Study: Sell RELCAPITAL 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 RELCAPITAL 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 RELCAPITAL 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
186606.8983443953.016572.7224697.54-5194.69-18220.41.271.430.0261043.46
213540883424150.69932.8430657.87-6872.46-27145.091.451.480.0311631.42
327209.9583384545.7810231.5729837.67-8035.32-30470.911.271.080.0057327.83
410337083394446.9912686.935552.83-8895.88-35641.741.431.260.0181245.42
564551.5683424150.612882.6343293.35-11622.41-73705.41.111.140.0094777.73
6-35006.1683434051.8113681.2461613.96-15582.49-1337050.880.94-0.0038-421.76
7-35797.4683434051.8114758.6781788.44-16760.51-1095150.880.95-0.0038-431.29
8-11981883483557.8313761.7464296.36-22296.61-1139430.620.85-0.012-1443.59
9-13975683493459.0414345.669746.65-24785.01-1305760.580.83-0.012-1683.81
10-11253983473656.6316880.9170119.45-25165.05-1369080.670.88-0.0094-1355.89
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
atrtrail34.6123198893405343.011610966489.01-7780.59-31794.612.071.560.0332494.5
atrnil38.4130108192326034.7829387.0166489.01-10655.05-33505.692.761.470.0323272.62
atrtrail-15.3718496191385341.7615719.8960570.21-7781.02-31794.612.021.450.0262032.54
atrtrail23.9218185596405641.6715747.8744326.01-8001.06-31794.611.971.410.0271894.33
atrnil25.1622890196415542.7120083.9644326.01-10809.84-33505.691.861.390.0292384.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 43.01%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
RELCAPITAL Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 Jun 2019 (33.24%), 22 Aug 2019 (-15.9%)
2018516 Jan 2018 (13.22%), 22 Feb 2018 (-5.86%), 05 Mar 2018 (3.77%), 22 Mar 2018 (-4.85%), 06 Dec 2018 (-0.62%)
2017610 Mar 2017 (-2.82%), 15 May 2017 (8.61%), 19 Jul 2017 (-0.92%), 22 Aug 2017 (-4.04%), 05 Sep 2017 (16.79%), 09 Nov 2017 (14.71%)
2016119 Sep 2016 (-0.91%)
2015410 Feb 2015 (-4.0%), 23 Feb 2015 (-2.5%), 02 Nov 2015 (-1.36%), 08 Dec 2015 (2.42%)
2014330 Apr 2014 (0.36%), 13 Jun 2014 (-5.0%), 16 Jun 2014 (-4.63%)
2013209 Jan 2013 (0.95%), 20 Mar 2013 (4.62%)
2012313 Jul 2012 (10.88%), 16 Oct 2012 (-3.78%), 31 Dec 2012 (-2.88%)
2011611 Jan 2011 (-3.69%), 12 Jan 2011 (10.99%), 13 Apr 2011 (0.32%), 18 Jul 2011 (-1.53%), 29 Sep 2011 (5.97%), 15 Dec 2011 (5.65%)
2010405 Jul 2010 (-3.14%), 26 Jul 2010 (0.65%), 29 Sep 2010 (-0.85%), 18 Oct 2010 (-0.55%)
2009327 Feb 2009 (21.88%), 11 May 2009 (-7.52%), 08 Jun 2009 (-6.99%)
2008303 Mar 2008 (8.16%), 20 Jun 2008 (1.09%), 19 Nov 2008 (-5.46%)
2007501 Jun 2007 (-4.0%), 28 Jun 2007 (-3.79%), 30 Jul 2007 (1.24%), 18 Oct 2007 (0.38%), 06 Nov 2007 (-8.54%)
2006118 Jul 2006 (4.4%)
2005410 Mar 2005 (-2.92%), 13 Apr 2005 (-3.11%), 14 Jul 2005 (-5.27%), 28 Oct 2005 (-6.45%)
2004312 Jan 2004 (-4.55%), 27 Apr 2004 (1.17%), 08 Oct 2004 (1.46%)
2003703 Jan 2003 (-0.08%), 09 Jul 2003 (12.39%), 10 Jul 2003 (-4.12%), 19 Aug 2003 (-3.54%), 25 Aug 2003 (-4.0%), 03 Sep 2003 (-3.47%), 16 Dec 2003 (-4.37%)
2002112 Dec 2002 (-3.23%)
2001325 Jul 2001 (-2.79%), 04 Dec 2001 (-3.81%), 14 Dec 2001 (15.13%)
2000509 Mar 2000 (6.21%), 16 May 2000 (2.57%), 26 Jun 2000 (-0.39%), 15 Sep 2000 (7.96%), 18 Dec 2000 (12.41%)
1999819 Jan 1999 (-5.12%), 21 Jan 1999 (14.73%), 26 May 1999 (-1.08%), 15 Jun 1999 (-5.71%), 26 Jul 1999 (2.75%), 02 Sep 1999 (-6.68%), 01 Nov 1999 (-8.78%), 26 Nov 1999 (1.38%)
1998313 Jan 1998 (-4.68%), 30 Mar 1998 (-1.11%), 24 Apr 1998 (14.68%)
1997430 Jan 1997 (14.36%), 13 Mar 1997 (14.56%), 09 Jun 1997 (-3.46%), 20 Aug 1997 (3.83%)
1996307 May 1996 (-4.44%), 08 May 1996 (-2.33%), 20 Nov 1996 (7.43%)
1995421 Apr 1995 (8.3%), 24 Apr 1995 (10.55%), 15 May 1995 (-3.69%), 11 Aug 1995 (-0.91%)



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