Study: Sell STAR 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 STAR 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 STAR 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
19985.98603030504275.9217400.64-3943.06-9200.971.081.080.0073166.43
260579.0360352558.336469.6819685.04-6634.4-21045.750.981.370.0281009.65
3-35790.9760312951.677586.6820682.93-9344.07-37908.50.810.87-0.012-596.52
4-101747603030507972.5234908.7-11364.09-30453.020.70.7-0.033-1695.79
5-1596456024364010112.6540064.45-11176.34-30995.720.90.6-0.045-2660.74
6-1461606027334510759.1138882.92-13232.01-34817.490.810.67-0.039-2436.01
7-1501726024364012546.0734264.23-12535.51-33598.9910.67-0.039-2502.87
8-1330726027334512003.940700.88-13853.85-49370.810.870.71-0.031-2217.86
9-17485160233738.3314826.4836098.65-13942.16-47525.171.060.66-0.039-2914.18
10-21485.8860233738.3319014.9111260-12400.77-28864.221.530.95-0.004-358.1
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
atrnil38.46-29897.1567165123.8832674.8179496.9-10837.14-19764.763.020.95-0.0052-446.23
atrnil26.41-1674286817512522769.3352997.93-10872.67-21085.752.090.7-0.037-2462.17
atrtrail34.09-19601269135618.8417190.7429240.77-7490.92-19764.762.290.53-0.06-2840.75
atrtrail23.87-22740370135718.5715708.5838547.28-7572.19-19764.762.070.47-0.071-3248.62
atrtrail-14.57-24544869135618.8413387.9531393.99-7490.92-19764.761.790.41-0.083-3557.22

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 23.88%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:0.946

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019429 Jan 2019 (14.49%), 22 Apr 2019 (-3.07%), 28 Jun 2019 (12.55%), 21 Aug 2019 (-4.29%)
2018522 Feb 2018 (-4.01%), 07 Mar 2018 (-3.73%), 03 May 2018 (9.71%), 16 Jul 2018 (-5.63%), 10 Sep 2018 (-3.81%)
2017221 Feb 2017 (8.67%), 02 Aug 2017 (8.13%)
2016109 Feb 2016 (17.05%)
2015326 Mar 2015 (-5.02%), 27 Mar 2015 (-5.12%), 15 Apr 2015 (12.41%)
2014508 May 2014 (-4.68%), 20 Jun 2014 (-4.38%), 08 Jul 2014 (-3.88%), 23 Sep 2014 (10.51%), 16 Dec 2014 (-4.38%)
2013105 Dec 2013 (-4.92%)
2012822 Feb 2012 (-5.16%), 19 Mar 2012 (-4.83%), 10 Apr 2012 (-4.78%), 12 Jun 2012 (-4.03%), 13 Jun 2012 (-3.91%), 29 Jun 2012 (-3.62%), 23 Jul 2012 (9.11%), 11 Dec 2012 (-5.82%)
2011124 Feb 2011 (-5.91%)
2010812 Jan 2010 (-4.74%), 02 Feb 2010 (-6.21%), 24 Feb 2010 (-5.51%), 17 Mar 2010 (-4.77%), 18 Mar 2010 (-4.75%), 29 Mar 2010 (-4.29%), 02 Jul 2010 (-3.42%), 16 Nov 2010 (-4.07%)
2009728 Apr 2009 (-8.41%), 08 Jun 2009 (-8.39%), 05 Aug 2009 (-7.63%), 06 Aug 2009 (-7.64%), 18 Aug 2009 (-7.12%), 17 Sep 2009 (-5.16%), 16 Dec 2009 (-5.04%)
2008524 Apr 2008 (-8.42%), 09 May 2008 (23.59%), 12 Aug 2008 (-6.53%), 05 Sep 2008 (15.88%), 12 Nov 2008 (39.75%)
2007125 Jun 2007 (16.27%)
2006113 Sep 2006 (-5.65%)
2005405 Jan 2005 (-4.9%), 18 Feb 2005 (-4.21%), 13 Jun 2005 (12.49%), 23 Aug 2005 (-5.64%)
2004431 Aug 2004 (-5.16%), 12 Oct 2004 (-4.17%), 19 Nov 2004 (-4.15%), 31 Dec 2004 (-3.95%)
2003229 Sep 2003 (-7.89%), 19 Dec 2003 (21.45%)
2002230 Jan 2002 (-9.88%), 14 May 2002 (-9.64%)
2001204 Apr 2001 (-7.18%), 10 Apr 2001 (-6.9%)
2000104 May 2000 (29.34%)



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