Study: Sell LUPIN 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 LUPIN 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 LUPIN 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
1-43243.96603030502449.9810770.16-3891.44-22370.270.630.63-0.039-720.73
2-83897.9560233738.334255.2811437.43-4912.69-37447.410.870.54-0.048-1398.3
3-128655602436404998.4116303.19-6906.02-45021.040.720.48-0.057-2144.25
4-17375660233738.337190.3923218.18-9165.8-58820.970.780.49-0.056-2895.93
5-232564602139358413.8436068.53-10493.71-60909.290.80.43-0.065-3876.07
6-188603602436409661.1238232.64-11679.72-63606.70.830.55-0.048-3143.39
7-18093460223836.6710838.0839224.53-11036.11-57820.320.980.57-0.047-3015.57
8-2514526021393511276.0741118.12-12519.22-67130.740.90.48-0.058-4190.87
9-21895760233738.3310986.0635076.65-12746.94-65172.940.860.54-0.052-3649.29
10-1896076024364011585.8828584.31-12990.79-57037.20.890.59-0.046-3160.12

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.63. This strategy is not profitable and we advice you not to use it.

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-11-43243.96603030502449.9810770.16-3891.44-22370.270.630.63-0.039-720.73
atrtrail34.45-15567369155421.749338.6945939.36-5476.91-15232.331.710.47-0.061-2256.12
atrtrail-15.09-15471268155322.069146.8835461.77-5507.84-15232.331.660.47-0.065-2275.18
atrnil26.43-22888369145520.2912927.9330626.24-7452.26-15232.331.730.44-0.089-3317.15
atrtrail24.38-17934369155421.747760.6330626.24-5476.91-15232.331.420.39-0.088-2599.18
atrnil38.35-2767086886011.7620484.245939.36-7343.03-15232.332.790.37-0.097-4069.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LUPIN Performance, X=1, Profit Factor:0.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019319 Mar 2019 (0.22%), 08 May 2019 (-1.65%), 18 Jun 2019 (0.73%)
2018306 Mar 2018 (1.51%), 23 Mar 2018 (-0.77%), 02 Jul 2018 (-1.53%)
2017425 May 2017 (2.43%), 22 Jun 2017 (0.65%), 28 Jul 2017 (3.0%), 07 Nov 2017 (2.17%)
2016201 Aug 2016 (1.3%), 14 Oct 2016 (1.27%)
2015318 Mar 2015 (-2.58%), 09 Apr 2015 (2.56%), 10 Dec 2015 (-0.37%)
2014615 Jan 2014 (1.0%), 10 Jul 2014 (-1.33%), 11 Aug 2014 (-0.5%), 11 Sep 2014 (-3.03%), 29 Oct 2014 (0.82%), 27 Nov 2014 (-2.18%)
2013323 May 2013 (-2.92%), 24 Jul 2013 (0.62%), 24 Oct 2013 (1.78%)
2012413 Feb 2012 (-2.4%), 26 Mar 2012 (-0.62%), 20 Apr 2012 (0.5%), 19 Nov 2012 (-1.11%)
2011511 Jan 2011 (-2.29%), 25 Feb 2011 (-1.97%), 10 May 2011 (1.06%), 06 Jun 2011 (-1.08%), 21 Jul 2011 (-1.29%)
2010530 Mar 2010 (-2.16%), 17 May 2010 (-2.08%), 03 Jun 2010 (-0.33%), 05 Jul 2010 (0.39%), 01 Nov 2010 (0.16%)
2009218 Aug 2009 (0.52%), 16 Dec 2009 (-1.6%)
2008209 May 2008 (1.22%), 04 Jun 2008 (0.74%)
2007110 May 2007 (1.14%)
2006328 Feb 2006 (1.86%), 12 May 2006 (-0.77%), 31 Aug 2006 (0.57%)
2005101 Sep 2005 (-2.61%)
2004230 Apr 2004 (-0.98%), 28 Dec 2004 (0.08%)
2003607 Jan 2003 (-11.19%), 21 Jan 2003 (0.81%), 23 Jun 2003 (-3.87%), 18 Jul 2003 (5.39%), 04 Aug 2003 (1.27%), 16 Sep 2003 (-0.79%)
2002430 Jan 2002 (-1.89%), 08 Mar 2002 (0.79%), 02 May 2002 (0.21%), 28 Jun 2002 (-1.35%)
2001113 Dec 2001 (-1.13%)



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