Study: Sell OIL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell OIL 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 OIL 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
1-81455.8896405641.671954.6611831.09-2850.75-9926.20.690.49-0.085-848.5
2-63619.3896395740.623014.2312282.52-3178.5-9830.820.950.65-0.053-662.7
3-78997.4796445245.833620.8615791.41-4582.99-13036.290.790.67-0.049-822.89
4-70163.3996385839.585157.1915460.89-4588.56-18304.771.120.74-0.037-730.87
5-52316.8196425443.755103.3120969.52-4938.07-17822.461.030.8-0.025-544.97
6-54249.9396514553.124511.6818456.2-6318.8-19368.650.710.81-0.025-565.1
7-89520.0796445245.835579.7523097.9-6442.86-24558.590.870.73-0.036-932.5
8-10113496455146.885324.4519806.26-6681.05-25123.10.80.7-0.041-1053.47
9-13107096465047.925535.9921762.44-7714.52-30843.370.720.66-0.049-1365.31
10-16049196415542.716602.8221991.9-7840.12-29942.380.840.63-0.057-1671.78
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
atrnil311.47-11184289187120.2217790.0525576.67-6085.39-10948.782.920.74-0.041-1256.65
atrnil27.42-183205106258123.5811770.9117183.34-5894.78-10948.7820.62-0.071-1728.35
atrtrail24.53-175844117308725.647254.415055.31-4522.71-10089.741.60.55-0.08-1502.94
atrtrail34.87-174882115298625.227359.6521095.2-4515.25-10089.741.630.55-0.075-1520.71
atrtrail-15.18-220298115298625.225793.5517275.34-4515.25-10089.741.280.43-0.11-1915.64

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.
OIL Performance, Profit Factor:0.741

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019831 Jan 2019 (-2.15%), 20 Mar 2019 (-2.96%), 05 Apr 2019 (-2.67%), 09 May 2019 (-2.13%), 06 Jun 2019 (7.31%), 08 Jul 2019 (-2.58%), 21 Aug 2019 (-3.41%), 27 Sep 2019 (-3.85%)
2018918 Jan 2018 (-2.26%), 21 Feb 2018 (-3.09%), 05 Apr 2018 (-3.62%), 04 May 2018 (-3.32%), 07 May 2018 (-3.25%), 24 May 2018 (-4.07%), 19 Jun 2018 (-3.35%), 05 Oct 2018 (-5.02%), 30 Nov 2018 (11.29%)
2017716 Jan 2017 (7.74%), 22 Jun 2017 (7.35%), 14 Aug 2017 (-2.7%), 21 Aug 2017 (-3.16%), 09 Oct 2017 (-3.11%), 09 Nov 2017 (-3.0%), 01 Dec 2017 (-2.58%)
20161012 Jan 2016 (10.29%), 08 Feb 2016 (10.46%), 01 Mar 2016 (-3.41%), 12 May 2016 (-2.24%), 08 Jun 2016 (-2.06%), 13 Jun 2016 (-2.15%), 27 Jul 2016 (-2.24%), 28 Sep 2016 (-1.98%), 17 Oct 2016 (6.59%), 20 Dec 2016 (-2.25%)
20151106 Jan 2015 (-2.89%), 12 Feb 2015 (8.64%), 27 Mar 2015 (-3.1%), 27 Apr 2015 (-3.55%), 07 May 2015 (-3.58%), 25 May 2015 (9.46%), 29 Jul 2015 (-2.34%), 24 Aug 2015 (-2.99%), 25 Aug 2015 (-3.1%), 04 Sep 2015 (-3.77%), 20 Oct 2015 (7.74%)
20141007 Jan 2014 (-2.93%), 20 Jan 2014 (-2.64%), 25 Mar 2014 (-2.69%), 07 Apr 2014 (-2.79%), 30 Apr 2014 (-2.69%), 29 May 2014 (-3.85%), 11 Aug 2014 (-2.33%), 16 Sep 2014 (8.52%), 13 Nov 2014 (-3.03%), 01 Dec 2014 (-3.34%)
20131031 Jan 2013 (-4.3%), 07 May 2013 (-3.07%), 03 Jun 2013 (-3.55%), 03 Jul 2013 (12.79%), 28 Aug 2013 (-5.47%), 30 Sep 2013 (-4.67%), 24 Oct 2013 (-3.33%), 11 Nov 2013 (-2.96%), 12 Nov 2013 (-2.97%), 12 Dec 2013 (-2.54%)
20121005 Jan 2012 (-2.8%), 23 Feb 2012 (8.13%), 07 May 2012 (-2.74%), 16 May 2012 (-2.94%), 09 Jul 2012 (-2.87%), 27 Jul 2012 (-2.31%), 13 Sep 2012 (-2.23%), 14 Sep 2012 (-2.38%), 18 Oct 2012 (-2.11%), 19 Oct 2012 (6.46%)
2011607 Jan 2011 (-2.75%), 10 Jan 2011 (10.55%), 22 Feb 2011 (-3.69%), 13 Apr 2011 (-3.08%), 09 May 2011 (-3.15%), 16 May 2011 (9.26%)
2010816 Feb 2010 (7.77%), 11 Jun 2010 (-3.31%), 16 Jun 2010 (-3.71%), 09 Jul 2010 (-3.87%), 03 Sep 2010 (-2.75%), 21 Sep 2010 (9.78%), 12 Nov 2010 (-3.14%), 15 Dec 2010 (-3.12%)



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