Study: Sell SRF 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 SRF 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 SRF 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
11350.96106525449.064567.0916470.1-4372.92-27979.271.041.010.0004212.74
2-72598.62106495746.235646.5916940.01-6127.74-28509.910.920.79-0.017-684.89
3-31426.91106505647.177597.8433333.33-7344.98-47377.521.030.92-0.0058-296.48
4-313937106436340.577067.5128608.22-9806.99-78962.540.720.49-0.046-2961.67
5-333427106515548.116607.3127671.78-12189.09-88876.080.540.5-0.045-3145.54
6-340271106456142.458623.830223.57-11940.04-82305.480.720.53-0.044-3210.11
7-408857106446241.519380.0131982.82-13251.25-87723.340.710.5-0.048-3857.14
8-570699106456142.459330.5530327.3-16238.91-77463.980.570.42-0.063-5383.95
9-511231106396736.7911826.9263891.16-14514.64-91527.380.810.47-0.05-4822.94
10-474754106406637.7412539.6490013.61-14793.03-83458.210.850.51-0.045-4478.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.01. 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 49.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0064%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00042, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-111350.96106525449.064567.0916470.1-4372.92-27979.271.041.010.0004212.74
atrtrail24.28-290326123339026.8312399.7237374.3-7772.4-22954.111.60.58-0.044-2360.37
atrnil26.46-530843123269721.1419624.9538351.53-10732.9-25744.051.830.49-0.066-4315.8
atrtrail34.61-401003122338927.058832.4829409.85-7780.62-22954.111.140.42-0.072-3286.91
atrnil39.01-6553591211710414.0527468.2956061.46-10791.54-25744.052.550.42-0.077-5416.19
atrtrail-14.91-460364122309224.597957.5437718.87-7598.81-22954.111.050.34-0.086-3773.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 49.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0064%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00042, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, X=1, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019327 Mar 2019 (-0.66%), 25 Jun 2019 (-0.48%), 02 Aug 2019 (2.05%)
2018803 Jan 2018 (-0.68%), 10 May 2018 (-0.53%), 22 Jun 2018 (0.68%), 20 Jul 2018 (-0.28%), 04 Sep 2018 (1.09%), 22 Oct 2018 (-0.26%), 05 Dec 2018 (0.67%), 21 Dec 2018 (8.24%)
2017413 Feb 2017 (1.05%), 09 May 2017 (-1.03%), 23 Oct 2017 (1.24%), 04 Dec 2017 (-2.08%)
2016418 Feb 2016 (-1.35%), 13 May 2016 (0.08%), 02 Sep 2016 (-0.73%), 17 Oct 2016 (-1.67%)
2015409 Feb 2015 (-4.45%), 24 Apr 2015 (4.42%), 16 Jul 2015 (-0.48%), 11 Aug 2015 (5.44%)
2014607 Apr 2014 (-3.88%), 25 Apr 2014 (1.24%), 17 Jun 2014 (0.38%), 07 Jul 2014 (3.84%), 15 Sep 2014 (-0.32%), 01 Dec 2014 (-1.55%)
2013511 Feb 2013 (0.81%), 27 Feb 2013 (2.54%), 23 Sep 2013 (-0.84%), 22 Oct 2013 (-3.05%), 23 Dec 2013 (-0.73%)
2012509 Feb 2012 (2.73%), 27 Feb 2012 (-2.24%), 03 May 2012 (2.61%), 26 Jul 2012 (0.23%), 10 Oct 2012 (0.78%)
2011129 Sep 2011 (-0.31%)
2010614 Jan 2010 (0.43%), 25 Feb 2010 (0.2%), 16 Apr 2010 (1.46%), 20 May 2010 (0.96%), 31 Aug 2010 (-6.59%), 10 Nov 2010 (2.05%)
2009509 Mar 2009 (1.6%), 22 Apr 2009 (0.51%), 14 May 2009 (-1.79%), 19 Aug 2009 (0.51%), 28 Oct 2009 (3.6%)
2008308 Jan 2008 (-3.76%), 06 May 2008 (-0.48%), 24 Oct 2008 (6.6%)
2007310 May 2007 (0.26%), 24 May 2007 (-0.59%), 20 Dec 2007 (-1.24%)
2006324 Apr 2006 (2.77%), 18 Jul 2006 (3.61%), 31 Aug 2006 (0.95%)
2005622 Mar 2005 (3.51%), 11 May 2005 (-8.53%), 23 Jun 2005 (-3.21%), 25 Jul 2005 (-2.14%), 09 Aug 2005 (-3.38%), 22 Sep 2005 (-2.19%)
2004315 Mar 2004 (3.15%), 14 Sep 2004 (-1.62%), 19 Oct 2004 (-2.81%)
2003503 Apr 2003 (-1.18%), 26 May 2003 (-0.78%), 14 Jul 2003 (1.98%), 15 Sep 2003 (-2.76%), 21 Oct 2003 (-1.45%)
2002711 Feb 2002 (-0.0%), 26 Feb 2002 (-0.27%), 28 Mar 2002 (0.28%), 17 Apr 2002 (-0.0%), 20 May 2002 (3.27%), 12 Jul 2002 (5.57%), 01 Oct 2002 (0.22%)
2001406 Feb 2001 (-1.11%), 07 Jun 2001 (-0.71%), 06 Jul 2001 (-2.88%), 03 Dec 2001 (-3.34%)
2000218 May 2000 (5.96%), 25 Oct 2000 (-4.58%)
1999818 Jan 1999 (1.41%), 11 Feb 1999 (6.25%), 30 Mar 1999 (-4.24%), 17 Apr 1999 (-5.74%), 18 Jun 1999 (-13.99%), 16 Jul 1999 (2.69%), 24 Aug 1999 (2.46%), 07 Oct 1999 (3.07%)
1998608 Jan 1998 (-2.44%), 22 Jan 1998 (0.91%), 09 Mar 1998 (-1.66%), 24 Mar 1998 (6.13%), 28 Apr 1998 (0.99%), 19 Nov 1998 (1.65%)
1997322 Jan 1997 (1.45%), 08 May 1997 (-0.86%), 13 Aug 1997 (2.17%)
1996124 Apr 1996 (-3.72%)
1995124 Oct 1995 (-0.45%)



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