Study: Sell KTKBANK 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 KTKBANK 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 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
1-5901.6976354146.054220.1521052.63-3746.51-10244.791.130.96-0.0033-77.65
2-15100776284836.847356.8831629.91-7437.5-19631.90.990.58-0.049-1986.94
3-16938776324442.117668.8532298.14-9427.05-46093.130.810.59-0.044-2228.77
4-11515076344244.748935.8645859.21-9975.47-41077.020.90.73-0.027-1515.14
5-14160176314540.791079948550.72-10586-44988.161.020.7-0.029-1863.17
6-17155676334343.4211178.2845962.73-12568.35-52722.970.890.68-0.033-2257.31
7-14284176334343.4212866.4854658.39-13196.15-55406.470.980.75-0.025-1879.48
8-13094276334343.4213653.449585.92-13523.35-59037.11.010.77-0.022-1722.92
9-27179576304639.4714308.6644616.98-15240.32-64719.810.940.61-0.04-3576.25
10-42787976304639.4714330.2440993.79-18647.53-81138.210.770.5-0.055-5629.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.96. 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 46.05%, which is not acceptable. Avoid this strategy. Average return per trade is -0.039%, 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-11-5901.6976354146.054220.1521052.63-3746.51-10244.791.130.96-0.0033-77.65
atrtrail34.18-15458991226924.1815875.2438123.39-7302.09-17908.542.170.69-0.033-1698.78
atrtrail23.74-15786691236825.2714972.1828857.35-7385.67-17908.542.030.69-0.037-1734.79
atrnil26.85-20622491246726.3718305.0728909.76-9635.01-17908.541.90.68-0.041-2266.2
atrtrail-14.56-19860790226824.4413074.0642229.93-7150.53-17908.541.830.59-0.049-2206.74
atrnil310.15-31007589157416.8526896.338123.39-9642.16-17908.542.790.57-0.057-3483.99

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 46.05%, which is not acceptable. Avoid this strategy. Average return per trade is -0.039%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:0.962

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Apr 2019 (-4.15%)
2018207 Mar 2018 (-0.04%), 27 Aug 2018 (0.29%)
2017624 Jan 2017 (-0.22%), 21 Mar 2017 (1.41%), 26 Apr 2017 (-0.1%), 12 May 2017 (1.0%), 22 Aug 2017 (-2.45%), 08 Nov 2017 (-0.58%)
2016811 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%), 25 Oct 2016 (1.49%), 16 Nov 2016 (-1.08%)
2015109 Jul 2015 (-2.78%)
2014307 Apr 2014 (-3.92%), 02 May 2014 (0.37%), 29 May 2014 (2.03%)
2013420 May 2013 (5.16%), 26 Jul 2013 (2.9%), 30 Sep 2013 (-2.64%), 25 Oct 2013 (3.62%)
2012523 Feb 2012 (2.7%), 23 Jul 2012 (-1.19%), 13 Sep 2012 (-2.63%), 29 Oct 2012 (-3.02%), 13 Dec 2012 (-2.19%)
2011425 Feb 2011 (-0.57%), 17 Mar 2011 (1.78%), 22 Jun 2011 (-2.47%), 26 Sep 2011 (-0.76%)
2010527 Apr 2010 (1.18%), 08 Jun 2010 (0.73%), 02 Jul 2010 (-1.99%), 18 Oct 2010 (0.7%), 15 Nov 2010 (4.95%)
2009429 Apr 2009 (-4.68%), 08 Jun 2009 (-2.94%), 05 Oct 2009 (-0.94%), 27 Oct 2009 (2.12%)
2008221 Jan 2008 (10.53%), 25 Nov 2008 (-0.54%)
2007513 Feb 2007 (0.25%), 02 Apr 2007 (0.93%), 25 May 2007 (-1.84%), 27 Jul 2007 (-1.52%), 09 Oct 2007 (3.31%)
2006306 Jun 2006 (8.77%), 01 Sep 2006 (-5.12%), 11 Oct 2006 (-1.81%)
2005502 May 2005 (-1.1%), 26 May 2005 (-2.5%), 21 Jun 2005 (0.71%), 21 Jul 2005 (-1.52%), 12 Aug 2005 (2.04%)
2004316 Apr 2004 (-0.15%), 15 Oct 2004 (1.37%), 02 Dec 2004 (-0.28%)
2003431 Jan 2003 (-0.86%), 04 Jun 2003 (2.68%), 28 Aug 2003 (2.22%), 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%)
2001305 Mar 2001 (-3.35%), 12 Sep 2001 (-2.92%), 19 Nov 2001 (-0.49%)
2000227 Jul 2000 (-3.11%), 05 Sep 2000 (-2.46%)



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