Study: Sell RAYMOND 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 RAYMOND 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 RAYMOND 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
1114598102604258.824442.715246.64-3618.18-16888.551.231.750.0441123.51
2126457102584456.866112.4120586.77-5183.24-25608.911.181.550.0341239.77
3111612102544852.947770.9627469.99-6417.09-43702.161.211.360.0221094.23
4-43631.53102505249.028757.3934871.1-9259.63-49797.020.950.91-0.007-427.76
5-50594.23102544852.948738.1948778.83-10884.51-49932.340.80.9-0.0074-496.02
6-97862.67102584456.868839.7843894.17-13876.59-74966.170.640.84-0.012-959.44
7-153119102505249.0211002.8559294.44-13524.25-1124490.810.78-0.015-1501.16
8-39074.41102544852.9411430.1363432.84-13672.95-1125850.840.94-0.0039-383.08
9-96644.51102534951.9611247.5359837.18-14138.03-1438430.80.86-0.0091-947.5
10-31414.810251515012987.373812.75-13603.28-1096080.950.95-0.0031-307.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.75. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
nilnil-11114598102604258.824442.715246.64-3618.18-16888.551.231.750.0441123.51
atrnil27.4914843.95114407435.0917998.8530253.14-9528.52-20555.341.891.020.0019130.21
atrnil310.46-20839.67112308226.7925793.0445379.71-9690.62-20555.342.660.97-0.0023-186.07
atrtrail24.74-84408.4114407435.0910625.0129547.74-6883.9-15924.741.540.83-0.015-740.42
atrtrail-15.59-135996113397434.519414.2465528.8-6799.34-15924.741.380.73-0.022-1203.5
atrtrail35.19-144878113407335.48923.3639964.72-6874.15-15924.741.30.71-0.026-1282.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.75. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, X=1, Profit Factor:1.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-1.55%), 08 Jul 2019 (-0.21%), 21 Aug 2019 (3.2%)
2018817 Jan 2018 (4.23%), 07 Mar 2018 (-1.67%), 09 May 2018 (2.79%), 16 Jul 2018 (-1.27%), 08 Aug 2018 (-1.47%), 11 Sep 2018 (-0.55%), 04 Dec 2018 (1.66%), 26 Dec 2018 (0.71%)
2017517 Mar 2017 (-1.23%), 10 May 2017 (0.86%), 21 Sep 2017 (4.24%), 13 Nov 2017 (0.4%), 29 Nov 2017 (1.44%)
2016311 Feb 2016 (4.11%), 20 May 2016 (3.13%), 26 Oct 2016 (3.52%)
2015120 Jul 2015 (4.11%)
2014403 Jun 2014 (-4.53%), 24 Jul 2014 (4.01%), 16 Sep 2014 (-0.58%), 12 Dec 2014 (-1.98%)
2013428 Feb 2013 (-1.9%), 18 Mar 2013 (0.83%), 25 Jul 2013 (3.83%), 30 Oct 2013 (0.65%)
2012510 Apr 2012 (1.02%), 11 Jul 2012 (2.38%), 09 Oct 2012 (2.81%), 21 Nov 2012 (-0.54%), 18 Dec 2012 (0.98%)
2010528 Jan 2010 (-1.15%), 16 Apr 2010 (2.59%), 09 Jun 2010 (-0.67%), 31 Aug 2010 (-1.17%), 11 Nov 2010 (4.52%)
2009412 Jan 2009 (3.03%), 28 Apr 2009 (-0.35%), 12 Jun 2009 (4.58%), 05 Oct 2009 (1.16%)
2008308 Feb 2008 (5.79%), 05 Jun 2008 (0.99%), 02 Jul 2008 (0.24%)
2007319 Jul 2007 (0.29%), 09 Oct 2007 (-5.26%), 23 Nov 2007 (-1.73%)
2006523 Mar 2006 (-3.17%), 12 Apr 2006 (2.24%), 11 May 2006 (2.44%), 21 Jul 2006 (-1.29%), 12 Dec 2006 (1.28%)
2005414 Mar 2005 (0.3%), 15 Apr 2005 (-2.48%), 29 Apr 2005 (-2.45%), 09 Aug 2005 (-0.87%)
2004606 Jan 2004 (0.83%), 23 Feb 2004 (-1.46%), 19 Mar 2004 (5.65%), 15 Sep 2004 (1.49%), 09 Oct 2004 (0.65%), 06 Dec 2004 (-0.26%)
2003610 Jan 2003 (-0.15%), 04 Feb 2003 (1.33%), 30 May 2003 (-3.82%), 10 Jul 2003 (-3.25%), 15 Sep 2003 (-0.32%), 23 Oct 2003 (-0.17%)
2002528 Feb 2002 (-0.3%), 20 May 2002 (0.84%), 15 Jul 2002 (1.2%), 30 Oct 2002 (0.2%), 04 Dec 2002 (0.59%)
2001426 Feb 2001 (1.22%), 13 Jun 2001 (0.84%), 18 Jul 2001 (1.56%), 29 Nov 2001 (-1.12%)
2000307 Feb 2000 (-4.45%), 29 Jun 2000 (2.44%), 14 Sep 2000 (2.64%)
1999207 Jan 1999 (-3.3%), 27 May 1999 (2.14%)
1998913 Jan 1998 (-1.78%), 31 Mar 1998 (-3.11%), 27 Apr 1998 (7.62%), 14 May 1998 (-8.44%), 01 Jun 1998 (3.77%), 30 Jul 1998 (0.54%), 01 Sep 1998 (5.36%), 20 Nov 1998 (0.2%), 23 Dec 1998 (1.82%)
1997424 Feb 1997 (-0.54%), 30 May 1997 (0.97%), 13 Aug 1997 (1.59%), 22 Sep 1997 (3.1%)
1996211 Mar 1996 (0.53%), 27 Jun 1996 (-0.07%)
1995424 Apr 1995 (3.8%), 25 May 1995 (-0.16%), 13 Jun 1995 (-5.2%), 31 Jul 1995 (-0.02%)



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