Study: Sell RELINFRA 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 RELINFRA 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 RELINFRA 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
165120.7466313546.975479.9618496.53-2993.09-10932.481.831.620.035986.68
294446.1766353153.038035.429690.46-6025.57-28280.181.331.510.0291431
340199.9566353153.038658.8429518.47-8479.34-48202.981.021.150.0099609.09
4-42698.166323448.489523.2650776-10218.9-47048.680.930.88-0.0089-646.94
5-29710.7966343251.5210863.8660565.82-12471.31-64407.620.870.93-0.0052-450.16
6-14554.6266372956.0611555.9636734.91-15245.7-85580.010.760.97-0.0023-220.52
7-52622.0666313546.9714674.5753862.58-14500.97-1080881.010.9-0.007-797.3
8-12325866323448.4813669.5446352.33-16490.67-1007170.830.78-0.017-1867.54
9-68964.0366343251.5214272.8449236.86-17320.02-89389.070.820.88-0.0095-1044.91
10-1087166633335014106.239183.21-17400.64-77704.910.810.81-0.016-1647.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.62. 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 46.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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-1165120.7466313546.975479.9618496.53-2993.09-10932.481.831.620.035986.68
atrtrail24.3311724072304241.6713961.3835915.45-7180.98-24906.081.941.390.0271628.34
atrnil25.5410509372284438.8917861.335915.45-8977.81-24906.081.991.270.0221459.62
atrtrail34.9958093.2571284339.4412877.7546480.54-7034.51-24906.081.831.190.013818.21
atrtrail-15.3251347.1971284339.4412636.8243825.36-7034.51-24906.081.81.170.012723.2
atrnil38.87-5879.6171175423.9427766.5453873.18-8850.2-24906.083.140.99-0.001-82.81

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 46.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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.
RELINFRA Performance, X=1, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018212 Jan 2018 (-0.44%), 07 Mar 2018 (-4.21%)
2017302 Mar 2017 (-2.74%), 20 Mar 2017 (0.48%), 01 Dec 2017 (-0.62%)
2016213 Jan 2016 (2.45%), 07 Apr 2016 (-0.82%)
2015309 Feb 2015 (-0.48%), 10 Nov 2015 (-1.17%), 09 Dec 2015 (-2.92%)
2014330 Apr 2014 (-2.01%), 30 May 2014 (-5.34%), 13 Jun 2014 (-1.31%)
2013216 Jan 2013 (1.79%), 19 Mar 2013 (9.25%)
2012423 Feb 2012 (2.87%), 12 Jul 2012 (1.23%), 09 Oct 2012 (2.8%), 27 Dec 2012 (-0.3%)
2011317 Jan 2011 (4.55%), 24 Jun 2011 (1.59%), 30 Dec 2011 (1.91%)
2010219 Feb 2010 (1.55%), 05 Jul 2010 (-0.39%)
2009205 Jun 2009 (8.44%), 21 Oct 2009 (3.13%)
2008215 Jan 2008 (4.22%), 20 Jun 2008 (4.41%)
2007401 Jun 2007 (0.15%), 02 Aug 2007 (-0.29%), 19 Oct 2007 (-2.5%), 02 Nov 2007 (1.89%)
2006211 May 2006 (1.53%), 18 Jul 2006 (2.94%)
2005312 Jan 2005 (-1.64%), 17 Feb 2005 (-0.57%), 30 Jun 2005 (-2.81%)
2004219 Jan 2004 (1.89%), 06 Aug 2004 (-1.43%)
2003624 Jan 2003 (-0.11%), 04 Mar 2003 (0.44%), 02 Jul 2003 (-0.5%), 15 Sep 2003 (-3.24%), 21 Oct 2003 (-0.24%), 13 Nov 2003 (0.6%)
2002225 Apr 2002 (-1.83%), 31 Dec 2002 (-0.11%)
2001320 Feb 2001 (0.04%), 07 Nov 2001 (-0.16%), 04 Dec 2001 (-2.2%)
2000404 Feb 2000 (-5.47%), 08 Mar 2000 (8.0%), 25 Aug 2000 (-0.25%), 19 Dec 2000 (0.92%)
1999325 May 1999 (4.88%), 02 Sep 1999 (2.21%), 27 Dec 1999 (-0.69%)
1998312 Jan 1998 (-0.16%), 12 Mar 1998 (-1.25%), 13 Apr 1998 (-3.84%)
1997320 Jan 1997 (-0.0%), 21 Feb 1997 (4.33%), 24 Oct 1997 (1.93%)
1996210 Jan 1996 (-0.34%), 08 May 1996 (1.77%)
1995110 Nov 1995 (0.75%)



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