Study: Sell RCOM 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 RCOM 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 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
13203.52341717505251.212492.73-5062.76-15339.811.041.040.004194.22
2-65139.9734151944.127250.1416693.94-9152.21-26699.030.790.63-0.055-1915.88
3-12375834122235.298341.5830441.9-10175.33-28564.550.820.45-0.091-3639.95
4-47301.1934191555.887103.5330114.57-12151.21-26734.10.580.74-0.034-1391.21
5-48944.5534142041.1811953.3631423.9-10814.58-30924.861.110.77-0.03-1439.55
66729.6134142041.1815862.7465793.78-10767.44-21628.131.471.030.0032197.93
7-11554.6934142041.1815024.5769067.1-11094.94-33984.961.350.95-0.0052-339.84
847950.1334151944.1219096.2869721.77-12552.32-33082.711.521.20.0181410.3
925632.834181652.9415268.2664157.12-15574.74-37209.30.981.10.01753.91
10-35207.534161847.0620138.6764811.78-19857.01-1218601.010.9-0.0098-1035.51
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-14.71-5271.1741132831.7116884.7865840.34-8027.62-18320.672.10.98-0.0022-128.57
atrnil36.27-41863.1641103124.3929168.1144825.68-10759.49-18320.672.710.87-0.016-1021.05
atrtrail34.22-34942.7141132831.7114602.3537540.96-8027.62-18320.671.820.84-0.018-852.26
atrtrail23.64-59047.0742132930.9513449.8529883.78-8065.35-18320.671.670.75-0.034-1405.88
atrnil25.12-12608042113126.1919018.9829883.78-10815.77-18320.671.760.62-0.063-3001.9

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 31.71%, which is not acceptable. Avoid this strategy. Average return per trade is -0.064%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:0.977

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Aug 2018 (8.02%)
2017516 Jan 2017 (-0.92%), 16 Feb 2017 (-4.33%), 08 Mar 2017 (-4.96%), 19 May 2017 (27.49%), 06 Dec 2017 (-9.16%)
2016205 Jan 2016 (1.49%), 28 Dec 2016 (-4.01%)
2015302 Mar 2015 (-4.67%), 27 Jul 2015 (-0.83%), 27 Oct 2015 (-1.3%)
2014323 Apr 2014 (8.77%), 13 Jun 2014 (-4.57%), 11 Aug 2014 (-0.29%)
2013818 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%), 22 Jul 2013 (5.57%), 30 Sep 2013 (-4.65%)
2012306 Feb 2012 (-1.41%), 10 Oct 2012 (-4.66%), 19 Dec 2012 (0.27%)
2010102 Jul 2010 (0.09%)
2009702 Mar 2009 (2.24%), 28 Apr 2009 (-7.32%), 08 May 2009 (-2.42%), 08 Jun 2009 (-7.48%), 09 Jun 2009 (-7.13%), 25 Sep 2009 (-3.52%), 06 Oct 2009 (32.92%)
2008411 Feb 2008 (-3.3%), 04 Mar 2008 (-7.12%), 14 Mar 2008 (-0.28%), 26 Sep 2008 (0.21%)
2007125 Oct 2007 (-5.48%)
2006303 Oct 2006 (-0.83%), 23 Oct 2006 (-3.18%), 11 Dec 2006 (1.97%)



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