Study: Sell RELIANCE when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell RELIANCE 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 RELIANCE 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
148986.522009710348.53547.4219688.16-2865.18-14546.611.241.170.012244.93
27863.892001059552.54454.8831586.66-4841.03-17570.20.921.020.001339.32
3-20923.412001019950.55259.6524340.48-5577.26-26339.380.940.96-0.0029-104.62
4-98788.142009510547.55988.5729115.8-6359.07-27378.120.940.85-0.012-493.94
5-1414862009310746.57175.0139765.04-7558.52-54356.470.950.83-0.014-707.43
6-1674242009310746.57108.0635170.71-7742.74-39675.550.920.8-0.017-837.12
7-174677200100100507222.3829962.76-8969.16-37437.380.810.81-0.016-873.39
8-16093620010694537719.0540541.25-10416.55-52043.240.740.84-0.013-804.68
9-14832020010298518321.7653993.81-10174.89-55349.460.820.85-0.012-741.6
10-79297.892001019950.59358.5163004.14-10348.56-51357.760.90.92-0.006-396.49

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. 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 48.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study.

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-1148986.522009710348.53547.4219688.16-2865.18-14546.611.241.170.012244.93
atrtrail34.47-16284.062347915533.768759.2932778.73-4569.47-14228.171.920.98-0.0018-69.59
atrtrail24.05-45849.622368015633.98394.1622271.02-4598.6-14228.171.830.94-0.0054-194.28
atrnil26.03-1493552317116030.7412118.9122271.02-6311.24-14760.471.920.85-0.015-646.56
atrtrail-14.81-1268872337715633.057590.2527448.06-4559.85-14228.171.660.82-0.015-544.58
atrnil37.92-2325912234817521.5218197.4132778.73-6320.38-14760.472.880.79-0.02-1043.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 48.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
RELIANCE Performance, X=1, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019612 Feb 2019 (0.83%), 04 Apr 2019 (-0.06%), 07 May 2019 (3.28%), 17 Jun 2019 (0.1%), 19 Jul 2019 (-2.52%), 03 Sep 2019 (0.44%)
2018818 Jan 2018 (-1.26%), 06 Mar 2018 (2.32%), 16 May 2018 (1.13%), 26 Jun 2018 (1.34%), 13 Aug 2018 (-1.93%), 31 Aug 2018 (1.01%), 10 Dec 2018 (-0.67%), 24 Dec 2018 (-0.84%)
2017916 Jan 2017 (3.25%), 20 Mar 2017 (1.33%), 13 Apr 2017 (-1.98%), 02 Jun 2017 (-0.35%), 03 Jul 2017 (-2.96%), 07 Aug 2017 (0.85%), 22 Sep 2017 (-0.51%), 06 Nov 2017 (2.77%), 01 Dec 2017 (0.93%)
2016805 Jan 2016 (-2.69%), 19 Jan 2016 (3.74%), 04 Apr 2016 (0.78%), 21 Apr 2016 (0.21%), 27 Jun 2016 (-0.22%), 01 Aug 2016 (-0.33%), 17 Aug 2016 (-0.47%), 03 Oct 2016 (-0.52%)
20151106 Jan 2015 (-2.18%), 10 Feb 2015 (-2.12%), 11 Mar 2015 (-0.92%), 24 Apr 2015 (0.41%), 13 May 2015 (0.78%), 27 May 2015 (1.07%), 10 Jun 2015 (3.16%), 08 Jul 2015 (0.92%), 27 Jul 2015 (-0.49%), 05 Nov 2015 (-1.69%), 07 Dec 2015 (1.17%)
2014703 Jan 2014 (1.08%), 23 Jan 2014 (-0.21%), 16 Apr 2014 (-1.89%), 29 May 2014 (0.82%), 05 Aug 2014 (-0.44%), 15 Sep 2014 (2.33%), 01 Dec 2014 (-0.11%)
2013911 Jan 2013 (-0.91%), 30 Jan 2013 (1.42%), 20 Mar 2013 (1.23%), 23 May 2013 (-0.25%), 24 Jun 2013 (-1.41%), 25 Jul 2013 (0.07%), 25 Sep 2013 (1.27%), 07 Nov 2013 (1.12%), 17 Dec 2013 (-2.47%)
2012716 Feb 2012 (-0.71%), 07 May 2012 (1.03%), 28 Jun 2012 (-2.49%), 12 Jul 2012 (0.37%), 27 Aug 2012 (-0.36%), 28 Sep 2012 (0.44%), 24 Dec 2012 (-0.92%)
20111010 Jan 2011 (1.91%), 24 Mar 2011 (-1.61%), 08 Apr 2011 (1.82%), 15 Jun 2011 (1.44%), 29 Jul 2011 (-0.35%), 26 Aug 2011 (-4.96%), 23 Sep 2011 (1.48%), 14 Nov 2011 (1.74%), 09 Dec 2011 (3.73%), 30 Dec 2011 (-1.96%)
2010920 Jan 2010 (2.18%), 19 Feb 2010 (0.53%), 15 Apr 2010 (0.59%), 18 May 2010 (2.15%), 07 Jul 2010 (-0.34%), 26 Aug 2010 (0.72%), 30 Sep 2010 (-2.09%), 20 Oct 2010 (-3.07%), 03 Nov 2010 (-3.73%)
2009917 Feb 2009 (-2.2%), 22 Apr 2009 (-2.66%), 11 May 2009 (-5.28%), 03 Jun 2009 (-0.71%), 18 Aug 2009 (2.85%), 03 Sep 2009 (-2.61%), 23 Sep 2009 (0.04%), 22 Oct 2009 (4.11%), 08 Dec 2009 (0.79%)
2008818 Jan 2008 (9.24%), 04 Mar 2008 (-2.21%), 09 May 2008 (-1.01%), 20 Jun 2008 (3.5%), 07 Jul 2008 (2.4%), 19 Aug 2008 (-1.21%), 01 Oct 2008 (7.62%), 31 Dec 2008 (-1.78%)
2007710 Jan 2007 (-1.83%), 09 Feb 2007 (2.36%), 10 May 2007 (-0.49%), 01 Aug 2007 (-0.16%), 19 Oct 2007 (2.4%), 02 Nov 2007 (1.92%), 20 Nov 2007 (2.71%)
2006715 May 2006 (-2.16%), 17 Jul 2006 (2.62%), 11 Sep 2006 (-1.76%), 03 Oct 2006 (1.1%), 23 Oct 2006 (1.58%), 15 Nov 2006 (-0.25%), 11 Dec 2006 (2.79%)
20051113 Jan 2005 (1.19%), 18 Feb 2005 (-0.06%), 17 Mar 2005 (-1.66%), 29 Apr 2005 (-1.1%), 17 May 2005 (-0.69%), 05 Jul 2005 (-1.12%), 09 Aug 2005 (-1.67%), 23 Sep 2005 (-4.35%), 07 Oct 2005 (0.69%), 02 Dec 2005 (-0.1%), 16 Dec 2005 (-0.92%)
2004915 Jan 2004 (-0.52%), 20 Feb 2004 (3.76%), 11 Mar 2004 (0.57%), 27 Apr 2004 (-0.18%), 15 Jul 2004 (-1.04%), 12 Aug 2004 (-0.35%), 28 Sep 2004 (-3.63%), 15 Oct 2004 (-0.81%), 07 Dec 2004 (1.79%)
2003806 Mar 2003 (1.52%), 27 Mar 2003 (-1.76%), 16 Apr 2003 (1.99%), 27 Jun 2003 (-0.05%), 06 Aug 2003 (-1.41%), 15 Sep 2003 (-1.38%), 22 Oct 2003 (2.15%), 06 Nov 2003 (2.17%)
2002817 Jan 2002 (2.23%), 05 Mar 2002 (1.94%), 11 Apr 2002 (-0.57%), 16 May 2002 (-1.04%), 26 Jun 2002 (-1.76%), 12 Jul 2002 (-0.21%), 19 Sep 2002 (1.01%), 10 Dec 2002 (0.24%)
2001815 Jan 2001 (-3.61%), 22 Feb 2001 (0.81%), 04 Jun 2001 (0.48%), 03 Jul 2001 (0.97%), 19 Jul 2001 (3.15%), 24 Aug 2001 (-0.05%), 31 Oct 2001 (-2.48%), 18 Dec 2001 (0.15%)
2000501 Feb 2000 (-1.83%), 19 Apr 2000 (-7.27%), 15 Jun 2000 (-0.24%), 19 Jul 2000 (-0.99%), 19 Sep 2000 (-2.93%)
1999821 Jan 1999 (-1.39%), 12 Mar 1999 (-1.2%), 25 May 1999 (3.56%), 14 Jun 1999 (2.26%), 16 Jul 1999 (-0.03%), 17 Sep 1999 (1.56%), 15 Oct 1999 (0.36%), 20 Dec 1999 (0.39%)
1998812 Jan 1998 (-0.96%), 12 Feb 1998 (-1.07%), 30 Mar 1998 (1.3%), 23 Apr 1998 (-0.37%), 23 Jul 1998 (1.29%), 05 Oct 1998 (0.36%), 23 Nov 1998 (0.43%), 17 Dec 1998 (-0.58%)
1997705 Feb 1997 (-1.62%), 11 Mar 1997 (-2.88%), 09 May 1997 (2.76%), 04 Jul 1997 (-0.39%), 18 Aug 1997 (0.86%), 23 Sep 1997 (-0.96%), 27 Oct 1997 (9.84%)
1996810 Jan 1996 (-3.13%), 01 Mar 1996 (-3.19%), 08 May 1996 (2.44%), 18 Jun 1996 (2.99%), 05 Aug 1996 (-1.03%), 10 Sep 1996 (1.07%), 04 Nov 1996 (1.88%), 28 Nov 1996 (-0.36%)
1995525 Apr 1995 (-1.0%), 14 Jun 1995 (0.39%), 01 Aug 1995 (-0.36%), 19 Oct 1995 (1.21%), 11 Dec 1995 (0.96%)



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