Study: Sell RCOM when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell RCOM 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 RCOM 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
193563.9190513956.674947.427046.26-4070.6-16597.511.221.590.0461039.6
270553.1790484253.337584.1334875.44-6987.74-26699.031.091.240.023783.92
3-3035.3490424846.679857.2856227.76-8688.35-31111.111.130.99-0.00075-33.73
465760.490464451.111103542830.79-10042.04-49624.061.11.150.015730.67
535721.7190474352.2210763.3937275.99-10933.89-57142.860.981.080.0077396.91
611081390464451.1113294.965793.78-11380.75-44360.91.171.220.0211231.25
712669190523857.7812121.269067.1-13252.93-45112.780.911.250.0231407.68
822663190494154.4415719.2169721.77-13258.79-53071.91.191.420.0372518.12
933247590563462.2215103.664157.12-15097.83-48278.8711.650.0543694.17
1030246190533758.8918037.364811.78-17662.59-1218601.021.460.0393360.68
Although, strategy looks good but profit factor on day 3 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
atrtrail-15.81267886105446141.916615.9765840.34-7593.71-18320.672.191.580.0452551.3
atrtrail24.15210608111476442.3415148.1940374.09-7833.7-18320.671.931.420.0411897.37
atrtrail34.99187692105446141.914793.3744748.11-7593.71-18320.671.951.410.0371787.54
atrnil38.3325835898326632.6528661.3945984.01-9981.92-22899.852.871.390.042636.31
atrnil25.85195096109426738.5320456.7445799.7-9911.75-18320.672.061.290.0331789.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 41.9%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018701 Mar 2018 (10.37%), 02 Apr 2018 (-7.21%), 16 Apr 2018 (20.46%), 21 Jun 2018 (12.82%), 17 Jul 2018 (-5.63%), 27 Aug 2018 (8.02%), 27 Nov 2018 (-1.81%)
20171113 Jan 2017 (-3.53%), 23 Jan 2017 (-3.04%), 16 Feb 2017 (-4.33%), 08 Mar 2017 (-4.96%), 30 Mar 2017 (-3.62%), 10 Apr 2017 (6.44%), 19 May 2017 (27.49%), 03 Aug 2017 (4.74%), 05 Sep 2017 (-2.2%), 10 Nov 2017 (20.18%), 06 Dec 2017 (-9.16%)
2016805 Jan 2016 (1.49%), 06 May 2016 (-4.01%), 19 Jul 2016 (-3.77%), 20 Jul 2016 (-3.29%), 03 Aug 2016 (-3.35%), 02 Sep 2016 (-4.37%), 04 Nov 2016 (0.56%), 28 Dec 2016 (-4.01%)
2015905 Feb 2015 (1.79%), 02 Mar 2015 (-4.67%), 23 Mar 2015 (1.66%), 27 Apr 2015 (-3.28%), 26 May 2015 (-3.39%), 03 Jun 2015 (-2.71%), 27 Jul 2015 (-0.83%), 12 Aug 2015 (4.71%), 27 Oct 2015 (-1.3%)
2014709 Jan 2014 (-1.93%), 28 Jan 2014 (0.09%), 11 Feb 2014 (4.26%), 23 Apr 2014 (8.77%), 13 Jun 2014 (-4.57%), 08 Aug 2014 (1.45%), 25 Nov 2014 (-2.41%)
20131018 Jan 2013 (-3.88%), 24 Jan 2013 (-5.08%), 25 Jan 2013 (17.25%), 20 Mar 2013 (3.45%), 13 May 2013 (-4.88%), 14 May 2013 (-4.74%), 26 Jun 2013 (-6.02%), 22 Jul 2013 (5.57%), 30 Sep 2013 (-4.65%), 12 Dec 2013 (0.26%)
2012706 Feb 2012 (-1.41%), 23 Feb 2012 (2.88%), 16 Mar 2012 (5.68%), 24 Apr 2012 (17.34%), 18 Jul 2012 (12.7%), 10 Oct 2012 (-4.66%), 19 Dec 2012 (0.27%)
2011717 Jan 2011 (-3.77%), 15 Apr 2011 (22.12%), 21 Jun 2011 (-4.24%), 15 Jul 2011 (-1.31%), 04 Aug 2011 (10.72%), 16 Nov 2011 (5.28%), 14 Dec 2011 (6.88%)
2010627 Jan 2010 (2.56%), 19 Feb 2010 (1.13%), 16 Apr 2010 (17.87%), 02 Jul 2010 (0.09%), 19 Oct 2010 (-2.84%), 03 Nov 2010 (25.38%)
2009909 Jan 2009 (-1.0%), 02 Mar 2009 (2.24%), 28 Apr 2009 (-7.32%), 08 May 2009 (-2.42%), 08 Jun 2009 (-7.48%), 09 Jun 2009 (-7.13%), 07 Aug 2009 (0.29%), 25 Sep 2009 (-3.52%), 06 Oct 2009 (32.92%)
20081003 Jan 2008 (-3.44%), 16 Jan 2008 (14.96%), 11 Feb 2008 (-3.3%), 03 Mar 2008 (-1.62%), 13 Mar 2008 (-3.74%), 08 May 2008 (-3.68%), 26 May 2008 (-4.61%), 05 Aug 2008 (8.35%), 16 Sep 2008 (-2.73%), 26 Sep 2008 (0.21%)
2007903 Jan 2007 (9.72%), 13 Feb 2007 (-5.03%), 05 Apr 2007 (-4.41%), 10 May 2007 (-3.57%), 11 May 2007 (-3.05%), 30 May 2007 (-3.57%), 26 Jul 2007 (2.18%), 25 Oct 2007 (-5.48%), 19 Dec 2007 (-3.34%)
2006503 Oct 2006 (-0.83%), 23 Oct 2006 (-3.18%), 07 Nov 2006 (-1.69%), 11 Dec 2006 (1.97%), 20 Dec 2006 (-4.63%)



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