Study: Sell SHREECEM 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 SHREECEM 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 SHREECEM 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
1-98303.5187404745.983617.6219740.56-5170.39-20618.560.70.6-0.037-1129.93
2-12718687414647.135426.7724763.01-7601.81-28178.690.710.64-0.035-1461.9
3-13230987404745.987169.5425489.76-8916.82-33636.360.80.68-0.029-1520.79
4-18199687434449.437900.230941.7-11856.92-57272.730.670.65-0.031-2091.91
5-20856187444350.578854.9139015.15-13911.1-66363.640.640.65-0.031-2397.26
6-26319087424548.288567.6643939.39-13845.14-63414.630.620.58-0.04-3025.17
7-33282687404745.989124.7647348.48-14847.15-84320.560.610.52-0.045-3825.58
8-33293587414647.139837.2657575.76-16005.7-1031360.610.55-0.04-3826.83
9-43244587345339.0810588.459469.7-14951.9-1000000.710.45-0.049-4970.63
10-48033287384943.689757.5738340.49-17369.79-1240420.560.44-0.05-5521.06
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
atrnil26.77-179041102297328.4318909.230331.52-9964.49-19509.931.90.75-0.027-1755.31
atrnil39.71-308345101188317.8228634.7545497.28-9924.94-19509.932.890.63-0.041-3052.92
atrtrail24.48-247794102287427.4511462.8330331.52-7685.86-19304.421.490.56-0.048-2429.36
atrtrail34.9-297752101287327.729463.8845497.28-7708.78-19304.421.230.47-0.059-2948.04
atrtrail-15.04-3386171002773278300.8744143.03-7708.78-19304.421.080.4-0.075-3386.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 28.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.88%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.754

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019627 Mar 2019 (-2.5%), 28 Mar 2019 (-2.58%), 11 Apr 2019 (-2.38%), 23 Apr 2019 (-2.2%), 06 Jun 2019 (-3.02%), 05 Jul 2019 (5.3%)
2018207 Mar 2018 (-3.25%), 27 Dec 2018 (6.18%)
2017413 Feb 2017 (5.26%), 14 Feb 2017 (-3.01%), 19 Apr 2017 (-2.32%), 17 May 2017 (6.84%)
2016705 Apr 2016 (-4.48%), 22 Apr 2016 (-3.61%), 26 Jul 2016 (-2.75%), 05 Aug 2016 (-2.73%), 11 Aug 2016 (-3.03%), 09 Sep 2016 (5.31%), 16 Dec 2016 (-4.74%)
2015108 Sep 2015 (-4.18%)
2014522 Mar 2014 (-2.53%), 24 Mar 2014 (-2.51%), 09 Apr 2014 (-2.92%), 13 Jun 2014 (-4.54%), 19 Sep 2014 (5.27%)
2013507 Jan 2013 (5.37%), 18 Feb 2013 (7.49%), 15 Mar 2013 (-4.54%), 30 May 2013 (-2.81%), 31 May 2013 (6.38%)
2012507 Jan 2012 (-3.71%), 09 Apr 2012 (7.59%), 10 Jul 2012 (-3.49%), 12 Nov 2012 (5.95%), 04 Dec 2012 (-4.86%)
2011308 Apr 2011 (-3.91%), 12 Sep 2011 (-3.58%), 09 Dec 2011 (-3.0%)
2010424 May 2010 (-4.71%), 05 Oct 2010 (-3.53%), 16 Nov 2010 (6.93%), 20 Dec 2010 (-3.81%)
2009714 Jan 2009 (-6.46%), 02 Mar 2009 (-5.13%), 27 Apr 2009 (-5.05%), 18 Jun 2009 (-4.77%), 10 Aug 2009 (-4.63%), 06 Oct 2009 (10.83%), 11 Dec 2009 (-3.2%)
2008230 Jun 2008 (14.6%), 21 Aug 2008 (10.97%)
2007325 Jul 2007 (10.46%), 16 Oct 2007 (9.85%), 17 Oct 2007 (12.33%)
2006316 Feb 2006 (-4.2%), 28 Apr 2006 (-5.87%), 21 Nov 2006 (-5.31%)
2005419 Jan 2005 (-4.68%), 16 Mar 2005 (8.43%), 10 May 2005 (-4.23%), 21 Sep 2005 (12.61%)
2004606 Jan 2004 (-6.52%), 11 May 2004 (-5.98%), 12 May 2004 (11.72%), 28 Jul 2004 (-5.17%), 29 Jul 2004 (-5.85%), 09 Sep 2004 (-4.28%)
2003405 Jun 2003 (-4.71%), 26 Jun 2003 (-7.73%), 04 Jul 2003 (-8.04%), 19 Nov 2003 (-7.73%)
2002811 Jan 2002 (-8.75%), 28 Jan 2002 (14.47%), 07 May 2002 (-4.2%), 20 May 2002 (-6.05%), 26 Jun 2002 (-6.67%), 10 Jul 2002 (11.28%), 26 Sep 2002 (-4.36%), 10 Dec 2002 (-5.66%)
2001119 Dec 2001 (-9.75%)
1999715 Jan 1999 (13.95%), 28 May 1999 (-8.01%), 28 Jun 1999 (-7.41%), 29 Jun 1999 (-6.96%), 20 Jul 1999 (-7.78%), 24 Aug 1999 (-6.24%), 25 Aug 1999 (-6.29%)
1998713 Jan 1998 (-5.86%), 14 Jan 1998 (-5.6%), 19 Jan 1998 (13.11%), 27 Apr 1998 (-7.48%), 13 May 1998 (-7.57%), 27 May 1998 (-9.65%), 08 Oct 1998 (15.17%)
1997316 Jun 1997 (-4.85%), 28 Oct 1997 (-5.02%), 29 Oct 1997 (10.37%)
1996429 Feb 1996 (-5.51%), 10 Sep 1996 (11.07%), 05 Nov 1996 (-7.17%), 04 Dec 1996 (-6.08%)
1995112 Apr 1995 (9.1%)



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