Study: Sell RELIANCE 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 RELIANCE 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 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
1-10796.5876364047.372989.297483.71-2960.27-10560.811.010.91-0.0076-142.06
2-44150.5176354146.054004.9318588.24-4495.69-17570.20.890.76-0.02-580.93
3-39051.0876373948.684909.5117647.06-5659.05-26339.380.870.82-0.014-513.83
4-87650.2776364047.374745.6415649.6-6462.33-23991.460.730.66-0.032-1153.29
5-15840076364047.375312.8720611.38-8741.58-54356.470.610.55-0.04-2084.21
6-17903176344244.745565.4518592.45-8768-39675.550.630.51-0.048-2355.67
7-17816376393751.325780.1423565.64-10907.79-36989.160.530.56-0.043-2344.25
8-17440176403652.635750.2323622.68-11233.62-29566.310.510.57-0.044-2294.75
9-14471476364047.376780.5228036.96-9720.31-34824.880.70.63-0.036-1904.13
10-14644076373948.687608.7721193.11-10973.44-35791.790.690.66-0.033-1926.84

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.91. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.071%, we advise you not to use this strategy.

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-11-10796.5876364047.372989.297483.71-2960.27-10560.811.010.91-0.0076-142.06
atrtrail23.76-88143.3691286330.777780.8722271.02-4857.27-11168.881.60.71-0.029-968.61
atrtrail34.03-102890902763307522.8724921.65-4857.27-11168.881.550.66-0.033-1143.22
atrnil25.22-17649591236825.2711287.6222271.02-6413.39-13417.581.760.6-0.048-1939.51
atrtrail-14.37-14046090266428.896485.2521934.6-4829.31-11168.881.340.55-0.05-1560.66
atrnil36.59-25111990147615.5616678.6824921.65-6376.58-13417.582.620.48-0.064-2790.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.071%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELIANCE Performance, X=1, Profit Factor:0.909

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Feb 2019 (0.83%), 04 Apr 2019 (-0.06%)
2018326 Jun 2018 (1.34%), 13 Aug 2018 (-1.93%), 31 Aug 2018 (1.01%)
2017616 Jan 2017 (3.25%), 20 Mar 2017 (1.33%), 13 Apr 2017 (-1.98%), 07 Aug 2017 (0.85%), 22 Sep 2017 (-0.51%), 06 Nov 2017 (2.77%)
2016419 Jan 2016 (3.74%), 04 Apr 2016 (0.78%), 21 Apr 2016 (0.21%), 03 Oct 2016 (-0.52%)
2015406 Jan 2015 (-2.18%), 08 Jul 2015 (0.92%), 27 Jul 2015 (-0.49%), 05 Nov 2015 (-1.69%)
2014216 Apr 2014 (-1.89%), 29 May 2014 (0.82%)
2013311 Jan 2013 (-0.91%), 30 Jan 2013 (1.42%), 07 Nov 2013 (1.12%)
2012227 Aug 2012 (-0.36%), 28 Sep 2012 (0.44%)
2011226 Aug 2011 (-4.96%), 14 Nov 2011 (1.74%)
2010319 Feb 2010 (0.53%), 26 Aug 2010 (0.72%), 02 Nov 2010 (0.89%)
2009322 Apr 2009 (-2.66%), 11 May 2009 (-5.28%), 03 Jun 2009 (-0.71%)
2008405 Mar 2008 (1.94%), 09 May 2008 (-1.01%), 20 Jun 2008 (3.5%), 07 Jul 2008 (2.4%)
2007409 Feb 2007 (2.36%), 10 May 2007 (-0.49%), 01 Aug 2007 (-0.16%), 19 Oct 2007 (2.4%)
2006215 May 2006 (-2.16%), 15 Nov 2006 (-0.25%)
2005618 Feb 2005 (-0.06%), 17 Mar 2005 (-1.66%), 05 Jul 2005 (-1.12%), 09 Aug 2005 (-1.67%), 23 Sep 2005 (-4.35%), 07 Oct 2005 (0.69%)
2004527 Apr 2004 (-0.18%), 12 Aug 2004 (-0.35%), 28 Sep 2004 (-3.63%), 15 Oct 2004 (-0.81%), 07 Dec 2004 (1.79%)
2003527 Jun 2003 (-0.05%), 06 Aug 2003 (-1.41%), 15 Sep 2003 (-1.38%), 22 Oct 2003 (2.15%), 06 Nov 2003 (2.17%)
2002219 Sep 2002 (1.01%), 10 Dec 2002 (0.24%)
2001222 Feb 2001 (0.81%), 18 Dec 2001 (0.15%)
2000301 Feb 2000 (-1.83%), 19 Jul 2000 (-0.99%), 19 Sep 2000 (-2.93%)
1999421 Jan 1999 (-1.39%), 25 May 1999 (3.56%), 14 Jun 1999 (2.26%), 15 Oct 1999 (0.36%)
1998230 Mar 1998 (1.3%), 23 Apr 1998 (-0.37%)
1997305 Feb 1997 (-1.62%), 11 Mar 1997 (-2.88%), 04 Jul 1997 (-0.39%)



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