Study: Sell MRF when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell MRF 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 MRF 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
172206.31188959350.533345.6819955.24-2641.21-11801.641.271.290.019384.08
283022.24188969251.064509.3128316.02-3802.95-28993.991.191.240.015441.61
3-25355.421889494505114.9620120.28-5384.7-34208.890.950.95-0.0039-134.87
412342.27188979151.66012.9427774.74-6273.77-31733.330.961.020.001765.65
5-35525.661888110743.097725.1434193.36-6180.02-29865.081.250.95-0.0042-188.97
6-11750.611888310544.15880944982.7-7075.21-32206.711.250.98-0.0012-62.5
7-69791.91888210643.629607.9450519.03-8090.97-32193.991.190.92-0.0063-371.23
8-1707471888410444.689263.2249058.82-9123.63-47573.711.020.82-0.014-908.23
9-2197611888810046.818835.9551858.84-9973.24-52802.310.890.78-0.018-1168.94
10-3712571888810046.818905.5356559.29-11549.44-66512.180.770.68-0.027-1974.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.29. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.

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-1172206.31188959350.533345.6819955.24-2641.21-11801.641.271.290.019384.08
atrnil26.01-1288022136315029.5813739.5331807.9-6629.28-17191.342.070.87-0.013-604.7
atrtrail24.26-1177622196415529.229744.2531807.9-4783.18-17191.342.040.84-0.014-537.73
atrnil38.56-2471372014016119.920853.6842474.41-6716.05-17191.343.110.77-0.022-1229.54
atrtrail-15.07-1919642146315129.448352.2244603.74-4755.98-17191.341.760.73-0.023-897.03
atrtrail34.8-1932682146315129.448331.5134082.23-4755.98-17191.341.750.73-0.025-903.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRF Performance, X=1, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Apr 2019 (-1.82%), 13 Jun 2019 (0.12%), 08 Jul 2019 (0.37%), 05 Sep 2019 (-1.79%), 03 Oct 2019 (0.87%), 25 Oct 2019 (-0.06%)
2018910 Jan 2018 (0.23%), 07 Mar 2018 (0.06%), 24 Apr 2018 (0.58%), 05 Jun 2018 (-0.63%), 27 Jun 2018 (1.49%), 17 Jul 2018 (1.01%), 06 Aug 2018 (-0.4%), 04 Dec 2018 (1.28%), 24 Dec 2018 (-1.82%)
2017820 Jan 2017 (-1.32%), 12 Apr 2017 (-0.07%), 08 May 2017 (1.41%), 22 Jun 2017 (1.47%), 04 Aug 2017 (-2.2%), 25 Sep 2017 (-0.05%), 25 Oct 2017 (-0.11%), 30 Nov 2017 (3.52%)
2016808 Jan 2016 (-0.88%), 08 Apr 2016 (-0.94%), 13 Jun 2016 (0.19%), 22 Jul 2016 (-1.51%), 22 Aug 2016 (-0.73%), 17 Oct 2016 (-3.52%), 15 Nov 2016 (-0.88%), 20 Dec 2016 (1.95%)
2015822 Jan 2015 (1.07%), 06 Feb 2015 (3.98%), 26 Feb 2015 (-3.43%), 21 Apr 2015 (0.84%), 04 Jun 2015 (1.02%), 13 Aug 2015 (-1.7%), 12 Oct 2015 (-0.18%), 27 Oct 2015 (0.79%)
2014807 Feb 2014 (-0.13%), 28 Mar 2014 (-1.54%), 22 Apr 2014 (2.39%), 13 Jun 2014 (2.04%), 11 Aug 2014 (-0.17%), 25 Sep 2014 (0.7%), 19 Nov 2014 (0.16%), 17 Dec 2014 (-4.46%)
20131114 Jan 2013 (-0.36%), 21 Mar 2013 (0.55%), 23 May 2013 (-2.36%), 01 Aug 2013 (0.94%), 22 Aug 2013 (-1.21%), 06 Sep 2013 (-0.7%), 24 Sep 2013 (0.07%), 29 Oct 2013 (-0.67%), 12 Nov 2013 (-0.55%), 02 Dec 2013 (0.57%), 26 Dec 2013 (-1.76%)
2012924 Jan 2012 (-2.89%), 27 Feb 2012 (-4.17%), 11 Jun 2012 (-1.61%), 17 Jul 2012 (-1.46%), 28 Aug 2012 (4.09%), 24 Sep 2012 (-0.9%), 15 Oct 2012 (0.54%), 12 Nov 2012 (-0.68%), 31 Dec 2012 (-3.31%)
20111011 Jan 2011 (-1.33%), 31 Jan 2011 (2.64%), 30 Mar 2011 (0.91%), 04 May 2011 (-0.39%), 13 Jun 2011 (-1.46%), 26 Jul 2011 (1.28%), 23 Sep 2011 (1.48%), 24 Oct 2011 (-1.6%), 17 Nov 2011 (0.69%), 14 Dec 2011 (-1.03%)
2010621 Jan 2010 (0.85%), 01 Apr 2010 (-0.9%), 01 Jun 2010 (-0.16%), 08 Jul 2010 (0.43%), 22 Sep 2010 (0.79%), 22 Oct 2010 (0.03%)
2009909 Jan 2009 (1.02%), 05 Mar 2009 (0.39%), 05 May 2009 (0.73%), 12 Jun 2009 (2.96%), 11 Aug 2009 (0.95%), 06 Oct 2009 (-0.75%), 22 Oct 2009 (1.15%), 19 Nov 2009 (-0.15%), 30 Dec 2009 (0.37%)
2008512 Feb 2008 (-0.57%), 17 Mar 2008 (-0.64%), 12 May 2008 (1.13%), 20 Jun 2008 (3.52%), 28 Aug 2008 (-2.01%)
2007509 Jan 2007 (0.41%), 23 May 2007 (1.32%), 27 Jul 2007 (-0.5%), 18 Sep 2007 (-0.59%), 14 Nov 2007 (2.95%)
2006724 Feb 2006 (-1.21%), 27 Mar 2006 (0.63%), 25 Apr 2006 (-0.62%), 25 Aug 2006 (-0.46%), 20 Oct 2006 (-1.63%), 22 Nov 2006 (-0.54%), 06 Dec 2006 (-0.21%)
2005717 Mar 2005 (2.56%), 02 May 2005 (2.7%), 20 Jun 2005 (-1.02%), 11 Jul 2005 (0.84%), 05 Sep 2005 (0.15%), 21 Sep 2005 (4.25%), 16 Dec 2005 (0.44%)
2004825 Feb 2004 (-2.37%), 11 Mar 2004 (1.27%), 30 Apr 2004 (-2.77%), 14 May 2004 (9.98%), 29 Jun 2004 (1.06%), 27 Aug 2004 (-0.06%), 23 Sep 2004 (0.5%), 27 Dec 2004 (-0.52%)
20031203 Jan 2003 (0.59%), 11 Feb 2003 (-0.34%), 27 Feb 2003 (-1.95%), 13 Mar 2003 (-2.64%), 03 Jun 2003 (2.41%), 18 Jul 2003 (1.46%), 22 Aug 2003 (4.1%), 18 Sep 2003 (1.1%), 20 Oct 2003 (1.82%), 07 Nov 2003 (-5.9%), 02 Dec 2003 (1.25%), 31 Dec 2003 (-2.72%)
2002831 Jan 2002 (-0.77%), 28 Feb 2002 (-0.57%), 16 Apr 2002 (0.7%), 16 May 2002 (0.38%), 11 Jul 2002 (-0.29%), 14 Aug 2002 (-1.19%), 30 Sep 2002 (2.38%), 29 Oct 2002 (1.22%)
2001503 May 2001 (3.59%), 08 Jun 2001 (0.06%), 25 Jul 2001 (1.19%), 03 Oct 2001 (-0.78%), 13 Dec 2001 (1.28%)
2000720 Jan 2000 (1.07%), 23 Feb 2000 (3.57%), 24 Apr 2000 (7.99%), 22 Jun 2000 (-0.07%), 20 Sep 2000 (-0.88%), 24 Nov 2000 (-0.53%), 19 Dec 2000 (1.21%)
1999729 Jan 1999 (8.0%), 27 Feb 1999 (-1.21%), 20 Mar 1999 (0.68%), 27 May 1999 (4.77%), 29 Jul 1999 (2.71%), 28 Oct 1999 (4.59%), 15 Dec 1999 (-0.17%)
1998723 Jan 1998 (1.1%), 16 Mar 1998 (0.27%), 24 Apr 1998 (-2.11%), 06 Aug 1998 (1.6%), 06 Oct 1998 (-5.65%), 27 Nov 1998 (-0.43%), 18 Dec 1998 (-1.07%)
19971130 Jan 1997 (0.5%), 10 Mar 1997 (4.23%), 25 Mar 1997 (-0.01%), 24 Apr 1997 (2.46%), 09 Jun 1997 (-0.8%), 15 Jul 1997 (-3.32%), 04 Aug 1997 (0.07%), 26 Aug 1997 (-1.35%), 15 Sep 1997 (-3.11%), 10 Oct 1997 (2.6%), 04 Dec 1997 (-0.0%)
1996629 Feb 1996 (-0.42%), 08 Apr 1996 (-5.05%), 20 May 1996 (-2.5%), 03 Jul 1996 (-0.57%), 20 Sep 1996 (0.88%), 14 Nov 1996 (-0.0%)
1995115 Nov 1995 (2.41%)



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