Study: Sell MUTHOOTFIN 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 MUTHOOTFIN 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 MUTHOOTFIN 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
130715.0933221166.673226.1116007.11-3659.93-6959.010.881.760.069930.76
28354.7133161748.485876.827834.59-5039.65-25840.341.171.10.011253.17
3-33199.6433151845.455722.6219297.47-6613.27-23021.930.870.72-0.042-1006.05
4-46009.9833141942.426095.2523743.89-6912.81-21544.330.880.65-0.055-1394.24
5-46842.733132039.397744.726411.74-7376.19-32983.791.050.68-0.048-1419.48
6-33759.0933151845.458053.6425700.31-8586.87-30838.890.940.78-0.032-1023
7-10910233141942.426796.3526767.45-10750.05-39418.490.630.47-0.09-3306.12
8-12489133132039.398317.0830502.45-11650.66-58674.930.710.46-0.087-3784.58
9-15988233112233.339173.1333348.15-11853.93-60343.180.770.39-0.1-4844.91
10-2333933392427.2710538.6738950.64-13676.7-60581.510.770.29-0.14-7072.51

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.76. 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 66.67%, which is good. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1130715.0933221166.673226.1116007.11-3659.93-6959.010.881.760.069930.76
atrtrail35.03-79441.963782921.6213546.7237666.37-6476.4-10607.332.090.58-0.073-2147.08
atrnil313.24-1114503462817.6524568.0537666.37-9244.95-15936.482.660.57-0.085-3277.95
atrtrail24.47-83944.793892923.6812018.5525110.91-6624.54-10607.331.810.56-0.083-2209.07
atrnil27.76-1192203782921.6218023.0225110.91-9082.91-15936.481.980.55-0.097-3222.16
atrtrail-15.59-98215.173782921.6211200.0730572.65-6476.4-10607.331.730.48-0.1-2654.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 66.67%, which is good. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MUTHOOTFIN Performance, X=1, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Mar 2019 (0.33%), 12 Jun 2019 (-0.56%), 14 Oct 2019 (0.93%)
2018420 Feb 2018 (0.87%), 09 Mar 2018 (-2.02%), 03 May 2018 (0.09%), 28 Nov 2018 (1.49%)
2017126 Apr 2017 (-2.94%)
2016705 May 2016 (-0.76%), 25 May 2016 (-3.48%), 20 Jun 2016 (-3.14%), 05 Jul 2016 (3.08%), 17 Aug 2016 (-0.28%), 12 Sep 2016 (3.78%), 15 Dec 2016 (0.28%)
2015403 Feb 2015 (-0.79%), 05 Mar 2015 (0.75%), 18 Sep 2015 (-2.98%), 29 Oct 2015 (0.11%)
2014427 Jan 2014 (-2.91%), 28 Feb 2014 (1.18%), 29 May 2014 (1.69%), 09 Sep 2014 (0.53%)
2013416 Jan 2013 (1.27%), 06 Feb 2013 (2.32%), 29 Jul 2013 (5.1%), 16 Sep 2013 (8.0%)
2012509 Feb 2012 (0.28%), 26 Apr 2012 (0.21%), 13 Aug 2012 (0.58%), 12 Oct 2012 (0.57%), 22 Nov 2012 (-0.27%)
2011118 Nov 2011 (2.06%)



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