Study: Sell MARUTI when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MARUTI 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 MARUTI 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
126818.12128666251.563499.9611284.62-3293.21-20771.131.061.130.011209.52
2-94230.86128626648.444250.5613036.16-5420.69-31016.030.780.74-0.027-736.18
3-221307128656350.783954.6314935.41-7592.98-37643.560.520.54-0.051-1728.96
4-234352128537541.415787.8324078.04-7214.76-26428.860.80.57-0.051-1830.88
5-265624128596946.096254.9932000.43-9198.1-31235.780.680.58-0.05-2075.19
6-2510291286464506694.9641411.31-10617.28-34670.990.630.63-0.042-1961.16
7-267727128577144.538064.3948040.66-10245.03-44351.780.790.63-0.043-2091.62
8-326301127517640.168953.6138789.04-10301.78-63532.980.870.58-0.049-2569.3
9-356084127567144.098664.6240055.98-11849.34-64973.460.730.58-0.051-2803.81
10-345830127547342.529805.2243177.23-11990.57-54814.250.820.6-0.046-2723.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. 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 51.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1126818.12128666251.563499.9611284.62-3293.21-20771.131.061.130.011209.52
atrnil25.28-2331781463810826.0312195.8632787.15-6450.19-19023.61.890.67-0.045-1597.11
atrnil36.89-2996191422611618.3117563.7239237.46-6519.62-19023.62.690.6-0.052-2109.99
atrtrail23.65-2326621494710231.545896.9415328.8-4998.22-19023.61.180.54-0.061-1561.49
atrtrail33.99-2631811474710031.975153.1921929.93-5053.8-19023.61.020.48-0.072-1790.34
atrtrail-14.19-2769171474710031.974860.9328423.7-5053.8-19023.60.960.45-0.078-1883.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 51.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, X=1, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019919 Feb 2019 (-0.67%), 19 Mar 2019 (2.22%), 24 Apr 2019 (1.59%), 12 Jun 2019 (0.98%), 05 Jul 2019 (5.05%), 04 Sep 2019 (-2.37%), 19 Sep 2019 (-10.39%), 07 Oct 2019 (-1.35%), 05 Nov 2019 (1.05%)
2018702 Jan 2018 (1.44%), 06 Mar 2018 (-0.73%), 19 Apr 2018 (0.58%), 25 Jun 2018 (-1.57%), 27 Jul 2018 (-0.77%), 06 Dec 2018 (-1.45%), 24 Dec 2018 (-0.53%)
20171123 Jan 2017 (-0.65%), 13 Feb 2017 (1.36%), 23 Mar 2017 (0.5%), 17 Apr 2017 (-0.35%), 22 May 2017 (-2.64%), 06 Jun 2017 (-1.32%), 20 Jul 2017 (-0.69%), 09 Aug 2017 (1.08%), 25 Sep 2017 (0.94%), 13 Nov 2017 (-0.17%), 05 Dec 2017 (-1.32%)
2016506 Apr 2016 (2.86%), 09 Jun 2016 (1.38%), 12 Aug 2016 (0.7%), 27 Sep 2016 (-0.19%), 02 Nov 2016 (-0.19%)
20151103 Feb 2015 (1.39%), 16 Mar 2015 (-0.4%), 20 Apr 2015 (3.27%), 07 May 2015 (-1.89%), 08 Jun 2015 (0.84%), 06 Jul 2015 (0.4%), 24 Aug 2015 (1.01%), 06 Oct 2015 (-0.24%), 26 Oct 2015 (-2.55%), 26 Nov 2015 (0.58%), 30 Dec 2015 (-0.76%)
2014628 Feb 2014 (0.43%), 07 Apr 2014 (-1.45%), 13 Jun 2014 (0.92%), 09 Jul 2014 (-0.61%), 17 Sep 2014 (-2.54%), 19 Nov 2014 (0.24%)
2013815 Jan 2013 (3.42%), 13 Mar 2013 (-3.24%), 16 May 2013 (1.13%), 11 Jul 2013 (3.83%), 21 Aug 2013 (-0.1%), 08 Nov 2013 (-0.13%), 13 Dec 2013 (-0.71%), 30 Dec 2013 (0.75%)
2012513 Feb 2012 (-3.48%), 02 May 2012 (3.22%), 19 Jul 2012 (-2.7%), 30 Aug 2012 (0.03%), 12 Oct 2012 (2.46%)
2011807 Jan 2011 (1.09%), 16 Mar 2011 (4.44%), 20 Apr 2011 (-3.32%), 16 Jun 2011 (2.36%), 18 Aug 2011 (0.03%), 13 Oct 2011 (2.93%), 11 Nov 2011 (3.09%), 16 Dec 2011 (1.6%)
2010627 Jan 2010 (-0.62%), 18 Mar 2010 (-0.53%), 27 Apr 2010 (1.01%), 17 May 2010 (-0.08%), 06 Jul 2010 (0.89%), 15 Oct 2010 (1.8%)
2009821 Jan 2009 (3.77%), 06 Mar 2009 (-0.35%), 21 Apr 2009 (4.39%), 15 Jun 2009 (-0.95%), 07 Aug 2009 (3.47%), 11 Sep 2009 (-0.39%), 05 Oct 2009 (-0.14%), 10 Dec 2009 (-0.11%)
2008820 Feb 2008 (0.85%), 17 Mar 2008 (-0.84%), 28 Apr 2008 (-1.22%), 27 May 2008 (-1.65%), 21 Aug 2008 (-2.09%), 24 Sep 2008 (-0.46%), 16 Oct 2008 (5.64%), 14 Nov 2008 (-2.18%)
2007709 Jan 2007 (0.67%), 12 Feb 2007 (2.31%), 03 Apr 2007 (1.39%), 30 May 2007 (-1.55%), 01 Aug 2007 (-1.35%), 22 Oct 2007 (-4.03%), 19 Dec 2007 (0.44%)
2006915 Feb 2006 (-1.43%), 13 Mar 2006 (1.24%), 10 Apr 2006 (4.83%), 12 May 2006 (5.04%), 14 Jun 2006 (-5.11%), 18 Jul 2006 (3.37%), 20 Sep 2006 (-1.84%), 06 Nov 2006 (1.14%), 12 Dec 2006 (0.06%)
2005821 Feb 2005 (-1.7%), 02 May 2005 (-1.84%), 03 Jun 2005 (0.41%), 06 Jul 2005 (2.54%), 11 Aug 2005 (1.48%), 30 Sep 2005 (-3.29%), 07 Dec 2005 (-0.88%), 21 Dec 2005 (1.08%)
2004906 Jan 2004 (-3.24%), 21 Jan 2004 (2.7%), 25 Feb 2004 (-1.55%), 30 Apr 2004 (1.74%), 02 Aug 2004 (0.56%), 14 Sep 2004 (0.07%), 30 Sep 2004 (-0.69%), 25 Oct 2004 (0.16%), 28 Dec 2004 (0.52%)
2003323 Oct 2003 (-8.04%), 14 Nov 2003 (-2.47%), 12 Dec 2003 (0.76%)



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