Study: Sell JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
1-10774.6758213736.215738.1120747.21-3547.97-14373.361.620.92-0.0076-185.77
269638.7958302851.727153.3322570.29-5177.18-13146.361.381.480.0371200.67
310404858302851.7210813.748658.36-7870.13-25241.821.371.470.0351793.92
415685.2658263244.8311617.0564963.41-8948.69-26119.561.31.050.0044270.44
5-31113.3558253343.113419.1949993.58-11108.88-32786.891.210.92-0.0082-536.44
6-11944658263244.8311033.7438259.08-12697.61-49406.370.870.71-0.031-2059.42
7-71230.6558253343.113615.946783.93-12473.58-40012.51.090.83-0.018-1228.11
8-41268.115829295012717.654333.03-14140.64-47223.690.90.9-0.0093-711.52
9-13214.1858312753.4512814.7956207.47-15202.69-51084.080.840.97-0.0029-227.83
1029821.7358322655.1712873.5556541.28-14697.38-45372.820.881.080.0068514.17
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
atrtrail2466407.3567254237.3115823.4931393.58-7837.61-16464.262.021.20.018991.15
atrnil26.148925.3466224433.3321109.8931393.58-10352.1-16464.262.041.020.0021135.23
atrtrail34.67-8375.3666244236.3613366.8541694.26-7837.61-16464.261.710.97-0.0024-126.9
atrtrail-15.28-16250.3765244136.9212726.0547668.73-7845.75-16464.261.620.95-0.0047-250.01
atrnil38.54-11469063125119.0534055.547090.37-10261.89-16464.263.320.78-0.025-1820.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 37.31%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
JISLJALEQS Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018618 Jan 2018 (-5.05%), 31 Jan 2018 (9.37%), 01 Feb 2018 (11.84%), 05 Jun 2018 (-4.43%), 23 Jul 2018 (-6.4%), 20 Aug 2018 (-2.9%)
2017111 Dec 2017 (8.1%)
2016222 Sep 2016 (0.58%), 20 Dec 2016 (-4.3%)
2015103 Jun 2015 (-2.95%)
2014403 Jun 2014 (-6.11%), 06 Jun 2014 (-5.99%), 11 Jun 2014 (11.92%), 24 Sep 2014 (10.04%)
2013601 Jan 2013 (-3.37%), 28 Feb 2013 (-5.34%), 22 Mar 2013 (10.46%), 21 May 2013 (-3.36%), 05 Jun 2013 (10.15%), 11 Nov 2013 (-5.25%)
2012117 Jul 2012 (-3.62%)
2011517 Mar 2011 (-2.68%), 15 Apr 2011 (-3.41%), 08 Jun 2011 (7.56%), 03 Nov 2011 (-5.44%), 04 Nov 2011 (-6.23%)
2010723 Mar 2010 (-3.58%), 25 Mar 2010 (-0.72%), 13 Apr 2010 (-3.7%), 03 May 2010 (9.51%), 28 Jul 2010 (-2.77%), 11 Aug 2010 (-3.67%), 12 Nov 2010 (1.14%)
2009713 Jan 2009 (0.64%), 12 May 2009 (-2.31%), 09 Jun 2009 (-6.7%), 22 Jul 2009 (-1.97%), 30 Sep 2009 (-0.9%), 02 Dec 2009 (7.47%), 21 Dec 2009 (-1.47%)
2008417 Jan 2008 (13.08%), 18 Jan 2008 (-3.75%), 18 Aug 2008 (13.12%), 03 Oct 2008 (13.9%)
2007205 Jan 2007 (-1.2%), 12 Dec 2007 (-6.52%)
2006530 Jan 2006 (-4.68%), 08 Feb 2006 (11.11%), 03 Oct 2006 (-3.6%), 24 Nov 2006 (1.84%), 29 Dec 2006 (-3.75%)
2005505 Jan 2005 (-4.8%), 04 Mar 2005 (3.7%), 24 Aug 2005 (-5.49%), 20 Sep 2005 (-0.48%), 19 Dec 2005 (-4.28%)
2004328 Apr 2004 (14.19%), 15 Oct 2004 (0.36%), 17 Dec 2004 (-2.16%)
2003510 Jan 2003 (6.88%), 05 Jun 2003 (3.74%), 17 Jul 2003 (-1.36%), 26 Dec 2003 (-8.23%), 29 Dec 2003 (15.7%)
2002314 May 2002 (1.4%), 12 Jul 2002 (-5.57%), 18 Nov 2002 (-4.06%)



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