Study: Sell MARICO when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MARICO 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 MARICO 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
1-126525190949649.472487.1510688.26-3753.3-16003.510.660.65-0.033-665.92
2-1767071908910146.842775.7211028.43-4195.51-22059.680.660.58-0.043-930.04
3-2072621908310743.683859.1813025.34-4930.59-22925.280.780.61-0.04-1090.85
4-2587951907911141.584527.4820728.74-5553.75-22209.720.820.58-0.044-1362.08
5-3293641906812235.795059.6127044.53-5519.81-23410.240.920.51-0.052-1733.49
6-3173601907811241.055117.4427896.68-6397.5-28416.040.80.56-0.045-1670.31
7-3746831906912136.326359.6843985.24-6723.14-24348.150.950.54-0.047-1972.01
8-4317871906512534.217552.4736384.56-7381.58-251321.020.53-0.051-2272.56
9-4119771897011937.047954.444209.65-8141.05-30676.950.980.57-0.045-2179.77
10-4836311896512434.397822.8831823.41-8000.95-34961.440.980.51-0.055-2558.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.65. 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-11-126525190949649.472487.1510688.26-3753.3-16003.510.660.65-0.033-665.92
atrnil26.81-6884382224617620.7213543.1224984.24-7451.26-20273.821.820.48-0.075-3101.07
atrnil38.53-8934082152419111.1621439.5837476.36-7371.51-20273.822.910.37-0.094-4155.38
atrtrail24.4-6805802364519119.077483.1519165.96-5326.29-15698.361.40.33-0.1-2883.81
atrtrail34.63-6985212334119217.67545.9826144.55-5249.51-15698.361.440.31-0.1-2997.94
atrtrail-14.76-7550852323919316.816604.5236964.72-5246.95-15698.361.260.25-0.11-3254.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. 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.
MARICO Performance, X=1, Profit Factor:0.649

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Apr 2019 (-0.14%), 14 Jun 2019 (0.6%), 09 Jul 2019 (-0.0%), 26 Aug 2019 (-2.37%), 03 Oct 2019 (1.35%)
20181011 Jan 2018 (1.14%), 15 Mar 2018 (-0.05%), 11 Apr 2018 (0.39%), 03 May 2018 (-1.52%), 22 May 2018 (0.78%), 20 Jun 2018 (0.04%), 19 Jul 2018 (-1.55%), 30 Aug 2018 (0.2%), 05 Dec 2018 (1.2%), 26 Dec 2018 (-2.47%)
2017920 Jan 2017 (0.25%), 27 Mar 2017 (-1.22%), 13 Apr 2017 (-0.12%), 05 May 2017 (0.57%), 09 Jun 2017 (0.44%), 27 Jul 2017 (-1.87%), 25 Sep 2017 (0.42%), 26 Oct 2017 (0.77%), 15 Dec 2017 (-0.64%)
2016909 Mar 2016 (0.48%), 23 Mar 2016 (1.25%), 26 Apr 2016 (0.62%), 02 Jun 2016 (-2.03%), 10 Aug 2016 (-2.37%), 12 Sep 2016 (-0.57%), 10 Oct 2016 (0.11%), 01 Nov 2016 (2.68%), 23 Dec 2016 (2.55%)
2015903 Feb 2015 (-1.77%), 16 Mar 2015 (-5.37%), 22 Apr 2015 (-0.3%), 10 Jun 2015 (3.84%), 03 Jul 2015 (-1.82%), 12 Aug 2015 (0.91%), 23 Oct 2015 (-0.78%), 09 Dec 2015 (-0.15%), 31 Dec 2015 (-0.44%)
20141109 Jan 2014 (0.12%), 24 Feb 2014 (-0.58%), 17 Apr 2014 (0.51%), 20 May 2014 (-0.11%), 12 Jun 2014 (1.59%), 09 Jul 2014 (0.6%), 20 Aug 2014 (0.17%), 19 Sep 2014 (1.23%), 13 Oct 2014 (-1.23%), 05 Nov 2014 (-2.13%), 21 Nov 2014 (0.17%)
20131217 Jan 2013 (0.42%), 05 Feb 2013 (-0.0%), 28 Feb 2013 (-2.55%), 22 Mar 2013 (-0.26%), 16 Apr 2013 (0.72%), 08 May 2013 (1.08%), 12 Jun 2013 (2.25%), 31 Jul 2013 (1.6%), 27 Aug 2013 (1.5%), 01 Oct 2013 (1.81%), 18 Oct 2013 (0.76%), 11 Dec 2013 (-0.57%)
2012823 Jan 2012 (0.5%), 21 Feb 2012 (0.65%), 27 Apr 2012 (0.22%), 03 Aug 2012 (-0.48%), 14 Sep 2012 (0.81%), 02 Nov 2012 (-3.4%), 20 Nov 2012 (0.99%), 07 Dec 2012 (0.48%)
20111001 Feb 2011 (-1.29%), 01 Mar 2011 (-4.54%), 22 Mar 2011 (-0.39%), 18 Apr 2011 (0.92%), 08 Jun 2011 (1.61%), 22 Jun 2011 (-0.07%), 18 Jul 2011 (-2.59%), 15 Sep 2011 (1.43%), 04 Nov 2011 (0.4%), 09 Dec 2011 (0.87%)
2010822 Jan 2010 (1.14%), 01 Apr 2010 (-7.77%), 19 Apr 2010 (1.19%), 24 May 2010 (4.52%), 13 Jul 2010 (3.83%), 30 Aug 2010 (-3.25%), 17 Sep 2010 (-1.2%), 15 Oct 2010 (1.15%)
20091312 Jan 2009 (0.56%), 03 Feb 2009 (-2.24%), 20 Mar 2009 (-1.46%), 06 Apr 2009 (-5.14%), 08 May 2009 (0.83%), 15 Jun 2009 (0.91%), 01 Jul 2009 (-1.29%), 04 Aug 2009 (2.68%), 28 Aug 2009 (1.89%), 11 Sep 2009 (0.46%), 05 Oct 2009 (-1.98%), 18 Nov 2009 (2.31%), 10 Dec 2009 (-0.0%)
2008911 Jan 2008 (0.07%), 03 Mar 2008 (-4.56%), 18 Mar 2008 (0.48%), 23 Apr 2008 (0.07%), 23 Jun 2008 (5.34%), 28 Aug 2008 (-1.43%), 01 Oct 2008 (-0.0%), 27 Oct 2008 (-3.59%), 17 Nov 2008 (-3.27%)
20071124 Jan 2007 (-1.66%), 05 Mar 2007 (-0.74%), 16 Apr 2007 (0.77%), 01 Jun 2007 (0.78%), 20 Jun 2007 (-2.25%), 24 Jul 2007 (-0.0%), 21 Aug 2007 (-3.83%), 17 Sep 2007 (-0.0%), 16 Oct 2007 (2.58%), 13 Nov 2007 (-1.03%), 18 Dec 2007 (0.73%)
2006607 Apr 2006 (0.11%), 19 Jul 2006 (-1.42%), 11 Aug 2006 (-3.29%), 11 Sep 2006 (-0.5%), 30 Oct 2006 (-1.86%), 26 Dec 2006 (-1.07%)
2005604 Mar 2005 (-2.36%), 12 Apr 2005 (-0.65%), 08 Jun 2005 (-1.5%), 29 Jul 2005 (-6.4%), 22 Sep 2005 (3.05%), 19 Oct 2005 (4.94%)
2004819 Mar 2004 (4.5%), 12 Apr 2004 (-0.49%), 11 May 2004 (-2.75%), 09 Jun 2004 (-2.5%), 05 Aug 2004 (0.64%), 20 Aug 2004 (0.6%), 21 Sep 2004 (1.06%), 06 Dec 2004 (-0.23%)
2003827 Jan 2003 (-2.2%), 14 Feb 2003 (0.18%), 20 Jun 2003 (0.91%), 11 Jul 2003 (-3.63%), 12 Sep 2003 (3.07%), 17 Oct 2003 (1.12%), 19 Nov 2003 (0.26%), 30 Dec 2003 (-1.4%)
20021022 Feb 2002 (-0.86%), 23 Apr 2002 (-0.44%), 26 Jun 2002 (-3.31%), 12 Jul 2002 (-1.5%), 30 Jul 2002 (2.95%), 19 Aug 2002 (0.03%), 09 Sep 2002 (-2.03%), 04 Oct 2002 (-0.84%), 22 Oct 2002 (0.87%), 03 Dec 2002 (0.57%)
2001503 Jul 2001 (-6.8%), 29 Aug 2001 (-0.0%), 17 Sep 2001 (-2.69%), 09 Nov 2001 (-0.81%), 06 Dec 2001 (-1.32%)
2000225 Jan 2000 (-0.74%), 06 Mar 2000 (-4.59%)
1999915 Feb 1999 (0.59%), 23 Mar 1999 (-0.01%), 02 Jun 1999 (0.84%), 14 Jul 1999 (0.95%), 30 Aug 1999 (0.45%), 22 Sep 1999 (0.3%), 22 Nov 1999 (-8.0%), 13 Dec 1999 (5.32%), 28 Dec 1999 (-1.82%)
1998809 Jan 1998 (2.08%), 28 Apr 1998 (0.5%), 13 Aug 1998 (0.69%), 01 Sep 1998 (-3.17%), 15 Sep 1998 (-0.84%), 06 Oct 1998 (-4.43%), 03 Nov 1998 (-1.85%), 17 Dec 1998 (-2.24%)
1997431 Mar 1997 (2.78%), 15 Jul 1997 (-0.22%), 18 Sep 1997 (1.27%), 28 Oct 1997 (-4.96%)



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