Study: Sell ORIENTBANK when there is Bearish Crossover in MACD and ADX is Trending

home > technical-strategy > orientbank > 27

In this study, we evaluate the performance of strategy "Sell ORIENTBANK 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 ORIENTBANK 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
1-76578.8384345040.484110.1813254.94-4326.5-13339.450.950.65-0.036-911.65
2-74905.0484374744.055862.8513543.75-6209.16-21455.050.940.74-0.024-891.73
3-11074284374744.057293.6317419.1-8098-24339.840.90.71-0.028-1318.36
4-75446.5784414348.818049.2718826.41-9429.46-28932.260.850.81-0.017-898.17
5-15199.9484473755.958539.629729.73-11258.4-31000.930.760.96-0.003-180.95
6-10789284483657.148955.2136036.04-14937.28-44606.790.60.8-0.017-1284.43
7-11091884434151.1910809.9829095.35-14042.6-67501.650.770.81-0.016-1320.45
8-13082184434151.1910926.5136336.34-14650.28-68556.360.750.78-0.018-1557.4
9-1046518442425011539.3935393.87-14031.08-64864.860.820.82-0.014-1245.84
10-12118084414348.8112960.8738019.56-15176.17-78180.620.850.81-0.015-1442.62
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
atrnil38.22-21749795217422.1124226.7337255.9-9814.3-24165.342.470.7-0.032-2289.44
atrtrail24.29-15335296326433.3310268.924837.27-7530.58-24165.341.360.68-0.032-1597.42
atrtrail34.66-18040996326433.339423.3730333.14-7530.58-24165.341.250.63-0.038-1879.26
atrnil26.37-26454795266927.3716187.1424837.27-9933.51-24165.341.630.61-0.047-2784.7
atrtrail-14.9-21892096326433.338219.8925537.56-7530.58-24165.341.090.55-0.051-2280.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
ORIENTBANK Performance, Profit Factor:0.701

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (11.04%), 08 Apr 2019 (12.77%)
2018128 Nov 2018 (-5.5%)
2017515 Feb 2017 (-4.13%), 21 Apr 2017 (-3.37%), 24 Apr 2017 (-3.35%), 12 May 2017 (14.25%), 09 Nov 2017 (-5.79%)
2016204 Feb 2016 (-6.13%), 11 Feb 2016 (-8.21%)
2015225 Mar 2015 (-4.4%), 30 Jun 2015 (-4.26%)
2014616 Apr 2014 (-4.63%), 17 Apr 2014 (-4.53%), 08 May 2014 (-4.13%), 09 Jun 2014 (15.17%), 13 Aug 2014 (-4.87%), 20 Nov 2014 (-4.37%)
2013607 Jan 2013 (9.89%), 22 Feb 2013 (11.59%), 19 Mar 2013 (-5.11%), 17 Jul 2013 (18.63%), 27 Sep 2013 (-7.13%), 19 Dec 2013 (-5.14%)
2012522 Feb 2012 (-4.9%), 13 Jul 2012 (8.4%), 27 Aug 2012 (-3.9%), 09 Oct 2012 (-4.02%), 19 Dec 2012 (-3.82%)
2011407 Jan 2011 (13.58%), 28 Jan 2011 (-5.5%), 07 Feb 2011 (-5.44%), 08 Apr 2011 (10.8%)
2010415 Mar 2010 (-4.05%), 15 Apr 2010 (-2.88%), 07 May 2010 (-3.34%), 10 May 2010 (10.09%)
2009609 Mar 2009 (-7.34%), 29 Apr 2009 (-6.41%), 05 Jun 2009 (15.78%), 25 Sep 2009 (-4.08%), 23 Oct 2009 (-4.42%), 27 Nov 2009 (-4.45%)
2008112 Feb 2008 (-9.48%)
2007331 May 2007 (-4.4%), 01 Jun 2007 (-4.3%), 25 Jul 2007 (11.26%)
2006217 Jul 2006 (-6.28%), 10 Oct 2006 (-3.82%)
2005318 Mar 2005 (10.95%), 11 May 2005 (-5.16%), 09 Aug 2005 (-3.29%)
2004327 Apr 2004 (16.41%), 31 May 2004 (-12.08%), 15 Dec 2004 (-3.75%)
2003728 Jan 2003 (-5.62%), 23 Apr 2003 (-5.47%), 24 Apr 2003 (-5.64%), 22 Jul 2003 (-6.5%), 23 Oct 2003 (-7.45%), 24 Oct 2003 (-7.15%), 06 Nov 2003 (-6.06%)
2002722 Feb 2002 (-3.74%), 24 Jun 2002 (-3.97%), 05 Sep 2002 (-2.59%), 20 Sep 2002 (7.82%), 16 Oct 2002 (-4.57%), 01 Nov 2002 (-5.37%), 27 Dec 2002 (-4.0%)
2001610 Jan 2001 (-3.83%), 02 Feb 2001 (-4.04%), 05 Feb 2001 (-4.04%), 20 Feb 2001 (-4.33%), 02 Apr 2001 (-4.95%), 07 Aug 2001 (-2.63%)
2000207 Dec 2000 (-3.75%), 18 Dec 2000 (-4.15%)
1999628 May 1999 (-6.91%), 23 Jul 1999 (-5.62%), 06 Sep 1999 (-4.9%), 14 Dec 1999 (-4.96%), 15 Dec 1999 (-4.85%), 27 Dec 1999 (-5.38%)
1998412 Jan 1998 (-4.8%), 03 Mar 1998 (-2.83%), 04 Mar 1998 (-2.8%), 23 Apr 1998 (14.2%)
1997220 Jan 1997 (12.91%), 20 Jun 1997 (-3.43%)
1996428 Feb 1996 (-4.95%), 30 Apr 1996 (-5.71%), 19 Jun 1996 (-3.99%), 10 Sep 1996 (11.29%)
1995226 Jun 1995 (8.63%), 19 Oct 1995 (8.92%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play