Study: Sell RELCAPITAL when there is Bearish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL when there is Bearish Centerline 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 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
118558.6885362.57931.2317861.61-7032.49-8176.471.131.880.0562319.83
227028.228445011208.9730137.56-4451.92-11382.352.522.520.063378.53
313767.9183537.514132.2419487.29-5725.76-11029.412.471.480.0341720.99
452522.2983537.523597.0628053.36-3653.78-7264.716.463.870.0976565.29
546244.018445018404.825214.9-6843.8-18558.822.692.690.0795780.5
638752.0483537.523140.8425978.99-6134.09-14470.593.772.260.0674844.01
744266.168445015708.4725927.47-4641.93-7717.043.383.380.0885533.27
863591.628445020258.2935660.69-4360.38-9324.764.654.650.117948.95
986247.568627516767.6736431.85-7179.23-10610.932.347.010.1310780.94
1074078.0585362.518633.1341454.77-6362.53-12540.192.934.880.119259.76
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
RELCAPITAL Performance, X=9, Profit Factor:7.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012110 Aug 2012 (2.18%)
2011114 Nov 2011 (16.87%)
2009209 Jan 2009 (18.22%), 30 Nov 2009 (-1.87%)
2005106 Jan 2005 (0.48%)
2002115 May 2002 (10.12%)
1999123 Apr 1999 (-5.31%)
1995114 Jun 1995 (2.44%)

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
atrnil31028663.2410282048594.2665157.7-8565.66-13118.615.671.420.0242866.32
atrtrail35.113861.1810373018974.5832030.83-6151.8-9539.073.081.320.0211386.12
atrnil26.815573.2410373025887.7143438.46-8869.99-13118.612.921.250.0181557.32
atrtrail-15.35871.1210373016311.2324040.77-6151.8-9539.072.651.140.0099587.11
atrtrail24.73184.2410373015415.623963.57-6151.8-9539.072.511.070.0056318.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012210 Aug 2012 (-4.06%), 13 Aug 2012 (-3.96%)
2011114 Nov 2011 (16.02%)
2009209 Jan 2009 (32.58%), 30 Nov 2009 (-4.77%)
2005206 Jan 2005 (-4.2%), 07 Jan 2005 (-4.07%)
2002115 May 2002 (-3.42%)
1999123 Apr 1999 (-6.56%)
1995114 Jun 1995 (-3.22%)



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