Study: Sell M&M 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 M&M 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 M&M 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
1-1380.7591504154.953340.1215481.28-4106.99-13735.190.810.99-0.0006-15.17
2-13055491444748.353133.418069.87-5711.14-22180.320.550.51-0.047-1434.66
3-18842491385341.764715.0917476.05-6935.81-28884.40.680.49-0.052-2070.6
4-17449091375440.667573.5123492.95-8420.54-39400.070.90.62-0.036-1917.47
5-21507291415045.057715.1834302.11-10627.89-52837.690.730.6-0.037-2363.43
6-25051591385341.769287.4725101.81-11385.64-57301.120.820.58-0.039-2752.91
7-24303791385341.769460.7335546.75-11368.76-69615.350.830.6-0.035-2670.73
8-22853891375440.6610550.4239312.85-11461.18-60292.220.920.63-0.032-2511.41
9-26271191365539.5611226.3833396.83-12124.74-55450.590.930.61-0.036-2886.94
10-21257891335836.2614472.154857.14-11899.27-52042.541.220.69-0.027-2336.02

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.99. 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 54.95%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0076%, 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-11-1380.7591504154.953340.1215481.28-4106.99-13735.190.810.99-0.0006-15.17
atrnil25.39-174028102287427.4515833.6131114.23-8342.83-25777.311.90.72-0.03-1706.16
atrtrail24.25-127617102317130.399853.8725426.43-6099.82-21459.691.620.71-0.028-1251.15
atrtrail34.54-159519102317130.398824.7932924.14-6099.82-21459.691.450.63-0.036-1563.91
atrnil37.57-30214910017831723132.6846671.35-8378.37-25777.312.760.57-0.048-3021.49
atrtrail-14.77-221962102317130.396810.5125057.18-6099.82-21459.691.120.49-0.059-2176.09

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 54.95%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0076%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
M&M Performance, X=1, Profit Factor:0.992

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Aug 2019 (-0.82%)
2018405 Feb 2018 (1.14%), 10 May 2018 (-1.47%), 15 Jun 2018 (-0.49%), 03 Sep 2018 (1.69%)
2017319 May 2017 (2.04%), 02 Nov 2017 (0.34%), 30 Nov 2017 (-0.2%)
2016311 Feb 2016 (-3.43%), 04 May 2016 (0.01%), 11 Nov 2016 (0.15%)
2015121 Oct 2015 (0.8%)
2014620 Mar 2014 (0.8%), 15 Apr 2014 (0.83%), 10 Jun 2014 (0.49%), 10 Jul 2014 (0.1%), 05 Sep 2014 (0.94%), 10 Nov 2014 (-2.41%)
2013223 May 2013 (-0.93%), 02 Aug 2013 (-1.15%)
2012316 Jul 2012 (1.34%), 31 Aug 2012 (0.77%), 11 Oct 2012 (-0.45%)
2011602 May 2011 (4.52%), 31 May 2011 (-0.56%), 17 Jun 2011 (1.68%), 20 Jul 2011 (0.43%), 23 Sep 2011 (0.57%), 12 Dec 2011 (-2.61%)
2010320 Jan 2010 (0.05%), 24 Feb 2010 (0.02%), 11 Oct 2010 (-1.11%)
2009622 Apr 2009 (-4.71%), 11 May 2009 (-4.21%), 17 Jun 2009 (0.95%), 10 Aug 2009 (-3.41%), 21 Oct 2009 (-0.68%), 26 Nov 2009 (0.64%)
2008507 Jan 2008 (-2.0%), 11 Feb 2008 (3.29%), 17 Mar 2008 (0.15%), 24 Jun 2008 (0.02%), 20 Nov 2008 (-1.95%)
2007322 Jan 2007 (0.76%), 05 Apr 2007 (-2.9%), 08 Oct 2007 (-1.67%)
2006420 Feb 2006 (-0.49%), 09 Mar 2006 (-2.33%), 18 May 2006 (4.75%), 20 Nov 2006 (-2.32%)
2005818 Feb 2005 (0.42%), 10 Mar 2005 (0.11%), 27 Apr 2005 (1.79%), 29 Jun 2005 (-0.41%), 13 Jul 2005 (-0.41%), 11 Aug 2005 (-0.26%), 13 Oct 2005 (2.08%), 20 Dec 2005 (-0.11%)
2004220 Jan 2004 (7.74%), 25 Feb 2004 (4.91%)
2003506 Jan 2003 (2.07%), 03 Jun 2003 (1.07%), 22 Jul 2003 (-1.0%), 14 Aug 2003 (-3.58%), 23 Oct 2003 (-6.84%)
2002220 Feb 2002 (-2.45%), 10 Dec 2002 (0.67%)
2001526 Feb 2001 (2.13%), 27 Jul 2001 (0.07%), 03 Sep 2001 (0.31%), 26 Nov 2001 (4.4%), 14 Dec 2001 (3.76%)
2000425 Jan 2000 (1.57%), 17 Feb 2000 (6.32%), 04 Apr 2000 (-6.34%), 22 Dec 2000 (2.85%)
1999519 Jan 1999 (-4.77%), 10 Mar 1999 (-0.0%), 21 May 1999 (-3.08%), 23 Jul 1999 (-6.87%), 12 Aug 1999 (2.47%)
1997407 Jul 1997 (-0.67%), 18 Aug 1997 (1.43%), 19 Nov 1997 (3.05%), 05 Dec 1997 (1.11%)
1996412 Mar 1996 (-2.13%), 26 Apr 1996 (-1.94%), 21 May 1996 (-0.81%), 28 Jun 1996 (0.5%)
1995228 Apr 1995 (3.39%), 24 Aug 1995 (-0.21%)



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