74%)
2008101 Dec 2008 (-2.48%)
2006111 Dec 2006 (2.95%)
2000116 Mar 2000 (8.18%)

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-1426314.5195455.568097.0916355.88-3542.74-5195.222.292.860.0842923.83
atrnil38.8259087.23114736.3624060.5952978.88-5307.88-12323.24.532.590.0625371.57
atrnil24.3627006.44114736.3616040.3935319.26-5307.88-12323.23.021.730.042455.13
atrtrail23.64-2373.1114736.367364.569990.5-4547.33-12323.21.620.93-0.0067-215.74
atrtrail33.91-13927.59114736.364475.936432.55-4547.33-12323.20.980.56-0.049-1266.14
atrtrail-13.91-13927.59114736.364475.936432.55-4547.33-12323.20.980.56-0.049-1266.14

In the table above, row 1 shows the best exit criterion. Profit factor is 2.86. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.084, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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