Study: Sell MARICO 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 MARICO 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 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
1-16582.4685473855.292383.67680.46-3384.52-15540.230.70.87-0.011-195.09
2-15571.8185473855.292539.68593.75-3550.86-10933.760.720.88-0.0099-183.2
3-33264.285414448.243611.7811152.42-4121.53-22218.530.880.82-0.017-391.34
4-28480.2985434250.594219.6612470.86-4998.23-18465.630.840.86-0.012-335.06
5-98228.7185374843.534289.1415423.87-5352.65-22508.040.80.62-0.039-1155.63
6-58059.8885394645.884986.8827896.68-5490.18-22293.680.910.77-0.021-683.06
7-11126385364942.355675.7343985.24-6440.6-23365.490.880.65-0.033-1308.98
8-13115085355041.186656.2825535.06-7282.4-21864.950.910.64-0.038-1542.94
9-17174085335238.827697.2131964.68-8187.46-23529.410.940.6-0.045-2020.47
10-21282185315436.476887.0319188.19-7894.79-27285.920.870.5-0.059-2503.77
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
atrnil27.53-302229101218020.7914765.2822869.13-7653.74-20273.821.930.51-0.068-2992.36
atrnil39.45-4782951019928.9124086.6332984.87-7555.16-20273.823.190.31-0.11-4735.6
atrtrail24.85-310656102198318.636315.119165.96-5188.47-15698.361.220.28-0.11-3045.65
atrtrail35.03-329794102198318.635307.8226139.46-5188.47-15698.361.020.23-0.12-3233.28
atrtrail-15.08-361459102188417.653967.8512355.72-5153.34-15698.360.770.16-0.16-3543.71

In the table above, row 1 shows the best exit criterion. Profit factor is 0.51. 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, Profit Factor:0.506

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Apr 2019 (-2.08%), 30 Apr 2019 (4.29%)
2018620 Jun 2018 (-2.42%), 19 Jul 2018 (-2.65%), 30 Aug 2018 (5.21%), 05 Dec 2018 (-2.54%), 26 Dec 2018 (-2.95%), 27 Dec 2018 (-2.88%)
2017427 Mar 2017 (-2.12%), 13 Apr 2017 (-2.01%), 05 May 2017 (-2.33%), 09 Jun 2017 (-2.17%)
2016326 Apr 2016 (-2.81%), 10 Aug 2016 (-2.91%), 23 Dec 2016 (-2.47%)
2015803 Feb 2015 (-3.61%), 16 Mar 2015 (-3.86%), 17 Mar 2015 (-3.81%), 22 Apr 2015 (-3.86%), 23 Apr 2015 (-3.9%), 10 Jun 2015 (-4.29%), 03 Jul 2015 (-3.78%), 31 Dec 2015 (-2.51%)
2014920 May 2014 (-3.04%), 12 Jun 2014 (6.12%), 09 Jul 2014 (-3.02%), 20 Aug 2014 (-3.14%), 19 Sep 2014 (-2.74%), 13 Oct 2014 (-3.09%), 05 Nov 2014 (-3.2%), 07 Nov 2014 (-3.16%), 21 Nov 2014 (-2.83%)
2013317 Jan 2013 (-2.5%), 05 Feb 2013 (5.57%), 12 Jun 2013 (6.33%)
2012421 Feb 2012 (-3.76%), 27 Apr 2012 (5.92%), 14 Sep 2012 (-2.98%), 17 Sep 2012 (-3.13%)
2011518 Apr 2011 (-3.93%), 08 Jun 2011 (-3.3%), 22 Jun 2011 (-3.52%), 18 Jul 2011 (-3.61%), 04 Nov 2011 (-4.6%)
2010801 Apr 2010 (-3.57%), 19 Apr 2010 (7.86%), 13 Jul 2010 (8.3%), 30 Aug 2010 (-4.57%), 17 Sep 2010 (-3.43%), 29 Sep 2010 (-3.26%), 30 Sep 2010 (-3.36%), 15 Oct 2010 (-3.27%)
2009812 Jan 2009 (-5.73%), 08 May 2009 (11.43%), 04 Aug 2009 (-4.78%), 28 Aug 2009 (-4.28%), 11 Sep 2009 (-4.27%), 05 Oct 2009 (-4.04%), 18 Nov 2009 (8.71%), 10 Dec 2009 (8.24%)
2008511 Jan 2008 (-6.65%), 23 Apr 2008 (-4.57%), 24 Apr 2008 (9.58%), 28 Aug 2008 (-4.21%), 29 Aug 2008 (-4.27%)
2007516 Apr 2007 (-5.49%), 17 Sep 2007 (-4.15%), 16 Oct 2007 (-3.95%), 13 Nov 2007 (-4.85%), 18 Dec 2007 (-4.8%)
2006107 Apr 2006 (8.92%)
2005204 Mar 2005 (-5.38%), 07 Mar 2005 (-5.51%)
2004409 Jun 2004 (-3.57%), 22 Jun 2004 (-3.98%), 21 Sep 2004 (4.93%), 06 Dec 2004 (8.24%)
2003312 Sep 2003 (-5.13%), 17 Oct 2003 (8.6%), 30 Dec 2003 (8.41%)
2002723 Apr 2002 (-5.12%), 24 Apr 2002 (-6.08%), 12 Jul 2002 (-2.71%), 30 Jul 2002 (-3.12%), 04 Oct 2002 (-2.73%), 22 Oct 2002 (-2.18%), 03 Dec 2002 (6.23%)
2001303 Jul 2001 (-10.14%), 09 Nov 2001 (-3.5%), 12 Nov 2001 (-3.49%)
2000206 Mar 2000 (-7.34%), 07 Mar 2000 (-7.57%)
1999215 Feb 1999 (-4.65%), 23 Mar 1999 (-4.3%)
1998528 Apr 1998 (-5.25%), 29 Apr 1998 (10.99%), 19 Oct 1998 (-3.02%), 17 Dec 1998 (-3.31%), 24 Dec 1998 (-3.02%)
1997231 Mar 1997 (5.91%), 15 Jul 1997 (5.21%)



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