Study: Sell JUBLFOOD 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 JUBLFOOD 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 JUBLFOOD 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
1-13395.4140192147.54238.6618544.67-4472.85-17392.910.950.86-0.018-334.89
2-58813.85402020503884.6912337.43-6825.38-33227.870.570.57-0.06-1470.35
3-42148.4940192147.55056.6714322.69-6582.16-21283.670.770.7-0.046-1053.71
4-86005.28401822454543.6215390.66-7626.84-19268.980.60.49-0.094-2150.13
5-60080.83401426356381.8417782.15-5747.18-15923.481.110.6-0.067-1502.02
6-74428.3401624405783.8822663.39-6957.1-161730.830.55-0.079-1860.71
7-47227.5640172342.57012.4523737.92-7236.49-15127.120.970.72-0.043-1180.69
8-68326.25401624408732.0424963.14-8668.28-15773.921.010.67-0.054-1708.16
9-61676.1339162341.039853.0621923.01-9535.88-20269.351.030.72-0.045-1581.44
10-51925.2239192048.728557.5218201.47-10725.9-18593.680.80.76-0.039-1331.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. 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 47.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.

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-11-13395.4140192147.54238.6618544.67-4472.85-17392.910.950.86-0.018-334.89
atrnil24.76-13202051123923.5314951.9723605.11-7985.72-14835.781.870.58-0.082-2588.62
atrtrail23.77-11242752143826.929089.9323605.11-6307.54-14835.781.440.53-0.083-2162.06
atrnil36.08-1577064984116.3320924.529328.71-7929.32-13886.52.640.51-0.095-3218.5
atrtrail34.06-147984501238247096.9723504.65-6135.45-13886.51.160.37-0.13-2959.67
atrtrail-14.34-169727501238245284.9719419.61-6135.45-13886.50.860.27-0.18-3394.55

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 47.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JUBLFOOD Performance, X=1, Profit Factor:0.857

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Apr 2019 (1.06%), 24 Jul 2019 (-1.7%), 07 Aug 2019 (0.55%), 03 Oct 2019 (2.59%)
2018601 Feb 2018 (2.01%), 19 Apr 2018 (1.32%), 31 May 2018 (0.3%), 28 Jun 2018 (-1.62%), 03 Sep 2018 (5.08%), 26 Oct 2018 (-3.59%)
2017522 Mar 2017 (-0.94%), 02 Aug 2017 (2.03%), 22 Aug 2017 (-1.71%), 03 Nov 2017 (-0.27%), 23 Nov 2017 (-5.04%)
2016411 Feb 2016 (9.27%), 12 Apr 2016 (-1.78%), 29 Apr 2016 (-1.76%), 22 Dec 2016 (3.39%)
2015403 Mar 2015 (1.92%), 04 Jun 2015 (1.32%), 09 Jul 2015 (-0.37%), 12 Oct 2015 (0.23%)
2014419 Mar 2014 (-0.33%), 13 Jun 2014 (1.7%), 03 Jul 2014 (-0.16%), 28 Nov 2014 (-0.37%)
2013622 Feb 2013 (-0.59%), 09 May 2013 (-0.65%), 26 Jul 2013 (1.78%), 11 Oct 2013 (2.05%), 22 Nov 2013 (-1.21%), 12 Dec 2013 (1.61%)
2012322 Feb 2012 (-4.03%), 29 Mar 2012 (-8.7%), 08 Oct 2012 (-2.3%)
2011205 May 2011 (-4.43%), 08 Jun 2011 (1.1%)
2010230 Aug 2010 (0.95%), 19 Nov 2010 (-5.43%)



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