Study: Sell KAJARIACER 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 KAJARIACER 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 KAJARIACER 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
1-18698.5294435145.743764.914285.71-3540.97-13742.691.060.9-0.0086-198.92
2-52888.8794494552.134938.4627619.05-6552.74-23884.20.750.82-0.014-562.65
3-11185694524255.326213.4436065.57-10356.08-34598.250.60.74-0.021-1189.96
4-17698594445046.817309.8428571.43-9972.36-38532.110.730.65-0.033-1882.82
5-16455094454947.877498.5227037.04-10244.56-37117.840.730.67-0.03-1750.53
6-22037794454947.878234.0126422.37-12059.33-42249.190.680.63-0.037-2344.43
7-21458994445046.819340.3830998.85-12511.3-50023.050.750.66-0.034-2282.86
8-67624.994445046.8113473.71162308-13209.37-51129.211.020.9-0.0066-719.41
9-11374.8894454947.8714157.24163211-13233.69-57274.541.070.98-0.0011-121.01
10-83740.3194405442.5515738.48162472-13208.88-57950.531.190.88-0.008-890.85
Although, strategy looks good but profit factor on day 6 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
atrnil26.65-257758113308326.5518417.5332754.21-9762.46-25137.861.890.68-0.035-2281.04
atrnil38.94-299332109208918.3528568.5849131.32-9783.18-25137.862.920.66-0.036-2746.16
atrtrail-14.78-25629311228842513790.95163472-7648.09-25137.861.80.6-0.026-2288.33
atrtrail23.9-283483114308426.3211965.2132617.41-7648.09-25137.861.560.56-0.048-2486.69
atrtrail34.3-33786411228842510877.6746404.2-7648.09-25137.861.420.47-0.059-3016.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.68. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:0.682

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 Jan 2019 (-2.47%), 22 Mar 2019 (-2.57%), 23 Apr 2019 (4.61%)
2018525 Apr 2018 (5.0%), 16 Jul 2018 (-3.42%), 06 Sep 2018 (8.91%), 23 Oct 2018 (-6.35%), 29 Nov 2018 (-3.75%)
2017509 Feb 2017 (-3.32%), 27 Apr 2017 (-2.43%), 17 May 2017 (-3.8%), 07 Jun 2017 (7.6%), 05 Dec 2017 (-2.77%)
2016906 May 2016 (-2.38%), 09 May 2016 (-2.35%), 15 Jun 2016 (-2.45%), 21 Jun 2016 (-2.49%), 03 Aug 2016 (-2.56%), 29 Aug 2016 (-2.19%), 20 Oct 2016 (7.04%), 21 Oct 2016 (8.41%), 15 Dec 2016 (-4.57%)
2015219 Feb 2015 (-3.74%), 02 Nov 2015 (-3.07%)
2014802 Jan 2014 (-3.31%), 31 Jan 2014 (-3.14%), 11 Feb 2014 (-2.77%), 28 May 2014 (-4.66%), 29 May 2014 (-4.77%), 08 Aug 2014 (-3.18%), 26 Aug 2014 (-2.94%), 11 Sep 2014 (7.31%)
2013518 Feb 2013 (-3.75%), 14 Mar 2013 (-3.46%), 15 Mar 2013 (-3.79%), 20 May 2013 (-4.25%), 12 Jun 2013 (6.67%)
2012823 Feb 2012 (-3.69%), 24 Feb 2012 (-3.72%), 05 Mar 2012 (-3.91%), 26 Mar 2012 (-4.29%), 03 May 2012 (7.04%), 25 Jul 2012 (7.71%), 10 Dec 2012 (-3.33%), 11 Dec 2012 (7.2%)
2011426 Apr 2011 (-3.99%), 16 May 2011 (-4.72%), 05 Aug 2011 (8.19%), 03 Oct 2011 (-4.02%)
2010321 Jan 2010 (10.12%), 10 May 2010 (8.12%), 15 Oct 2010 (-4.55%)
2009819 Jan 2009 (15.5%), 27 Apr 2009 (-6.42%), 08 Jun 2009 (-8.26%), 09 Jun 2009 (16.31%), 04 Aug 2009 (-6.2%), 05 Aug 2009 (-6.01%), 23 Oct 2009 (8.17%), 21 Dec 2009 (-4.24%)
2008415 Sep 2008 (12.06%), 27 Oct 2008 (-12.57%), 19 Nov 2008 (-9.89%), 29 Dec 2008 (-7.4%)
2007510 Jan 2007 (-4.45%), 06 Mar 2007 (-9.3%), 06 Jun 2007 (-5.81%), 07 Jun 2007 (-6.15%), 18 Jul 2007 (13.18%)
2006408 Feb 2006 (-6.97%), 28 Aug 2006 (-6.07%), 05 Sep 2006 (-5.27%), 04 Oct 2006 (-5.19%)
20051019 Apr 2005 (-4.27%), 27 May 2005 (-3.99%), 17 Jun 2005 (-3.97%), 22 Jun 2005 (-3.85%), 07 Jul 2005 (-3.63%), 27 Jul 2005 (-5.19%), 24 Aug 2005 (-6.56%), 22 Sep 2005 (-5.84%), 23 Sep 2005 (-6.01%), 06 Oct 2005 (9.16%)
2004405 Jan 2004 (13.79%), 04 Aug 2004 (-4.11%), 01 Dec 2004 (-4.77%), 02 Dec 2004 (-4.69%)
2003429 Apr 2003 (-8.36%), 20 Jun 2003 (-5.62%), 22 Jul 2003 (-10.21%), 27 Oct 2003 (-8.17%)
2002409 Apr 2002 (-7.3%), 10 Apr 2002 (-7.09%), 16 May 2002 (-6.43%), 10 Jul 2002 (16.38%)
2001209 Oct 2001 (-5.38%), 20 Dec 2001 (10.01%)
2000411 Jan 2000 (-7.58%), 12 Jan 2000 (-7.54%), 13 Sep 2000 (12.3%), 24 Nov 2000 (-6.02%)
1999219 Jan 1999 (-4.02%), 27 Oct 1999 (15.47%)
1998124 Apr 1998 (-6.56%)
1997124 Dec 1997 (-4.73%)
1996409 Jan 1996 (-2.58%), 18 Jan 1996 (5.62%), 19 Jan 1996 (6.2%), 16 Sep 1996 (4.06%)
1995415 Jun 1995 (-3.92%), 01 Sep 1995 (-3.65%), 11 Oct 1995 (4.84%), 13 Nov 1995 (9.29%)



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