Study: Sell PAGEIND 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 PAGEIND 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 PAGEIND 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
1-94159.3657233440.352390.168891.82-4386.27-10232.830.540.37-0.11-1651.92
2-94199.2257253243.863673.939649.97-5813.98-17289.50.630.49-0.077-1652.62
3-83765.8757282949.124076.3412810.35-6824.26-18575.820.60.58-0.06-1469.58
4-16178657223538.64473.5614235.29-7434.42-52379.330.60.38-0.085-2838.36
5-16391356213537.54606.4414237.18-7447.11-53492.120.620.37-0.085-2927.03
6-14751456243242.864839.0313751.9-8239.09-51530.090.590.44-0.073-2634.18
7-16230556213537.55891.4316851.42-8172.15-46366.340.720.43-0.076-2898.31
8-16321456203635.716759.1426619.87-8288.81-47092.50.820.45-0.071-2914.54
9-15963856193733.938107.1140346.81-8477.65-445110.960.49-0.065-2850.68
10-16773256203635.718637.239825.86-9457.66-44685.930.910.51-0.067-2995.21
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
atrnil27.31-30506568115716.1815071.6420185.26-8260.57-20284.681.820.35-0.14-4486.24
atrtrail24.8-24622970165422.866845.1720185.26-6588-16259.471.040.31-0.14-3517.56
atrtrail-15.54-25223070165422.866470.1138743.84-6588-16259.470.980.29-0.13-3603.29
atrnil38.82-3649006876110.2920233.5823288.62-8303.85-20284.682.440.28-0.17-5366.17
atrtrail35.26-27297270165422.865173.7320835.42-6588-16259.470.790.23-0.17-3899.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.35. 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.
PAGEIND Performance, Profit Factor:0.352

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Jan 2019 (-4.69%), 08 Jan 2019 (-4.63%), 27 May 2019 (-4.61%), 07 Oct 2019 (-4.41%)
2018503 Jan 2018 (6.95%), 23 Apr 2018 (-2.96%), 12 Jul 2018 (-2.82%), 03 Sep 2018 (6.11%), 15 Nov 2018 (-5.28%)
2017603 Feb 2017 (-2.73%), 29 Jun 2017 (-3.91%), 10 Jul 2017 (7.89%), 25 Sep 2017 (-2.65%), 26 Sep 2017 (-2.76%), 23 Nov 2017 (-3.67%)
2016527 Apr 2016 (-3.53%), 10 Jun 2016 (-3.19%), 12 Sep 2016 (-2.92%), 14 Sep 2016 (-2.86%), 01 Nov 2016 (6.22%)
2015606 Jan 2015 (-4.57%), 31 Mar 2015 (-3.98%), 01 Apr 2015 (7.76%), 08 Jun 2015 (9.17%), 25 Aug 2015 (-4.72%), 08 Sep 2015 (-4.79%)
2014505 Feb 2014 (-2.89%), 25 Mar 2014 (6.05%), 24 Jul 2014 (7.0%), 27 Oct 2014 (-4.49%), 20 Nov 2014 (-3.43%)
20131015 Mar 2013 (-3.0%), 17 Apr 2013 (-3.15%), 18 Apr 2013 (-3.11%), 20 May 2013 (-3.14%), 11 Jun 2013 (-4.18%), 12 Jun 2013 (-4.43%), 23 Jul 2013 (-3.66%), 24 Jul 2013 (7.12%), 15 Oct 2013 (-2.34%), 25 Nov 2013 (-2.54%)
2012716 Feb 2012 (-4.66%), 04 May 2012 (-2.72%), 31 May 2012 (8.53%), 24 Aug 2012 (-3.01%), 27 Aug 2012 (-3.09%), 26 Sep 2012 (-3.29%), 19 Oct 2012 (-2.75%)
2011407 Mar 2011 (10.09%), 19 Apr 2011 (-3.82%), 13 Jul 2011 (-3.63%), 26 Aug 2011 (-5.53%)
2010822 Apr 2010 (-2.61%), 06 May 2010 (-3.71%), 12 May 2010 (-3.5%), 29 Jun 2010 (-3.36%), 27 Jul 2010 (-3.33%), 19 Aug 2010 (-4.63%), 29 Nov 2010 (-3.79%), 09 Dec 2010 (-4.88%)
2009329 Apr 2009 (-7.92%), 04 May 2009 (-8.42%), 29 Oct 2009 (-3.96%)
2008508 Feb 2008 (-10.14%), 15 Jul 2008 (-8.13%), 29 Jul 2008 (-7.04%), 22 Aug 2008 (-5.65%), 25 Aug 2008 (-5.81%)



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