Study: Sell OIL 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 OIL 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 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
1-36155.8726101638.462242.575370.37-3661.35-9926.20.610.38-0.12-1390.61
2-28192.0826111542.312948.099058.61-4041.4-8215.570.730.53-0.082-1084.31
3-30537.126121446.153782.2911900.53-5423.18-13036.290.70.6-0.064-1174.5
4-21830.192691734.625813.2111969.63-4361.71-11717.51.330.71-0.044-839.62
5-35203.3526111542.315311.6515559.5-6242.1-17822.460.850.62-0.057-1353.97
6-48719.3326121446.154941.2214920.07-7715.28-19368.650.640.55-0.071-1873.82
7-74736261313504541.0312575.49-10289.96-24558.590.440.44-0.094-2874.46
8-62563.6926121446.154968.8113412.82-8727.82-20670.660.570.49-0.086-2406.3
9-94088.112691734.625210.8911474.25-8293.3-23568.860.630.33-0.13-3618.77
10-93006.052691734.624436.1612717.58-7819.5-19352.520.570.3-0.15-3577.16
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
atrnil39.54-41491.362862221.4316940.0120910.78-6505.97-10948.782.60.71-0.048-1481.83
atrnil27.79-49596.36287212512134.7717183.34-6406.65-10948.781.890.63-0.068-1771.3
atrtrail24.62-57620.392982127.597264.1613940.52-5511.13-10089.741.320.5-0.096-1986.91
atrtrail34.9-60222.912982127.596938.8419562.54-5511.13-10089.741.260.48-0.098-2076.65
atrtrail-15.1-77961.852982127.594721.4710229.92-5511.13-10089.740.860.33-0.16-2688.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. 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:0.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019231 Jan 2019 (-2.15%), 21 Aug 2019 (-3.41%)
2018105 Oct 2018 (-5.02%)
2017522 Jun 2017 (7.35%), 14 Aug 2017 (-2.7%), 21 Aug 2017 (-3.16%), 09 Oct 2017 (-3.11%), 09 Nov 2017 (-3.0%)
2016608 Feb 2016 (10.46%), 01 Mar 2016 (-3.41%), 08 Jun 2016 (-2.06%), 13 Jun 2016 (-2.15%), 28 Sep 2016 (-1.98%), 17 Oct 2016 (6.59%)
2015129 Jul 2015 (-2.34%)
2014229 May 2014 (-3.85%), 16 Sep 2014 (8.52%)
2013331 Jan 2013 (-4.3%), 03 Jun 2013 (-3.55%), 28 Aug 2013 (-5.47%)
2012123 Feb 2012 (8.13%)
2010711 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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