Study: Sell MARUTI 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 MARUTI 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 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
1-29626.2865303546.152837.248773.38-3278.38-16072.780.870.74-0.027-455.79
2-14198365273841.542982.348542.39-5855.43-22706.60.510.36-0.086-2184.36
3-24649765293644.622822.9810807.43-9121.21-37643.560.310.25-0.11-3792.26
4-22551965214432.314957.0320031.71-7491.29-26428.860.660.32-0.1-3469.52
5-24649065293644.624752.0613862.91-10674.99-31235.780.450.36-0.093-3792.15
6-22246565323349.235413.4416087.39-11990.77-34670.990.450.44-0.075-3422.54
7-233082652639407265.8124554.64-10820.32-44351.780.670.45-0.073-3585.87
8-26798864244037.57494.0932720.12-11196.16-63532.980.670.4-0.077-4187.31
9-25626564283643.757511.8627743.07-12961.02-64973.460.580.45-0.069-4004.13
10-23720464283643.758980.2543177.23-13573.65-54814.250.660.51-0.059-3706.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.74. 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-11-29626.2865303546.152837.248773.38-3278.38-16072.780.870.74-0.027-455.79
atrnil25.12-22493976146218.4212439.8132787.15-6437.04-19023.61.930.44-0.089-2959.73
atrtrail23.68-18416277205725.975382.7515328.8-5119.59-19023.61.050.37-0.098-2391.71
atrnil36.47-2837087696711.8416872.3225273.83-6500.87-19023.62.60.35-0.11-3733
atrtrail33.88-21818877205725.973681.4412645.96-5119.59-19023.60.720.25-0.14-2833.61
atrtrail-13.92-22312277205725.973434.739835.01-5119.59-19023.60.670.24-0.15-2897.69

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
MARUTI Performance, X=1, Profit Factor:0.742

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Nov 2019 (1.05%)
2018302 Jan 2018 (1.44%), 27 Jul 2018 (-0.77%), 06 Dec 2018 (-1.45%)
2017723 Jan 2017 (-0.65%), 13 Feb 2017 (1.36%), 22 May 2017 (-2.64%), 06 Jun 2017 (-1.32%), 20 Jul 2017 (-0.69%), 25 Sep 2017 (0.94%), 05 Dec 2017 (-1.32%)
2016409 Jun 2016 (1.38%), 12 Aug 2016 (0.7%), 27 Sep 2016 (-0.19%), 02 Nov 2016 (-0.19%)
2015403 Feb 2015 (1.39%), 06 Jul 2015 (0.4%), 24 Aug 2015 (1.01%), 06 Oct 2015 (-0.24%)
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%)
2013613 Mar 2013 (-3.24%), 16 May 2013 (1.13%), 21 Aug 2013 (-0.1%), 08 Nov 2013 (-0.13%), 13 Dec 2013 (-0.71%), 30 Dec 2013 (0.75%)
2012313 Feb 2012 (-3.48%), 02 May 2012 (3.22%), 12 Oct 2012 (2.46%)
2011318 Aug 2011 (0.03%), 13 Oct 2011 (2.93%), 16 Dec 2011 (1.6%)
2010427 Jan 2010 (-0.62%), 27 Apr 2010 (1.01%), 17 May 2010 (-0.08%), 06 Jul 2010 (0.89%)
2009606 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%)
2008228 Apr 2008 (-1.22%), 14 Nov 2008 (-2.18%)
2007303 Apr 2007 (1.39%), 07 Aug 2007 (-1.42%), 22 Oct 2007 (-4.03%)
2006315 Feb 2006 (-1.43%), 13 Mar 2006 (1.24%), 14 Jun 2006 (-5.11%)
2005230 Sep 2005 (-3.29%), 21 Dec 2005 (1.08%)
2004506 Jan 2004 (-3.24%), 21 Jan 2004 (2.7%), 30 Apr 2004 (1.74%), 30 Sep 2004 (-0.69%), 28 Dec 2004 (0.52%)
2003323 Oct 2003 (-8.04%), 14 Nov 2003 (-2.47%), 12 Dec 2003 (0.76%)



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