Study: Sell LICHSGFIN when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN 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 LICHSGFIN 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
1-5279.82180948652.223687.7917564.4-4092.23-20290.250.90.98-0.0011-29.33
229603.341809090505470.4722716.63-5141.54-33744.741.061.060.0047164.46
3-53659.07180899149.446558.1933021.08-7003.72-41068.760.940.92-0.0065-298.11
4-53460.69180889248.897494.8233021.08-7750.05-36240.340.970.93-0.006-297
5-83806.16180928851.117427.5234158.84-8717.48-50740.740.850.89-0.0088-465.59
6-75507.1180879348.338569.7131938.51-8828.73-34907.410.970.91-0.0074-419.48
7-71974.72180938751.679054.3939224.82-10506.13-53654.740.860.92-0.0062-399.86
8-122429180928851.119442.4342622.95-11262.88-60301.10.840.88-0.0097-680.16
9-117298180948652.2210705.7260114.17-13065.54-76576.70.820.9-0.0079-651.66
10-140648180968453.3311344.5957635.39-14639.62-86179.30.770.89-0.0089-781.38
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
atrnil26.261454692057812738.0515283.0141096.51-8240.99-24843.831.851.140.012709.6
atrtrail24.2625848.922128512740.099791.9628280.66-6350.14-15768.241.541.030.0027121.93
atrtrail34.7812421.822088312539.99667.0942420.99-6319.57-15768.241.531.020.001259.72
atrtrail-15.2-62478.32088312539.98764.6848241.86-6319.57-15768.241.390.92-0.0063-300.38
atrnil310.76-1032631904914125.7921793.8642420.99-8306.11-24843.832.620.91-0.008-543.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 38.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
LICHSGFIN Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019603 Jan 2019 (-3.25%), 08 Jan 2019 (6.42%), 10 Apr 2019 (-2.45%), 12 Jun 2019 (-2.61%), 08 Jul 2019 (-2.57%), 11 Jul 2019 (-3.21%)
2018817 Jan 2018 (-2.14%), 29 Jan 2018 (4.8%), 08 Mar 2018 (-2.96%), 19 Apr 2018 (5.23%), 27 Jun 2018 (-2.43%), 16 Aug 2018 (-2.61%), 27 Aug 2018 (6.25%), 04 Dec 2018 (6.93%)
20171003 Jan 2017 (-2.92%), 20 Jan 2017 (-2.61%), 14 Feb 2017 (-2.35%), 02 Mar 2017 (-2.03%), 11 May 2017 (-2.32%), 22 Jun 2017 (3.94%), 20 Sep 2017 (4.39%), 25 Sep 2017 (-2.58%), 25 Oct 2017 (5.48%), 04 Dec 2017 (4.9%)
20161007 Jan 2016 (-2.54%), 12 Jan 2016 (5.2%), 06 Apr 2016 (-2.89%), 20 May 2016 (-2.6%), 20 Jul 2016 (-2.73%), 12 Sep 2016 (-2.46%), 14 Sep 2016 (-2.42%), 13 Oct 2016 (-2.96%), 25 Oct 2016 (5.7%), 20 Dec 2016 (-2.96%)
2015930 Jan 2015 (6.46%), 10 Mar 2015 (6.75%), 21 Apr 2015 (6.31%), 26 May 2015 (-2.99%), 04 Jun 2015 (-3.22%), 08 Jul 2015 (-2.97%), 09 Jul 2015 (-2.95%), 11 Aug 2015 (6.19%), 30 Oct 2015 (6.1%)
2014908 Jan 2014 (6.05%), 25 Mar 2014 (-2.83%), 29 Apr 2014 (-3.29%), 28 May 2014 (-4.98%), 10 Jun 2014 (8.23%), 16 Sep 2014 (-2.88%), 08 Oct 2014 (-3.23%), 25 Nov 2014 (-3.21%), 12 Dec 2014 (6.74%)
2013608 Jan 2013 (4.61%), 20 Mar 2013 (-4.27%), 30 May 2013 (5.98%), 31 May 2013 (-3.45%), 17 Oct 2013 (-4.45%), 08 Nov 2013 (-4.02%)
2012702 Jan 2012 (-3.7%), 21 Feb 2012 (7.0%), 20 Apr 2012 (7.04%), 12 Jul 2012 (5.02%), 08 Aug 2012 (6.21%), 09 Oct 2012 (7.69%), 19 Nov 2012 (-2.75%)
20111012 Jan 2011 (10.15%), 13 Apr 2011 (7.08%), 13 Jun 2011 (5.72%), 07 Jul 2011 (6.82%), 26 Aug 2011 (-4.32%), 14 Sep 2011 (-3.99%), 23 Sep 2011 (-3.73%), 21 Oct 2011 (-4.17%), 14 Nov 2011 (-4.85%), 13 Dec 2011 (-4.22%)
2010922 Jan 2010 (5.84%), 23 Feb 2010 (-3.7%), 15 Apr 2010 (-3.49%), 11 May 2010 (-3.5%), 19 May 2010 (-3.79%), 20 May 2010 (7.48%), 30 Jun 2010 (-2.77%), 11 Oct 2010 (-3.22%), 12 Nov 2010 (6.92%)
20091312 Jan 2009 (-6.65%), 21 Jan 2009 (13.24%), 18 Feb 2009 (-6.24%), 15 May 2009 (-6.69%), 18 May 2009 (-6.47%), 15 Jun 2009 (-6.77%), 18 Jun 2009 (-7.25%), 07 Aug 2009 (-5.63%), 03 Sep 2009 (-4.52%), 06 Oct 2009 (-4.14%), 07 Oct 2009 (-4.16%), 27 Oct 2009 (8.75%), 23 Nov 2009 (9.52%)
2008310 Mar 2008 (-7.04%), 19 Aug 2008 (-4.62%), 19 Nov 2008 (-12.42%)
2007607 Feb 2007 (-3.1%), 03 Apr 2007 (-4.07%), 30 May 2007 (-3.04%), 17 Jul 2007 (7.12%), 12 Nov 2007 (-7.38%), 17 Dec 2007 (-6.32%)
20061102 Feb 2006 (-2.78%), 23 Feb 2006 (-2.87%), 24 Feb 2006 (-2.84%), 01 Mar 2006 (-2.88%), 08 Mar 2006 (5.6%), 27 Apr 2006 (-4.16%), 20 Jul 2006 (-4.31%), 12 Sep 2006 (-3.14%), 13 Oct 2006 (-3.12%), 09 Nov 2006 (-3.44%), 10 Nov 2006 (-3.38%)
20051303 Jan 2005 (-3.19%), 04 Jan 2005 (6.53%), 01 Mar 2005 (-3.82%), 10 Mar 2005 (8.28%), 03 May 2005 (-4.6%), 17 Jun 2005 (7.23%), 29 Jul 2005 (-4.52%), 19 Aug 2005 (-3.94%), 22 Sep 2005 (-3.73%), 07 Oct 2005 (6.33%), 24 Nov 2005 (-3.5%), 25 Nov 2005 (-3.46%), 20 Dec 2005 (5.71%)
2004905 Jan 2004 (-4.38%), 06 Jan 2004 (-4.27%), 16 Jan 2004 (10.08%), 16 Mar 2004 (9.54%), 22 Apr 2004 (7.7%), 31 May 2004 (-7.88%), 25 Jun 2004 (-5.56%), 02 Aug 2004 (-4.14%), 16 Sep 2004 (-4.57%)
20031128 Jan 2003 (-3.77%), 07 Mar 2003 (-2.75%), 01 Apr 2003 (-3.34%), 19 May 2003 (-3.04%), 12 Jun 2003 (-5.67%), 02 Jul 2003 (-6.64%), 23 Jul 2003 (13.24%), 25 Aug 2003 (-5.69%), 24 Oct 2003 (-5.13%), 19 Nov 2003 (-5.47%), 18 Dec 2003 (-5.23%)
2002721 Feb 2002 (-5.53%), 12 Mar 2002 (-6.95%), 06 May 2002 (7.73%), 02 Jul 2002 (8.17%), 17 Sep 2002 (-3.06%), 08 Oct 2002 (5.41%), 27 Dec 2002 (5.85%)
2001612 Jan 2001 (-3.49%), 28 Feb 2001 (8.41%), 15 May 2001 (-3.22%), 20 Jun 2001 (-4.5%), 03 Sep 2001 (4.1%), 13 Dec 2001 (5.61%)
2000811 Jan 2000 (8.32%), 03 Mar 2000 (-7.29%), 17 Apr 2000 (14.08%), 23 Jun 2000 (7.74%), 14 Sep 2000 (5.34%), 05 Dec 2000 (-2.6%), 06 Dec 2000 (-2.63%), 15 Dec 2000 (-3.55%)
1999919 Jan 1999 (9.47%), 15 Mar 1999 (11.17%), 26 Apr 1999 (-6.1%), 21 May 1999 (11.8%), 26 Jul 1999 (-5.39%), 31 Aug 1999 (10.26%), 01 Nov 1999 (-5.43%), 02 Nov 1999 (-5.47%), 10 Dec 1999 (-4.28%)
1998622 Jan 1998 (8.91%), 22 Apr 1998 (14.14%), 10 Jun 1998 (20.55%), 03 Sep 1998 (-5.2%), 28 Nov 1998 (7.64%), 30 Nov 1998 (-4.22%)
1997631 Jan 1997 (7.06%), 21 Mar 1997 (8.0%), 22 May 1997 (7.51%), 07 Aug 1997 (9.6%), 10 Nov 1997 (-5.43%), 11 Nov 1997 (11.75%)
1996809 Jan 1996 (-4.77%), 11 Mar 1996 (-5.98%), 09 May 1996 (9.06%), 10 May 1996 (-5.06%), 24 Jun 1996 (-6.33%), 30 Jul 1996 (-4.52%), 07 Oct 1996 (7.11%), 29 Nov 1996 (7.42%)
1995530 May 1995 (7.34%), 01 Aug 1995 (-3.0%), 03 Aug 1995 (5.9%), 12 Oct 1995 (8.05%), 14 Nov 1995 (8.07%)



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