Study: Sell NIFTY when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell NIFTY 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 NIFTY 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
1-2775.5180473358.751259.636634.14-1878.12-10638.220.670.96-0.005-34.69
2-3274.5580413951.252478.687371.47-2689.75-16728.940.920.97-0.0038-40.93
3-14634.9880423852.526026207.56-3261.02-16504.750.80.88-0.015-182.94
4-10058.980433753.752958.789058.11-3710.45-13739.630.80.93-0.0096-125.74
5-39835.0380413951.253114.5510682-4295.69-16187.130.730.76-0.033-497.94
6-80027.14803248403697.0315109.74-4131.92-15088.560.890.6-0.063-1000.34
7-71057.5979334641.77367813794.17-4183.29-15765.880.880.63-0.054-899.46
8-55343.0779364345.573958.6917891.79-4601.3-17484.510.860.72-0.038-700.55
9-54637.8879394049.373844.1215957.13-5113.96-17197.450.750.73-0.037-691.62
10-16812.8279374246.845019.0317752.5-4821.83-20269.351.040.92-0.01-212.82
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
atrnil24.2235163.4997385939.184930.669280.86-2579.69-4856.131.911.230.031362.51
atrtrail23.0918446.1298366236.734023.539280.86-2038.73-4668.341.971.150.018188.23
atrtrail33.656274.7395365937.893454.6410981.74-2001.57-4668.341.731.050.006566.05
atrtrail-13.95-576.0995365937.893264.3413925.51-2001.57-4668.341.631-0.00059-6.06
atrnil36.27-26527.3794217322.347448.1610981.74-2506.01-4668.342.970.85-0.021-282.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 39.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
NIFTY Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019803 Jan 2019 (-1.24%), 24 Jan 2019 (2.01%), 13 Feb 2019 (-1.07%), 08 Apr 2019 (-0.98%), 13 Jun 2019 (2.43%), 08 Jul 2019 (-1.18%), 19 Sep 2019 (-1.35%), 07 Oct 2019 (-1.7%)
2018702 Feb 2018 (2.13%), 19 Mar 2018 (-1.26%), 16 May 2018 (1.72%), 20 Jun 2018 (1.66%), 03 Sep 2018 (1.55%), 10 Dec 2018 (-1.27%), 24 Dec 2018 (-1.23%)
20171015 Feb 2017 (-0.88%), 27 Feb 2017 (-0.83%), 22 Mar 2017 (-0.82%), 09 May 2017 (-0.71%), 22 May 2017 (-0.75%), 12 Jun 2017 (-0.71%), 07 Aug 2017 (1.45%), 25 Sep 2017 (1.79%), 08 Nov 2017 (1.64%), 30 Nov 2017 (1.6%)
20161206 Jan 2016 (2.17%), 07 Jan 2016 (2.41%), 10 Feb 2016 (3.13%), 11 Feb 2016 (-1.76%), 25 Feb 2016 (-1.73%), 06 Apr 2016 (-1.36%), 29 Apr 2016 (-1.27%), 13 Jun 2016 (-1.06%), 01 Aug 2016 (-0.95%), 14 Sep 2016 (-0.96%), 26 Oct 2016 (1.98%), 22 Dec 2016 (-1.12%)
20151007 Jan 2015 (-1.24%), 08 Jan 2015 (-1.26%), 05 Feb 2015 (2.55%), 23 Feb 2015 (-1.27%), 09 Mar 2015 (2.87%), 20 Apr 2015 (2.73%), 03 Jun 2015 (-1.42%), 27 Jul 2015 (-1.2%), 10 Aug 2015 (2.11%), 29 Oct 2015 (2.34%)
20141002 Jan 2014 (-1.17%), 27 Jan 2014 (2.31%), 15 Apr 2014 (-0.99%), 30 May 2014 (-1.53%), 02 Jun 2014 (-1.53%), 16 Jun 2014 (-1.38%), 17 Jun 2014 (-1.39%), 08 Jul 2014 (-1.25%), 01 Aug 2014 (-1.23%), 02 Dec 2014 (-0.91%)
20131110 Jan 2013 (-0.89%), 17 Jan 2013 (-0.96%), 24 Jan 2013 (-0.92%), 25 Jan 2013 (1.84%), 20 Mar 2013 (2.61%), 26 Jul 2013 (2.8%), 30 Sep 2013 (-2.14%), 28 Oct 2013 (-1.53%), 29 Oct 2013 (-1.56%), 06 Nov 2013 (2.66%), 16 Dec 2013 (-1.25%)
2012923 Feb 2012 (2.96%), 10 Apr 2012 (-1.65%), 24 Apr 2012 (3.12%), 13 Jul 2012 (2.51%), 28 Aug 2012 (2.07%), 09 Oct 2012 (-1.12%), 12 Nov 2012 (2.07%), 17 Dec 2012 (-0.98%), 21 Dec 2012 (-1.01%)
20111107 Jan 2011 (2.85%), 21 Mar 2011 (-1.95%), 18 Apr 2011 (-1.74%), 16 Jun 2011 (2.49%), 15 Jul 2011 (-1.42%), 27 Jul 2011 (2.93%), 26 Sep 2011 (-2.33%), 27 Sep 2011 (4.64%), 04 Oct 2011 (-2.43%), 11 Nov 2011 (3.66%), 13 Dec 2011 (4.54%)
2010931 Mar 2010 (-1.22%), 12 Apr 2010 (2.42%), 02 Jul 2010 (-1.49%), 28 Jul 2010 (-1.11%), 25 Aug 2010 (1.99%), 08 Oct 2010 (-1.27%), 11 Oct 2010 (-1.27%), 12 Nov 2010 (2.95%), 09 Dec 2010 (-1.89%)



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