Study: Sell KOTAKBANK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell KOTAKBANK when there is Bearish 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 KOTAKBANK 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
143314.49192959749.484215.5720710.38-3682.11-18702.871.141.120.0088225.6
21279501921019152.65947.2329933.77-5194.73-32578.561.141.270.017666.41
32704271921019152.68505.74116744-6468.72-49403.051.311.460.0221408.47
463374.251929110147.49345.95111980-7793.14-44137.931.21.080.005330.07
5-39504.191918810346.0710715.48114485-9538.51-51361.871.120.96-0.0027-206.83
61903821911009152.3612034.57115655-11132.7-72373.541.081.190.012996.76
7150824191939848.6914218.54117832-11954.09-1034481.191.130.0082789.65
852517.75191959649.7414365.49120070-13668.79-79310.341.051.040.0028274.96
933047.25191969550.2614801.5121363-14609.44-66337.311.011.020.0017173.02
10-50174.861919110047.6415810.34120131-14889.16-92748.091.060.97-0.0024-262.7
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
atrtrail-15.3967065.422247015431.2514892.81102029-6333.97-26062.422.351.070.0042299.4
atrnil37.99-22232.372135216124.4126045.4371724.83-8550.28-30750.283.050.98-0.0013-104.38
atrtrail34.65-55438.062267015630.9713425.6871724.83-6379.72-26062.422.10.94-0.0042-245.3
atrnil25.79-84976.78225721533216873.1547816.55-8495.71-30750.281.990.93-0.0059-377.67
atrtrail24.2-1767752277015730.8411798.5147816.55-6386.44-26062.421.850.82-0.015-778.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0042, 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.
KOTAKBANK Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191130 Jan 2019 (-2.3%), 31 Jan 2019 (-2.35%), 18 Feb 2019 (3.07%), 04 Apr 2019 (-2.06%), 23 Apr 2019 (-1.8%), 09 May 2019 (-1.88%), 06 Jun 2019 (1.36%), 22 Jul 2019 (-2.19%), 23 Jul 2019 (-1.61%), 05 Aug 2019 (-2.47%), 19 Aug 2019 (-0.55%)
2018606 Feb 2018 (-2.23%), 09 Mar 2018 (-1.94%), 14 Mar 2018 (2.12%), 19 Jul 2018 (2.95%), 07 Sep 2018 (1.03%), 19 Dec 2018 (-0.19%)
20171129 Mar 2017 (-1.85%), 07 Apr 2017 (-1.86%), 05 May 2017 (-1.56%), 22 May 2017 (-1.16%), 31 May 2017 (-1.24%), 27 Jun 2017 (1.02%), 07 Aug 2017 (-0.29%), 26 Sep 2017 (-0.5%), 25 Oct 2017 (-2.58%), 01 Dec 2017 (-1.11%), 28 Dec 2017 (-0.99%)
20161106 Jan 2016 (2.89%), 03 Feb 2016 (-2.73%), 11 Feb 2016 (-1.75%), 08 Apr 2016 (-2.43%), 25 Apr 2016 (-2.34%), 14 Jun 2016 (-2.0%), 15 Jun 2016 (1.98%), 22 Jul 2016 (-0.73%), 10 Aug 2016 (-1.92%), 16 Sep 2016 (0.57%), 15 Nov 2016 (5.96%)
2015827 Jan 2015 (2.52%), 13 Mar 2015 (-0.96%), 21 Apr 2015 (-1.49%), 03 Jun 2015 (2.24%), 24 Jul 2015 (-1.06%), 21 Aug 2015 (5.5%), 06 Nov 2015 (-1.24%), 03 Dec 2015 (-0.74%)
20141023 Jan 2014 (5.18%), 02 Apr 2014 (-0.63%), 16 Apr 2014 (-2.54%), 30 Apr 2014 (-2.63%), 26 May 2014 (-2.66%), 23 Jun 2014 (0.13%), 06 Aug 2014 (-2.56%), 11 Sep 2014 (1.97%), 17 Nov 2014 (0.15%), 18 Dec 2014 (-1.45%)
20131113 Feb 2013 (-1.56%), 13 Mar 2013 (-2.06%), 05 Apr 2013 (0.17%), 19 Jul 2013 (-3.65%), 25 Jul 2013 (2.74%), 19 Aug 2013 (-4.07%), 28 Aug 2013 (-4.69%), 27 Sep 2013 (-4.13%), 25 Oct 2013 (-3.6%), 11 Nov 2013 (-2.97%), 13 Dec 2013 (-0.0%)
2012824 Feb 2012 (-1.88%), 03 May 2012 (0.07%), 16 Jul 2012 (8.37%), 03 Sep 2012 (-1.3%), 09 Oct 2012 (3.56%), 13 Nov 2012 (-2.09%), 20 Nov 2012 (-2.31%), 14 Dec 2012 (0.61%)
20111107 Jan 2011 (1.6%), 27 Jan 2011 (9.36%), 22 Mar 2011 (-3.34%), 07 Apr 2011 (-2.1%), 27 Apr 2011 (6.5%), 20 Jun 2011 (-2.11%), 21 Jul 2011 (-2.94%), 26 Sep 2011 (-3.5%), 03 Oct 2011 (-0.08%), 14 Nov 2011 (8.9%), 19 Dec 2011 (0.98%)
20101514 Jan 2010 (-2.35%), 22 Jan 2010 (0.61%), 22 Feb 2010 (-2.84%), 18 Mar 2010 (-0.03%), 16 Apr 2010 (-3.04%), 21 May 2010 (-1.71%), 08 Jun 2010 (-3.17%), 25 Jun 2010 (-2.07%), 26 Jul 2010 (-2.5%), 27 Aug 2010 (-2.42%), 30 Aug 2010 (1.01%), 30 Sep 2010 (-2.94%), 12 Oct 2010 (-3.11%), 13 Oct 2010 (7.92%), 08 Dec 2010 (-1.01%)
2009912 Jan 2009 (13.39%), 05 Mar 2009 (-7.83%), 28 Apr 2009 (-8.63%), 03 Jun 2009 (-4.39%), 18 Aug 2009 (-2.84%), 07 Oct 2009 (-3.79%), 23 Oct 2009 (6.28%), 24 Nov 2009 (-2.51%), 04 Dec 2009 (-0.74%)
2008810 Jan 2008 (-4.84%), 04 Mar 2008 (1.97%), 12 May 2008 (-3.51%), 20 Jun 2008 (18.57%), 20 Aug 2008 (-2.83%), 12 Sep 2008 (-2.72%), 19 Nov 2008 (-13.03%), 29 Dec 2008 (-9.0%)
2007912 Feb 2007 (-5.34%), 11 May 2007 (-4.1%), 29 May 2007 (-1.65%), 11 Jul 2007 (-3.49%), 30 Jul 2007 (-4.11%), 31 Jul 2007 (-0.41%), 10 Aug 2007 (8.12%), 05 Nov 2007 (-1.26%), 14 Dec 2007 (2.28%)
2006514 Feb 2006 (-0.15%), 08 Mar 2006 (-4.99%), 13 Mar 2006 (-5.14%), 17 May 2006 (16.0%), 20 Oct 2006 (-3.24%)
2005803 Jan 2005 (-3.9%), 06 Jan 2005 (1.38%), 17 Feb 2005 (-3.27%), 15 Mar 2005 (-5.28%), 15 Jun 2005 (-1.1%), 18 Jul 2005 (-3.85%), 22 Aug 2005 (51.01%), 22 Dec 2005 (2.28%)
20041406 Jan 2004 (-4.92%), 03 Feb 2004 (-2.34%), 27 Feb 2004 (-3.39%), 05 Mar 2004 (-3.01%), 30 Mar 2004 (-2.84%), 31 Mar 2004 (-2.91%), 07 Apr 2004 (-2.46%), 27 Apr 2004 (-2.74%), 28 Apr 2004 (-2.57%), 28 May 2004 (-0.31%), 26 Jul 2004 (-0.19%), 09 Aug 2004 (0.33%), 11 Oct 2004 (-1.48%), 10 Dec 2004 (-4.58%)
20031302 Jan 2003 (0.73%), 24 Feb 2003 (-1.79%), 08 Apr 2003 (1.59%), 28 May 2003 (-4.45%), 29 May 2003 (-3.45%), 10 Jun 2003 (-1.18%), 25 Jun 2003 (-4.38%), 07 Aug 2003 (0.17%), 22 Aug 2003 (-0.18%), 22 Sep 2003 (-6.01%), 22 Oct 2003 (-6.05%), 23 Oct 2003 (-5.59%), 08 Dec 2003 (-3.95%)
2002725 Jan 2002 (0.66%), 15 Mar 2002 (6.89%), 22 Apr 2002 (-7.6%), 16 Jul 2002 (-5.23%), 22 Jul 2002 (-6.02%), 22 Aug 2002 (0.92%), 17 Oct 2002 (8.59%)
2001712 Sep 2001 (22.32%), 19 Oct 2001 (-5.13%), 22 Oct 2001 (-4.97%), 02 Nov 2001 (-4.6%), 08 Nov 2001 (-4.24%), 05 Dec 2001 (-6.15%), 06 Dec 2001 (-6.12%)
2000207 Feb 2000 (13.64%), 14 Mar 2000 (21.91%)
19991119 Jan 1999 (-6.24%), 16 Mar 1999 (-8.13%), 17 Mar 1999 (-8.09%), 23 Mar 1999 (-8.44%), 31 Mar 1999 (7.05%), 13 May 1999 (-6.95%), 14 Jun 1999 (-1.49%), 28 Jul 1999 (5.24%), 27 Aug 1999 (2.49%), 01 Nov 1999 (-9.45%), 29 Dec 1999 (-5.9%)
1998813 Jan 1998 (-3.02%), 30 Mar 1998 (-3.15%), 24 Apr 1998 (-5.4%), 19 Jun 1998 (10.92%), 03 Aug 1998 (-2.7%), 29 Sep 1998 (9.99%), 17 Nov 1998 (-6.11%), 15 Dec 1998 (-1.41%)
1997821 Jan 1997 (-4.72%), 13 Mar 1997 (3.06%), 29 Apr 1997 (-4.53%), 30 Apr 1997 (24.34%), 22 Jul 1997 (-5.91%), 23 Jul 1997 (-2.17%), 21 Aug 1997 (42.35%), 29 Oct 1997 (14.58%)
1996810 Jan 1996 (9.81%), 01 Mar 1996 (7.07%), 16 Apr 1996 (-3.45%), 25 Jun 1996 (18.13%), 19 Aug 1996 (-3.3%), 11 Sep 1996 (3.52%), 11 Nov 1996 (-4.53%), 26 Nov 1996 (21.1%)
1995520 Apr 1995 (9.22%), 15 Jun 1995 (-1.72%), 30 Jun 1995 (6.07%), 03 Aug 1995 (22.98%), 25 Oct 1995 (11.3%)



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