Study: Sell SRTRANSFIN 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 SRTRANSFIN 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 SRTRANSFIN 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
1-16640.9585424349.414268.7540000-4556.48-20072.990.940.92-0.0057-195.78
2-11745885374843.535683.0329677.42-6827.71-46913.580.830.64-0.029-1381.86
3-60775.9885404547.067348.5337419.35-7882.61-500000.930.83-0.014-715.01
4-14457485404547.067211.6537419.35-9623.11-42700.730.750.67-0.029-1700.87
5-30837885384744.717373.334445.93-12522.63-66058.390.590.48-0.052-3627.97
6-41606485295634.129621.1938451.27-12412.11-62773.720.780.4-0.062-4894.87
7-38689085325337.659312.6953404.54-12922.56-60948.910.720.44-0.056-4551.64
8-45769285305535.2911177.5364886.52-14418.52-81481.480.780.42-0.055-5384.62
9-57432685315436.4710842.0253137.52-16859.79-1082420.640.37-0.061-6756.78
10-69932085295634.1212015.9247530.04-18710.4-1631870.640.33-0.061-8227.3

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.92. 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 49.41%, which is not acceptable. Avoid this strategy. Average return per trade is -0.098%, 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-11-16640.9585424349.414268.7540000-4556.48-20072.990.940.92-0.0057-195.78
atrtrail35.05-16084810030703012210.5545528.03-7530.92-38554.771.620.69-0.027-1608.48
atrtrail-15.41-16792010030703011974.8149408.45-7530.92-38554.771.590.68-0.029-1679.2
atrtrail24.57-197190101307129.711774.3633125.69-7752.41-38554.771.520.64-0.036-1952.38
atrnil26.39-330407101227921.7820165.9633125.69-9798.2-38554.772.060.57-0.052-3271.35
atrnil38.7-35762510015851530750.0749688.54-9633.83-38554.773.190.56-0.05-3576.25

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 49.41%, which is not acceptable. Avoid this strategy. Average return per trade is -0.098%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRTRANSFIN Performance, X=1, Profit Factor:0.915

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Mar 2019 (0.68%)
2018202 Jan 2018 (0.77%), 20 Apr 2018 (-1.09%)
2017407 Feb 2017 (-0.55%), 22 Sep 2017 (1.91%), 15 Nov 2017 (-0.57%), 04 Dec 2017 (-6.09%)
2016202 Jun 2016 (-1.31%), 20 Dec 2016 (0.12%)
2015324 Feb 2015 (-1.72%), 20 Oct 2015 (4.11%), 10 Dec 2015 (2.04%)
2014415 Apr 2014 (0.97%), 13 Jun 2014 (2.38%), 27 Nov 2014 (-4.1%), 12 Dec 2014 (-0.04%)
2013413 Mar 2013 (0.63%), 09 Apr 2013 (1.2%), 04 Jun 2013 (0.61%), 17 Jul 2013 (-4.05%)
2012409 Feb 2012 (-0.88%), 16 Apr 2012 (0.07%), 11 Sep 2012 (-0.49%), 28 Dec 2012 (-0.89%)
2010522 Jan 2010 (0.42%), 22 Apr 2010 (5.06%), 17 Aug 2010 (-0.82%), 21 Sep 2010 (0.9%), 15 Nov 2010 (0.17%)
2009819 Feb 2009 (-0.43%), 02 Jun 2009 (0.36%), 21 Jul 2009 (-1.61%), 07 Sep 2009 (1.04%), 29 Sep 2009 (1.21%), 27 Oct 2009 (-1.76%), 27 Nov 2009 (-0.02%), 15 Dec 2009 (1.38%)
2008203 Jan 2008 (0.82%), 21 Feb 2008 (-0.37%)
2007812 Jan 2007 (-3.12%), 02 Apr 2007 (-0.82%), 13 Jun 2007 (-1.31%), 17 Aug 2007 (3.45%), 21 Sep 2007 (0.24%), 23 Oct 2007 (-2.8%), 23 Nov 2007 (-0.12%), 10 Dec 2007 (0.27%)
2006528 Mar 2006 (-0.61%), 18 Jul 2006 (4.88%), 20 Sep 2006 (-1.25%), 07 Nov 2006 (0.48%), 05 Dec 2006 (2.9%)
2005817 Jan 2005 (-0.28%), 22 Feb 2005 (-8.93%), 23 Mar 2005 (-1.08%), 27 May 2005 (2.41%), 17 Jun 2005 (0.82%), 26 Jul 2005 (0.77%), 26 Sep 2005 (4.93%), 10 Oct 2005 (0.45%)
2004412 Jan 2004 (2.8%), 23 Apr 2004 (5.2%), 23 Sep 2004 (-1.19%), 17 Dec 2004 (-0.62%)
2003827 Jan 2003 (-1.28%), 31 Mar 2003 (-0.0%), 26 May 2003 (-1.03%), 13 Jun 2003 (0.32%), 08 Jul 2003 (1.19%), 28 Aug 2003 (2.34%), 25 Nov 2003 (-5.49%), 23 Dec 2003 (-10.04%)
2002327 Feb 2002 (3.41%), 22 May 2002 (-2.42%), 11 Dec 2002 (-0.39%)
2001407 May 2001 (-4.03%), 18 Jun 2001 (-6.0%), 17 Jul 2001 (-1.2%), 04 Dec 2001 (0.51%)
2000110 Nov 2000 (-8.64%)
1998223 Apr 1998 (-7.07%), 28 Sep 1998 (20.0%)
1997320 Aug 1997 (-1.46%), 14 Oct 1997 (4.85%), 23 Dec 1997 (0.57%)



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