Study: Sell PIDILITIND when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell PIDILITIND 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 PIDILITIND 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
1-1149401928211042.712336.2310590.02-2786.47-10313.450.840.63-0.035-598.65
2-120950192939948.443284.0812837.69-4306.76-17321.20.760.72-0.025-629.95
393836.47192979550.525408.87176887-4534.99-14938.261.191.220.0072488.73
443088.191918810346.076375.46175515-5028.67-34007.411.271.080.0032225.59
5-81872.681919010147.127043.99173441-7087.44-41298.780.990.89-0.0058-428.65
6-1739321918710445.557563.89172814-7999.91-69742.590.950.79-0.012-910.64
7-1913331918910246.68098.22173252-8941.9-59543.470.910.79-0.012-1001.74
8-2325891919110047.648140.9174011-9734.1-69120.880.840.76-0.014-1217.74
9-1543271919110047.649321.97175033-10026.26-62087.910.930.85-0.0092-807.99
10-2843921918011141.8811305.06174916-10709.87-65384.621.060.76-0.016-1488.96
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
atrtrail25.01-3344702256016526.678764.2121707.21-5214.08-15226.471.680.61-0.042-1486.53
atrnil28.94-5345342115215924.6413810.5527817.26-7878.5-1675831.750.57-0.035-2533.33
atrtrail35.32-3803002245816625.898315.9932560.82-5196.55-15226.471.60.56-0.046-1697.77
atrnil311.8-6798971973116615.7420339.9632560.82-7894.19-1675832.580.48-0.045-3451.26
atrtrail-15.52-46848722456168257119.8834638.56-5161.91-15226.471.380.46-0.063-2091.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. 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.
PIDILITIND Performance, Profit Factor:0.611

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019624 Jan 2019 (-2.02%), 14 Feb 2019 (5.46%), 18 Apr 2019 (4.33%), 14 Jun 2019 (0.96%), 30 Aug 2019 (-0.09%), 04 Oct 2019 (-0.66%)
2018901 Jan 2018 (-1.69%), 06 Mar 2018 (-1.01%), 04 May 2018 (-2.08%), 04 Jun 2018 (6.17%), 19 Jul 2018 (-1.03%), 30 Aug 2018 (-2.26%), 04 Sep 2018 (-2.55%), 23 Oct 2018 (-4.78%), 06 Dec 2018 (-1.76%)
20171209 Feb 2017 (-2.33%), 27 Feb 2017 (-2.09%), 23 Mar 2017 (-0.33%), 02 May 2017 (-1.6%), 22 May 2017 (0.21%), 22 Jun 2017 (-2.03%), 28 Jun 2017 (-2.47%), 10 Aug 2017 (-1.58%), 14 Sep 2017 (-1.77%), 22 Sep 2017 (4.28%), 26 Oct 2017 (0.95%), 05 Dec 2017 (-2.29%)
2016812 Jan 2016 (-2.03%), 26 Feb 2016 (-3.44%), 27 Apr 2016 (0.77%), 10 Jun 2016 (-1.68%), 01 Aug 2016 (0.28%), 26 Sep 2016 (3.96%), 20 Oct 2016 (-1.37%), 16 Dec 2016 (5.61%)
20151027 Jan 2015 (6.64%), 23 Feb 2015 (1.45%), 12 Mar 2015 (-3.31%), 25 Mar 2015 (1.14%), 21 May 2015 (-0.53%), 23 Jul 2015 (-0.72%), 18 Aug 2015 (5.77%), 22 Sep 2015 (-2.93%), 23 Oct 2015 (-0.89%), 10 Dec 2015 (-0.88%)
2014714 Feb 2014 (-2.54%), 12 Mar 2014 (-2.17%), 28 Apr 2014 (5.35%), 29 May 2014 (1.44%), 07 Aug 2014 (-3.08%), 07 Nov 2014 (-2.57%), 15 Dec 2014 (6.91%)
20131114 Jan 2013 (-0.62%), 26 Feb 2013 (-2.63%), 26 Mar 2013 (-3.72%), 05 Apr 2013 (0.31%), 23 May 2013 (-2.94%), 24 May 2013 (-2.99%), 31 May 2013 (5.63%), 29 Jul 2013 (-2.1%), 15 Oct 2013 (-0.88%), 14 Nov 2013 (-1.33%), 06 Dec 2013 (-2.0%)
2012925 Jan 2012 (1.38%), 20 Mar 2012 (-2.46%), 17 Apr 2012 (-3.35%), 20 Apr 2012 (-2.81%), 04 May 2012 (-3.11%), 14 Jun 2012 (-2.15%), 11 Jul 2012 (-1.91%), 18 Sep 2012 (-2.83%), 14 Dec 2012 (-0.6%)
2011910 Jan 2011 (-1.09%), 07 Mar 2011 (-2.04%), 03 May 2011 (-0.7%), 17 Jun 2011 (-3.75%), 20 Jun 2011 (-4.03%), 15 Jul 2011 (-3.06%), 26 Jul 2011 (-3.88%), 03 Oct 2011 (-1.86%), 22 Nov 2011 (-1.7%)
2010920 Jan 2010 (7.75%), 25 Mar 2010 (-2.83%), 04 May 2010 (6.3%), 15 Jul 2010 (-3.35%), 13 Aug 2010 (-1.92%), 09 Sep 2010 (-3.03%), 07 Oct 2010 (1.57%), 18 Nov 2010 (-0.42%), 16 Dec 2010 (-0.71%)
2009712 Jan 2009 (-2.54%), 17 Feb 2009 (8.22%), 11 May 2009 (-4.78%), 09 Jun 2009 (-1.23%), 12 Aug 2009 (-3.17%), 03 Nov 2009 (-4.38%), 04 Dec 2009 (0.11%)
2008702 Jan 2008 (9.78%), 11 Feb 2008 (-3.01%), 04 Mar 2008 (-1.46%), 08 May 2008 (-1.03%), 28 May 2008 (8.64%), 23 Jun 2008 (-3.99%), 19 Aug 2008 (0.28%)
2007917 Jan 2007 (-4.27%), 18 Jan 2007 (8.51%), 16 Mar 2007 (-4.42%), 30 Apr 2007 (-3.5%), 30 Jul 2007 (-1.12%), 06 Sep 2007 (-3.01%), 17 Sep 2007 (-4.5%), 08 Oct 2007 (-4.6%), 12 Nov 2007 (-3.51%)
2006902 Feb 2006 (-3.62%), 27 Feb 2006 (-2.92%), 22 Mar 2006 (-3.2%), 23 Mar 2006 (-3.23%), 28 Apr 2006 (-4.29%), 29 Aug 2006 (-0.4%), 17 Oct 2006 (-2.75%), 26 Oct 2006 (-0.65%), 17 Nov 2006 (-3.26%)
20051406 Jan 2005 (-3.79%), 13 Jan 2005 (2.17%), 21 Feb 2005 (-3.4%), 22 Feb 2005 (-3.52%), 11 Mar 2005 (-3.52%), 14 Mar 2005 (-3.55%), 29 Apr 2005 (-4.05%), 02 Jun 2005 (-3.75%), 20 Jun 2005 (6.92%), 21 Jun 2005 (-3.94%), 30 Jun 2005 (-4.0%), 13 Jul 2005 (-2.8%), 15 Sep 2005 (-4.09%), 21 Sep 2005 (6.3%)
2004706 Jan 2004 (-4.59%), 10 Mar 2004 (7.41%), 30 Apr 2004 (-2.74%), 12 May 2004 (7.3%), 15 Jul 2004 (-1.98%), 09 Aug 2004 (-1.1%), 21 Sep 2004 (-0.02%)
20031023 Jan 2003 (0.74%), 28 Apr 2003 (-1.8%), 09 May 2003 (-2.39%), 10 Jun 2003 (-2.11%), 24 Jun 2003 (-2.66%), 15 Jul 2003 (0.71%), 02 Sep 2003 (-2.64%), 03 Sep 2003 (-1.43%), 16 Sep 2003 (-3.35%), 21 Oct 2003 (6.57%)
20021204 Mar 2002 (2.31%), 04 Apr 2002 (-3.78%), 29 Apr 2002 (-1.16%), 15 May 2002 (8.98%), 07 Jun 2002 (-3.87%), 10 Jun 2002 (-3.83%), 15 Jul 2002 (-1.48%), 22 Aug 2002 (1.58%), 23 Oct 2002 (-2.86%), 24 Oct 2002 (-2.88%), 28 Nov 2002 (-1.98%), 29 Nov 2002 (-2.11%)
20011115 Jan 2001 (-0.94%), 20 Feb 2001 (2.98%), 05 Mar 2001 (-5.1%), 12 Mar 2001 (-1.58%), 05 Jun 2001 (7.93%), 30 Jul 2001 (-3.18%), 17 Sep 2001 (-2.88%), 18 Sep 2001 (-2.85%), 08 Oct 2001 (-3.21%), 18 Oct 2001 (-2.75%), 03 Dec 2001 (-3.75%)
2000708 Feb 2000 (-1.81%), 15 May 2000 (2.63%), 31 May 2000 (-7.61%), 01 Aug 2000 (10.85%), 22 Sep 2000 (-5.53%), 24 Oct 2000 (-4.99%), 21 Dec 2000 (7.82%)
19991101 Feb 1999 (-3.48%), 16 Feb 1999 (-4.94%), 06 Apr 1999 (-4.75%), 27 May 1999 (-4.43%), 24 Jun 1999 (-3.38%), 25 Jun 1999 (-2.8%), 03 Sep 1999 (2.05%), 01 Oct 1999 (-1.63%), 22 Oct 1999 (6.97%), 20 Dec 1999 (-3.37%), 21 Dec 1999 (-3.44%)
1998912 Jan 1998 (-2.42%), 13 Jan 1998 (-2.52%), 27 Jan 1998 (-1.64%), 06 Apr 1998 (-2.72%), 29 Apr 1998 (-4.73%), 28 Jul 1998 (-3.5%), 09 Oct 1998 (2.45%), 10 Dec 1998 (-2.41%), 30 Dec 1998 (-1.92%)
1997920 Jan 1997 (-2.13%), 13 Feb 1997 (-0.76%), 20 Mar 1997 (-2.54%), 04 Jun 1997 (-3.09%), 05 Jun 1997 (-3.3%), 18 Aug 1997 (7.39%), 18 Sep 1997 (7.65%), 29 Oct 1997 (5.17%), 16 Dec 1997 (-2.46%)
1996822 Jan 1996 (-1.15%), 29 Feb 1996 (4.92%), 01 May 1996 (-2.08%), 10 May 1996 (-2.45%), 21 Jun 1996 (4.21%), 29 Jul 1996 (6.4%), 12 Sep 1996 (1.49%), 19 Nov 1996 (2.2%)
1995530 May 1995 (1.98%), 15 Jun 1995 (1.63%), 22 Aug 1995 (-0.25%), 31 Oct 1995 (-2.32%), 01 Nov 1995 (5.03%)



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