Study: Sell KOTAKBANK 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 KOTAKBANK 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 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
165174.3991523957.144069.115135.89-3754.32-18702.871.081.450.029716.2
298618.3591533858.245944.6929933.77-5696.05-32578.561.041.460.0261083.72
323090691543759.349766.67116744-8013.36-49403.051.221.780.0312537.43
412017591474451.6510479.99111980-8463.29-32825.581.241.320.0171320.6
536041.189045455011092.9114485-10291.99-42020.041.081.080.0046400.46
614810390494154.4412939.21115655-11851.67-37958.011.091.30.0181645.59
773114.1890444648.8914502.71117832-12282.72-51526.721.181.130.0081812.38
8-11667.390474352.2214170.6120070-15760.13-66035.410.90.98-0.0012-129.64
9-23589.690464451.1115572.52121363-16816.49-66337.310.930.97-0.0023-262.11
10-5750990444648.8916835.6120131-17353.81-92748.090.970.93-0.0051-638.99
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-15.4658576.78101386337.6213543.44102029-7239.27-26062.421.871.130.0071579.97
atrnil25.98-87028.13102346833.3316317.5639396.07-9438.61-30750.281.730.86-0.013-853.22
atrtrail34.66-82172.73102386437.2510109.3735978.09-7286.39-26062.421.390.82-0.015-805.61
atrnil38.25-137117102257724.5123463.2155844.26-9398.66-30750.282.50.81-0.018-1344.28
atrtrail24.18-98739.41103386536.899869.0737229.51-7288.68-26062.421.350.79-0.019-958.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 37.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0071, 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:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Apr 2019 (-2.06%), 23 Apr 2019 (-1.8%), 09 May 2019 (-1.88%), 06 Jun 2019 (1.36%)
2018219 Jul 2018 (2.95%), 07 Sep 2018 (1.03%)
2017829 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%), 25 Oct 2017 (-2.58%)
2016406 Jan 2016 (2.89%), 14 Jun 2016 (-2.0%), 15 Jun 2016 (1.98%), 16 Sep 2016 (0.57%)
2015127 Jan 2015 (2.52%)
2014802 Apr 2014 (-0.63%), 16 Apr 2014 (-2.54%), 30 Apr 2014 (-2.63%), 26 May 2014 (-2.66%), 23 Jun 2014 (0.13%), 11 Sep 2014 (1.97%), 17 Nov 2014 (0.15%), 18 Dec 2014 (-1.45%)
2013219 Aug 2013 (-4.07%), 28 Aug 2013 (-4.69%)
2012424 Feb 2012 (-1.88%), 16 Jul 2012 (8.37%), 09 Oct 2012 (3.56%), 14 Dec 2012 (0.61%)
2011507 Jan 2011 (1.6%), 27 Jan 2011 (9.36%), 07 Apr 2011 (-2.1%), 27 Apr 2011 (6.5%), 21 Jul 2011 (-2.94%)
2010718 Mar 2010 (-0.03%), 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%)
2009305 Mar 2009 (-7.83%), 28 Apr 2009 (-8.63%), 03 Jun 2009 (-4.39%)
2008304 Mar 2008 (1.97%), 20 Aug 2008 (-2.83%), 19 Nov 2008 (-13.03%)
2007412 Feb 2007 (-5.34%), 11 May 2007 (-4.1%), 29 May 2007 (-1.65%), 11 Jul 2007 (-3.49%)
2006217 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%)
2004527 Apr 2004 (-2.74%), 28 May 2004 (-0.31%), 26 Jul 2004 (-0.19%), 09 Aug 2004 (0.33%), 10 Dec 2004 (-4.58%)
2003702 Jan 2003 (0.73%), 24 Feb 2003 (-1.79%), 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%)
2002325 Jan 2002 (0.66%), 15 Mar 2002 (6.89%), 22 Apr 2002 (-7.6%)
2001312 Sep 2001 (22.32%), 05 Dec 2001 (-6.15%), 06 Dec 2001 (-6.12%)
2000107 Feb 2000 (13.64%)
1999819 Jan 1999 (-6.24%), 16 Mar 1999 (-8.13%), 17 Mar 1999 (-8.09%), 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%)
1998313 Jan 1998 (-3.02%), 30 Mar 1998 (-3.15%), 24 Apr 1998 (-5.4%)
1997221 Aug 1997 (42.35%), 29 Oct 1997 (14.58%)
1996301 Mar 1996 (7.07%), 11 Sep 1996 (3.52%), 11 Nov 1996 (-4.53%)
1995120 Apr 1995 (9.22%)



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