Study: Sell LICHSGFIN 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 LICHSGFIN 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 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
1-8585.1993524155.913903.1613866.37-5159.74-20290.250.760.96-0.0031-92.31
243299.1993494452.696000.8418654.15-5698.69-33744.741.051.170.012465.58
3-47795.4393454848.397895.3625504.78-8397.64-41068.760.940.88-0.0096-513.93
4-30182.2893454848.398866.9329376.6-8941.54-36240.340.990.93-0.0058-324.54
5-46841.8593474650.548717.0234158.84-9924.82-50740.740.880.9-0.0082-503.68
6-53650.7293464749.469296.4231938.51-10240.13-34907.410.910.89-0.0091-576.89
7-12991393494452.699062.1331775.7-13044.48-53654.740.690.77-0.02-1396.91
8-16750493484551.619081.9842456.61-13409.75-60301.10.680.72-0.024-1801.12
9-20104293494452.699764.5134671.22-15443.24-76576.70.630.7-0.025-2161.74
10-19732693494452.6910927.6637916.31-16654.13-86179.30.660.73-0.023-2121.79
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
atrnil25.48-35291.97112387433.9315655.9228280.66-8516.45-24843.831.840.94-0.0053-315.11
atrtrail34.33-30325.16109416837.6110225.7842420.99-6611.5-15768.241.550.93-0.0054-278.21
atrtrail23.91-36837.74112427037.510201.6528280.66-6647.25-15768.241.530.92-0.0069-328.91
atrnil38.19-132671109268323.8522292.6942420.99-8581.7-24843.832.60.81-0.018-1217.17
atrtrail-14.7-120807109416837.618018.9142451.62-6611.5-15768.241.210.73-0.025-1108.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 33.93%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.944

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Apr 2019 (-2.45%), 12 Jun 2019 (-2.61%), 08 Jul 2019 (-2.57%), 11 Jul 2019 (-3.21%)
2018517 Jan 2018 (-2.14%), 08 Mar 2018 (-2.96%), 16 Aug 2018 (-2.61%), 27 Aug 2018 (6.25%), 04 Dec 2018 (6.93%)
2017603 Jan 2017 (-2.92%), 11 May 2017 (-2.32%), 22 Jun 2017 (3.94%), 20 Sep 2017 (4.39%), 25 Sep 2017 (-2.58%), 04 Dec 2017 (4.9%)
2016420 Jul 2016 (-2.73%), 12 Sep 2016 (-2.46%), 14 Sep 2016 (-2.42%), 20 Dec 2016 (-2.96%)
2015226 May 2015 (-2.99%), 04 Jun 2015 (-3.22%)
2014625 Mar 2014 (-2.83%), 29 Apr 2014 (-3.29%), 28 May 2014 (-4.98%), 10 Jun 2014 (8.23%), 25 Nov 2014 (-3.21%), 12 Dec 2014 (6.74%)
2013408 Jan 2013 (4.61%), 20 Mar 2013 (-4.27%), 30 May 2013 (5.98%), 31 May 2013 (-3.45%)
2012221 Feb 2012 (7.0%), 12 Jul 2012 (5.02%)
2011312 Jan 2011 (10.15%), 13 Apr 2011 (7.08%), 26 Aug 2011 (-4.32%)
2010623 Feb 2010 (-3.7%), 15 Apr 2010 (-3.49%), 11 May 2010 (-3.5%), 19 May 2010 (-3.79%), 20 May 2010 (7.48%), 11 Oct 2010 (-3.22%)
2009715 May 2009 (-6.69%), 18 May 2009 (-6.47%), 15 Jun 2009 (-6.77%), 18 Jun 2009 (-7.25%), 06 Oct 2009 (-4.14%), 07 Oct 2009 (-4.16%), 27 Oct 2009 (8.75%)
2008119 Nov 2008 (-12.42%)
2007403 Apr 2007 (-4.07%), 30 May 2007 (-3.04%), 17 Jul 2007 (7.12%), 12 Nov 2007 (-7.38%)
2006527 Apr 2006 (-4.16%), 20 Jul 2006 (-4.31%), 13 Oct 2006 (-3.12%), 09 Nov 2006 (-3.44%), 10 Nov 2006 (-3.38%)
2005703 Jan 2005 (-3.19%), 04 Jan 2005 (6.53%), 01 Mar 2005 (-3.82%), 10 Mar 2005 (8.28%), 03 May 2005 (-4.6%), 24 Nov 2005 (-3.5%), 25 Nov 2005 (-3.46%)
2004605 Jan 2004 (-4.38%), 06 Jan 2004 (-4.27%), 16 Jan 2004 (10.08%), 31 May 2004 (-7.88%), 25 Jun 2004 (-5.56%), 16 Sep 2004 (-4.57%)
2003719 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%), 18 Dec 2003 (-5.23%)
2002321 Feb 2002 (-5.53%), 12 Mar 2002 (-6.95%), 02 Jul 2002 (8.17%)
2001512 Jan 2001 (-3.49%), 28 Feb 2001 (8.41%), 20 Jun 2001 (-4.5%), 03 Sep 2001 (4.1%), 13 Dec 2001 (5.61%)
2000503 Mar 2000 (-7.29%), 23 Jun 2000 (7.74%), 05 Dec 2000 (-2.6%), 06 Dec 2000 (-2.63%), 15 Dec 2000 (-3.55%)
1999515 Mar 1999 (11.17%), 21 May 1999 (11.8%), 26 Jul 1999 (-5.39%), 31 Aug 1999 (10.26%), 10 Dec 1999 (-4.28%)
1998122 Apr 1998 (14.14%)
1997531 Jan 1997 (7.06%), 21 Mar 1997 (8.0%), 22 May 1997 (7.51%), 10 Nov 1997 (-5.43%), 11 Nov 1997 (11.75%)
1996509 Jan 1996 (-4.77%), 11 Mar 1996 (-5.98%), 09 May 1996 (9.06%), 10 May 1996 (-5.06%), 29 Nov 1996 (7.42%)
1995412 Jun 1995 (6.47%), 01 Aug 1995 (-3.0%), 12 Oct 1995 (8.05%), 14 Nov 1995 (8.07%)



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