Study: Sell SUNPHARMA when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA when there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SUNPHARMA 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
1-1605711998311641.712892.8416000-3454.11-17732.250.840.6-0.037-806.89
2-4664661998911044.724690.5530716.64-8035.69-2157760.580.47-0.028-2344.05
3-4497131989510347.985881.4538212.89-9790.79-2204510.60.55-0.025-2271.28
4-3609831989010845.458310.32148042-10267.71-2128910.810.67-0.017-1823.15
5-3856931989110745.968248.1147762-10619.35-2150460.780.66-0.018-1947.95
6-5432981988311541.929009.16148370-11226.6-2055140.80.58-0.025-2743.93
7-5478371988910944.959253.34146599-12581.51-2013510.740.6-0.025-2766.85
8-4981721988711143.949787.56142325-12159.37-1931710.80.63-0.023-2516.02
9-4795441989110745.9610294.16140342-13236.56-1813020.780.66-0.021-2421.94
10-3683881989310546.9710731.64139074-13013.63-1693600.820.73-0.017-1860.55
Although, strategy looks good but profit factor on day 2 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
atrtrail-15.03-3401252376717028.2710041.93168565-5958.44-14548.981.690.66-0.021-1435.13
atrnil26.03-4898082346017425.6413633.2734402.72-7516.12-16731.591.810.63-0.043-2093.2
atrtrail24.18-4076242386817028.578965.7734402.72-5984.1-14548.981.50.6-0.043-1712.71
atrnil38.21-5982672264118518.1419619.1551604.08-7581.9-16731.592.590.57-0.048-2647.2
atrtrail34.52-4585182376816928.698149.3151604.08-5992.14-14548.981.360.55-0.047-1934.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:0.664

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019918 Jan 2019 (-4.25%), 27 Mar 2019 (-2.79%), 28 Mar 2019 (0.18%), 11 Jun 2019 (0.1%), 08 Jul 2019 (-3.62%), 09 Jul 2019 (-3.71%), 01 Aug 2019 (-1.54%), 11 Sep 2019 (-3.88%), 12 Sep 2019 (7.94%)
2018816 Jan 2018 (-1.57%), 15 Feb 2018 (4.89%), 09 May 2018 (3.9%), 02 Jul 2018 (-3.09%), 10 Aug 2018 (-2.78%), 11 Sep 2018 (-3.17%), 12 Sep 2018 (0.56%), 14 Nov 2018 (19.06%)
20171101 Feb 2017 (-2.27%), 15 Feb 2017 (-2.75%), 16 Feb 2017 (-2.77%), 24 Mar 2017 (3.37%), 23 May 2017 (15.07%), 28 Jul 2017 (15.25%), 03 Oct 2017 (-3.07%), 25 Oct 2017 (-2.6%), 26 Oct 2017 (-2.65%), 06 Nov 2017 (-0.61%), 04 Dec 2017 (-0.97%)
2016808 Jan 2016 (-1.15%), 29 Feb 2016 (1.44%), 28 Apr 2016 (-1.78%), 01 Jun 2016 (1.28%), 10 Aug 2016 (-1.0%), 26 Sep 2016 (1.84%), 02 Nov 2016 (6.4%), 08 Dec 2016 (6.8%)
2015911 Feb 2015 (-2.34%), 24 Mar 2015 (-0.45%), 16 Apr 2015 (11.52%), 01 Jun 2015 (4.19%), 22 Jul 2015 (-0.69%), 02 Sep 2015 (2.19%), 29 Sep 2015 (-3.08%), 14 Oct 2015 (-2.74%), 23 Oct 2015 (-2.43%)
20141021 Jan 2014 (-2.25%), 22 Jan 2014 (-2.3%), 28 Jan 2014 (-2.59%), 29 Jan 2014 (-1.22%), 06 Mar 2014 (4.1%), 08 May 2014 (0.11%), 23 Jul 2014 (-2.22%), 03 Sep 2014 (5.67%), 13 Oct 2014 (-2.2%), 19 Nov 2014 (0.94%)
20131001 Jan 2013 (-1.52%), 11 Jan 2013 (3.2%), 04 Mar 2013 (-1.87%), 21 Mar 2013 (0.42%), 09 May 2013 (-1.2%), 06 Jun 2013 (3.39%), 25 Jul 2013 (-3.21%), 19 Aug 2013 (2.01%), 17 Oct 2013 (-3.13%), 06 Dec 2013 (1.79%)
2012716 Feb 2012 (-2.81%), 16 Mar 2012 (-3.05%), 07 May 2012 (2.18%), 11 Jul 2012 (-0.68%), 17 Aug 2012 (-2.06%), 17 Sep 2012 (-1.66%), 18 Oct 2012 (0.0%)
2011911 Jan 2011 (-3.51%), 07 Apr 2011 (-2.74%), 05 May 2011 (-0.39%), 20 Jun 2011 (-3.15%), 24 Jun 2011 (-2.93%), 03 Aug 2011 (5.33%), 19 Sep 2011 (1.3%), 16 Nov 2011 (-3.59%), 12 Dec 2011 (-3.41%)
20101004 Jan 2010 (-2.98%), 06 Feb 2010 (-3.42%), 09 Apr 2010 (-2.57%), 12 Apr 2010 (-0.6%), 02 Jul 2010 (-1.48%), 06 Aug 2010 (1.84%), 30 Aug 2010 (-0.53%), 15 Oct 2010 (-2.28%), 18 Oct 2010 (-1.83%), 18 Nov 2010 (0.53%)
20091102 Feb 2009 (-4.55%), 16 Feb 2009 (4.13%), 14 May 2009 (-3.97%), 15 May 2009 (-4.35%), 21 May 2009 (-6.83%), 15 Jun 2009 (-5.4%), 30 Jul 2009 (-5.86%), 19 Aug 2009 (-4.36%), 16 Oct 2009 (-0.92%), 19 Nov 2009 (-3.64%), 07 Dec 2009 (-3.11%)
2008803 Jan 2008 (-1.39%), 17 Mar 2008 (-2.4%), 09 May 2008 (1.96%), 23 Jun 2008 (3.74%), 28 Aug 2008 (-3.58%), 11 Sep 2008 (1.33%), 07 Oct 2008 (0.16%), 21 Nov 2008 (-0.29%)
2007829 Jan 2007 (-3.39%), 24 Apr 2007 (3.44%), 08 Jun 2007 (-3.35%), 24 Sep 2007 (-2.92%), 09 Nov 2007 (-4.24%), 22 Nov 2007 (-3.49%), 17 Dec 2007 (-4.69%), 18 Dec 2007 (-4.76%)
2006520 Feb 2006 (-3.31%), 12 Apr 2006 (-3.58%), 21 Apr 2006 (1.68%), 11 May 2006 (-1.47%), 08 Sep 2006 (-0.56%)
20051004 Jan 2005 (13.12%), 21 Feb 2005 (-4.12%), 21 Mar 2005 (1.74%), 10 Jun 2005 (-2.85%), 21 Jun 2005 (-3.3%), 14 Jul 2005 (-3.7%), 26 Jul 2005 (-5.01%), 31 Aug 2005 (-3.33%), 22 Sep 2005 (-2.27%), 20 Dec 2005 (-3.13%)
20041120 Jan 2004 (-4.23%), 26 Feb 2004 (-4.95%), 12 Mar 2004 (6.41%), 27 Apr 2004 (-5.15%), 07 May 2004 (-2.39%), 11 Jun 2004 (-3.86%), 27 Aug 2004 (-0.66%), 08 Oct 2004 (-3.01%), 29 Oct 2004 (-3.68%), 09 Nov 2004 (-2.75%), 03 Dec 2004 (-2.26%)
20031608 Jan 2003 (-1.29%), 26 Feb 2003 (0.59%), 12 Mar 2003 (-4.5%), 24 Apr 2003 (-3.68%), 09 May 2003 (-3.95%), 24 Jun 2003 (-4.18%), 25 Jun 2003 (-3.57%), 10 Jul 2003 (-4.46%), 11 Jul 2003 (-4.47%), 20 Aug 2003 (-4.38%), 03 Sep 2003 (-6.15%), 10 Sep 2003 (-3.29%), 15 Oct 2003 (-4.91%), 22 Oct 2003 (-4.11%), 18 Nov 2003 (-0.58%), 12 Dec 2003 (-4.65%)
2002525 Jan 2002 (-0.24%), 15 Mar 2002 (-2.62%), 09 Apr 2002 (7.24%), 13 Sep 2002 (-1.18%), 07 Nov 2002 (-1.07%)
20011312 Jan 2001 (-3.82%), 13 Feb 2001 (0.35%), 11 Apr 2001 (-2.01%), 21 May 2001 (-4.84%), 22 May 2001 (-1.16%), 26 Jun 2001 (10.61%), 09 Aug 2001 (-3.47%), 10 Aug 2001 (-2.03%), 17 Sep 2001 (-5.39%), 18 Sep 2001 (-1.34%), 31 Oct 2001 (-3.62%), 20 Nov 2001 (-0.15%), 18 Dec 2001 (2.08%)
2000515 Feb 2000 (-6.74%), 02 Mar 2000 (84.28%), 12 Jul 2000 (-7.27%), 15 Nov 2000 (-2.5%), 22 Dec 2000 (-2.36%)
19991122 Feb 1999 (3.88%), 16 Mar 1999 (-5.33%), 17 Mar 1999 (-5.19%), 12 Apr 1999 (4.0%), 18 May 1999 (-6.83%), 19 May 1999 (-5.09%), 01 Sep 1999 (0.14%), 05 Oct 1999 (-5.51%), 06 Oct 1999 (-5.36%), 22 Oct 1999 (7.72%), 21 Dec 1999 (2.85%)
19981427 Jan 1998 (-3.29%), 12 Feb 1998 (-2.74%), 06 Mar 1998 (-2.49%), 03 Apr 1998 (-4.28%), 28 Apr 1998 (-7.07%), 29 Apr 1998 (-7.19%), 02 Jun 1998 (2.4%), 03 Aug 1998 (-2.76%), 01 Sep 1998 (-5.52%), 02 Sep 1998 (-5.28%), 17 Sep 1998 (-3.28%), 29 Sep 1998 (0.83%), 30 Oct 1998 (-3.22%), 24 Nov 1998 (0.63%)
19971109 Jan 1997 (-2.99%), 19 Feb 1997 (3.62%), 11 Mar 1997 (-2.78%), 02 Apr 1997 (1.53%), 06 May 1997 (-2.6%), 10 Jun 1997 (-1.87%), 23 Jun 1997 (0.66%), 22 Jul 1997 (-2.17%), 28 Aug 1997 (0.62%), 27 Oct 1997 (-0.23%), 01 Dec 1997 (6.01%)
19961211 Jan 1996 (1.26%), 12 Mar 1996 (-1.26%), 09 May 1996 (-0.94%), 11 Jun 1996 (-3.02%), 12 Jun 1996 (-1.73%), 24 Jun 1996 (-2.6%), 04 Jul 1996 (0.81%), 30 Jul 1996 (0.01%), 13 Aug 1996 (-1.98%), 19 Aug 1996 (-0.65%), 06 Nov 1996 (-2.28%), 25 Nov 1996 (-2.79%)
1995613 Jun 1995 (-0.13%), 28 Jul 1995 (-1.61%), 18 Aug 1995 (2.71%), 18 Oct 1995 (-1.3%), 16 Nov 1995 (15.04%), 19 Dec 1995 (-2.96%)



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