Study: Sell LT 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 LT 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 LT 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
1-15329.855628285022248056.5-2771.5-12711.570.80.8-0.021-273.75
2-31358.5756302653.574607.9514635.36-6522.96-21346.690.710.82-0.021-559.97
3-34405.2656292751.796516.630633.37-8273.58-25858.890.790.85-0.017-614.38
4-54417.8656292751.795691.7123533.93-8128.79-28675.70.70.75-0.027-971.75
5-75162.4856253144.647363.8232964.59-8363.16-56983.130.880.71-0.029-1342.19
6-11589356243242.868359.9529206-9891.61-83190.390.850.63-0.036-2069.51
7-14842956263046.437630.5628334.69-11560.78-86451.780.660.57-0.044-2650.51
8-11152556233341.079463.5931890.49-9975.38-81564.670.950.66-0.033-1991.52
9-12842256253144.648918.7828330.2-11335.2-93575.090.790.63-0.036-2293.25
10-12155956243242.869792.4524268.57-11143.06-95973.860.880.66-0.033-2170.7
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
atrtrail23.66-3068.2462243838.718203.8520806.54-5262.12-19676.761.560.98-0.0016-49.49
atrtrail34.05-4856.2262233937.18538.6731209.81-5160.15-19676.761.650.98-0.0023-78.33
atrnil24.98-44584.1662214133.8711165.2920806.54-6806.23-19676.761.640.84-0.02-719.1
atrtrail-14.35-54081.9262233937.16398.4324612.97-5160.15-19676.761.240.73-0.031-872.29
atrnil38.31-13202262125019.3516516.8331209.81-6604.47-19676.762.50.6-0.056-2129.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 38.71%, which is not acceptable. Avoid this strategy. Average return per trade is -0.025%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LT Performance, Profit Factor:0.985

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Feb 2019 (-0.11%), 10 Jun 2019 (-0.2%), 14 Aug 2019 (0.92%)
2018205 Feb 2018 (-0.19%), 03 Dec 2018 (3.84%)
2017519 Apr 2017 (-1.9%), 03 May 2017 (-1.14%), 08 Jun 2017 (0.6%), 25 Sep 2017 (0.69%), 15 Nov 2017 (-2.36%)
2016506 Jan 2016 (3.56%), 14 Jun 2016 (-2.32%), 15 Jun 2016 (4.69%), 22 Dec 2016 (-1.89%), 23 Dec 2016 (-1.94%)
2015409 Feb 2015 (-2.95%), 21 Jul 2015 (3.82%), 23 Sep 2015 (1.01%), 11 Dec 2015 (-1.21%)
2014422 Mar 2014 (-2.38%), 31 Mar 2014 (-2.31%), 28 Apr 2014 (5.21%), 16 Jun 2014 (-3.46%)
2013404 Feb 2013 (4.27%), 21 Mar 2013 (0.85%), 07 Nov 2013 (1.0%), 13 Dec 2013 (-2.91%)
2012410 Feb 2012 (-1.63%), 23 Feb 2012 (7.24%), 12 Jul 2012 (-0.35%), 15 Oct 2012 (-1.41%)
2011417 Jun 2011 (-0.29%), 13 Jul 2011 (-1.65%), 15 Nov 2011 (6.69%), 13 Dec 2011 (7.62%)
2010307 Apr 2010 (3.99%), 27 Jul 2010 (3.98%), 07 Oct 2010 (4.36%)
2009115 Jun 2009 (0.29%)
2008304 Mar 2008 (10.4%), 08 Apr 2008 (-6.83%), 20 Nov 2008 (-9.84%)
2007513 Feb 2007 (-3.51%), 27 Jul 2007 (-3.87%), 19 Oct 2007 (-5.59%), 09 Nov 2007 (-5.77%), 19 Nov 2007 (9.9%)
2006617 Feb 2006 (-2.94%), 13 Apr 2006 (-3.96%), 03 May 2006 (-1.84%), 12 Sep 2006 (-3.19%), 13 Sep 2006 (-3.13%), 26 Sep 2006 (-1.76%)
2005610 Mar 2005 (6.31%), 01 Jun 2005 (-3.01%), 17 Jun 2005 (-1.55%), 25 Jul 2005 (-1.46%), 11 Oct 2005 (5.91%), 08 Dec 2005 (-3.55%)
2004309 Sep 2004 (-2.03%), 13 Dec 2004 (-3.56%), 31 Dec 2004 (1.33%)



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