Study: Sell KTKBANK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell KTKBANK 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 KTKBANK 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
159707.64150826854.673715.9821052.63-3602.98-16833.671.031.240.019398.05
2-46455.53150747649.335605.9131629.91-6069.64-19631.90.920.9-0.0092-309.7
3-49122.751507575506937.2332298.14-7592.2-46093.130.910.91-0.0076-327.49
4-28594.051507575508247.5945859.21-8628.85-41077.020.960.96-0.0038-190.63
5-145488150678344.679529.848550.72-9445.6-44988.161.010.81-0.017-969.92
6-186362149668344.310533.545962.73-10621.36-52722.970.990.79-0.02-1250.75
7-103758149707946.9811443.9454658.39-11453.6-55406.4710.89-0.01-696.36
8-181925149688145.6412206.4749585.92-12493.4-62755.320.980.82-0.016-1220.97
9-292450149678244.9713808.3244616.98-14848.87-74489.350.930.76-0.022-1962.75
10-470221149688145.6414674.1540993.79-18124.24-93911.720.810.68-0.031-3155.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.24. 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 54.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.

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-1159707.64150826854.673715.9821052.63-3602.98-16833.671.031.240.019398.05
atrtrail34.53-84108.281755711832.5712497.0538123.39-6749.49-17908.541.850.89-0.0099-480.62
atrnil26.57-1391021735411931.2117306.0228909.76-9022.07-17908.541.920.87-0.015-804.06
atrnil39.35-1687321643812623.1725711.3740127.99-9093.37-17908.542.830.85-0.016-1028.85
atrtrail24.02-1263441765911733.5211330.1228857.35-6793.35-17908.541.670.84-0.017-717.87
atrtrail-14.98-1594151745611832.1811115.2942229.93-6626.03-17908.541.680.8-0.02-916.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 54.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
KTKBANK Performance, X=1, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Jan 2019 (1.19%), 04 Apr 2019 (-4.15%), 07 Jun 2019 (-0.7%)
2018922 Jan 2018 (-0.82%), 07 Mar 2018 (-0.04%), 24 Apr 2018 (0.59%), 10 May 2018 (-1.24%), 05 Jun 2018 (-1.69%), 19 Jun 2018 (-0.91%), 19 Jul 2018 (0.59%), 27 Aug 2018 (0.29%), 22 Nov 2018 (-0.15%)
20171024 Jan 2017 (-0.22%), 10 Feb 2017 (1.18%), 21 Mar 2017 (1.41%), 26 Apr 2017 (-0.1%), 12 May 2017 (1.0%), 12 Jun 2017 (-1.55%), 22 Aug 2017 (-2.45%), 25 Sep 2017 (0.81%), 08 Nov 2017 (-0.58%), 29 Nov 2017 (2.73%)
2016906 Jan 2016 (4.8%), 11 Feb 2016 (-1.58%), 03 May 2016 (2.19%), 18 May 2016 (1.92%), 21 Jun 2016 (1.64%), 20 Jul 2016 (0.2%), 15 Sep 2016 (0.1%), 24 Oct 2016 (0.74%), 16 Nov 2016 (-1.08%)
2015828 Jan 2015 (1.49%), 24 Feb 2015 (1.93%), 24 Apr 2015 (1.81%), 08 Jun 2015 (0.72%), 09 Jul 2015 (-2.78%), 12 Aug 2015 (0.93%), 21 Oct 2015 (-0.2%), 08 Dec 2015 (0.9%)
2014709 Jan 2014 (2.28%), 07 Apr 2014 (-3.92%), 02 May 2014 (0.37%), 29 May 2014 (2.03%), 09 Jul 2014 (1.88%), 25 Jul 2014 (0.89%), 17 Sep 2014 (-2.52%)
2013910 Jan 2013 (3.07%), 28 Feb 2013 (2.72%), 21 Mar 2013 (2.72%), 20 May 2013 (5.16%), 11 Jun 2013 (-0.36%), 26 Jul 2013 (2.9%), 30 Sep 2013 (-2.64%), 25 Oct 2013 (3.62%), 11 Dec 2013 (0.94%)
2012623 Feb 2012 (2.7%), 20 Apr 2012 (1.06%), 23 Jul 2012 (-1.19%), 13 Sep 2012 (-2.63%), 29 Oct 2012 (-3.02%), 13 Dec 2012 (-2.19%)
2011927 Jan 2011 (1.57%), 25 Feb 2011 (-0.57%), 17 Mar 2011 (1.78%), 28 Apr 2011 (3.08%), 22 Jun 2011 (-2.47%), 07 Jul 2011 (4.12%), 26 Sep 2011 (-0.76%), 14 Nov 2011 (2.51%), 13 Dec 2011 (0.4%)
2010927 Jan 2010 (-0.38%), 19 Mar 2010 (1.09%), 27 Apr 2010 (1.18%), 08 Jun 2010 (0.73%), 02 Jul 2010 (-1.99%), 24 Aug 2010 (-0.62%), 17 Sep 2010 (-1.02%), 18 Oct 2010 (0.7%), 15 Nov 2010 (4.95%)
2009712 Jan 2009 (1.03%), 24 Feb 2009 (-0.16%), 29 Apr 2009 (-4.68%), 08 Jun 2009 (-2.94%), 29 Jul 2009 (0.81%), 05 Oct 2009 (-0.94%), 27 Oct 2009 (2.12%)
2008721 Jan 2008 (10.53%), 08 Feb 2008 (1.68%), 04 Mar 2008 (0.98%), 23 May 2008 (1.67%), 27 Aug 2008 (0.22%), 15 Sep 2008 (-2.55%), 25 Nov 2008 (-0.54%)
20071108 Jan 2007 (1.12%), 13 Feb 2007 (0.25%), 02 Apr 2007 (0.93%), 18 Apr 2007 (1.59%), 25 May 2007 (-1.84%), 27 Jun 2007 (-2.71%), 27 Jul 2007 (-1.52%), 09 Oct 2007 (3.31%), 05 Nov 2007 (0.28%), 21 Nov 2007 (2.01%), 18 Dec 2007 (2.58%)
2006821 Mar 2006 (1.42%), 24 Apr 2006 (1.45%), 16 May 2006 (-5.65%), 06 Jun 2006 (8.77%), 14 Jul 2006 (2.21%), 01 Sep 2006 (-5.12%), 11 Oct 2006 (-1.81%), 11 Dec 2006 (6.74%)
2005918 Mar 2005 (-1.32%), 02 May 2005 (-1.1%), 26 May 2005 (-2.5%), 21 Jun 2005 (0.71%), 21 Jul 2005 (-1.52%), 12 Aug 2005 (2.04%), 22 Sep 2005 (-0.36%), 13 Oct 2005 (2.33%), 23 Dec 2005 (-3.13%)
2004523 Feb 2004 (-2.81%), 16 Apr 2004 (-0.15%), 02 Aug 2004 (0.24%), 15 Oct 2004 (1.37%), 02 Dec 2004 (-0.28%)
2003831 Jan 2003 (-0.86%), 13 Mar 2003 (1.3%), 21 Apr 2003 (-0.18%), 04 Jun 2003 (2.68%), 29 Jul 2003 (-8.42%), 28 Aug 2003 (2.22%), 07 Nov 2003 (0.72%), 31 Dec 2003 (-1.19%)
2002601 Mar 2002 (1.22%), 27 Mar 2002 (-2.98%), 03 Jul 2002 (0.43%), 17 Sep 2002 (0.69%), 08 Oct 2002 (0.22%), 31 Dec 2002 (-0.17%)
2001601 Feb 2001 (0.84%), 05 Mar 2001 (-3.35%), 05 Jun 2001 (-1.17%), 03 Sep 2001 (-2.64%), 18 Sep 2001 (-2.66%), 19 Nov 2001 (-0.49%)
2000427 Jul 2000 (-3.11%), 05 Sep 2000 (-2.46%), 19 Sep 2000 (-2.31%), 27 Nov 2000 (-0.38%)



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