Study: Sell SUNPHARMA 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 SUNPHARMA 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 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
1-67689.6385355041.183230.0716000-3614.84-160000.890.63-0.034-796.35
2-35239985364942.355430.5430716.64-11181.59-2157760.490.36-0.034-4145.86
3-34872985374843.537132.8138212.89-12763.38-2204510.560.43-0.032-4102.69
4-24653585384744.7110433.14148042-13680.73-2128910.760.62-0.019-2900.41
5-23350785394645.8810418.63147762-13909.43-2150460.750.64-0.018-2747.14
6-28704185374843.5310960.52148370-14428.75-2055140.760.59-0.022-3376.95
7-27831485404547.0611366.73146599-16288.53-2013510.70.62-0.021-3274.29
8-24455385394645.8811424.84142325-15002.66-1931710.760.65-0.02-2877.1
9-26084985364942.3513369.79140342-15146.16-1813020.880.65-0.021-3068.82
10-14269285414448.2412936.26139074-15297.25-1693600.850.79-0.012-1678.73
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-15-66983.27104317329.8112772.16168565-6341.37-14548.982.010.86-0.007-644.07
atrtrail23.96-172148104317329.819379.7534402.72-6341.37-14548.981.480.63-0.037-1655.27
atrnil25.27-246985104257924.0414519.1834402.72-7721.07-16731.591.880.6-0.047-2374.85
atrtrail34.32-202488104317329.818401.0251604.08-6341.37-14548.981.320.56-0.042-1947
atrnil37.12-337113104158914.4222717.0651604.08-7616.5-16731.592.980.5-0.057-3241.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 29.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:0.855

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019621 Jan 2019 (-4.17%), 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%)
2018516 Jan 2018 (-1.57%), 02 Jul 2018 (-3.09%), 11 Sep 2018 (-3.17%), 12 Sep 2018 (0.56%), 15 Nov 2018 (18.28%)
2017124 May 2017 (13.58%)
2016201 Jun 2016 (1.28%), 08 Dec 2016 (6.8%)
2015311 Feb 2015 (-2.34%), 24 Mar 2015 (-0.45%), 16 Apr 2015 (11.52%)
2014308 May 2014 (0.11%), 23 Jul 2014 (-2.22%), 03 Sep 2014 (5.67%)
2013901 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%)
2012516 Feb 2012 (-2.81%), 16 Mar 2012 (-3.05%), 11 Jul 2012 (-0.68%), 17 Aug 2012 (-2.06%), 18 Oct 2012 (0.0%)
2011520 Jun 2011 (-3.15%), 24 Jun 2011 (-2.93%), 03 Aug 2011 (5.33%), 16 Nov 2011 (-3.59%), 12 Dec 2011 (-3.41%)
2010904 Jan 2010 (-2.98%), 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%)
2009614 May 2009 (-3.97%), 15 May 2009 (-4.35%), 21 May 2009 (-6.83%), 15 Jun 2009 (-5.4%), 16 Oct 2009 (-0.92%), 07 Dec 2009 (-3.11%)
2008409 May 2008 (1.96%), 28 Aug 2008 (-3.58%), 11 Sep 2008 (1.33%), 21 Nov 2008 (-0.29%)
2006320 Feb 2006 (-3.31%), 12 Apr 2006 (-3.58%), 21 Apr 2006 (1.68%)
2005804 Jan 2005 (13.12%), 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%)
2004427 Apr 2004 (-5.15%), 07 May 2004 (-2.39%), 27 Aug 2004 (-0.66%), 03 Dec 2004 (-2.26%)
2003708 Jan 2003 (-1.29%), 26 Feb 2003 (0.59%), 24 Jun 2003 (-4.18%), 25 Jun 2003 (-3.57%), 10 Jul 2003 (-4.46%), 11 Jul 2003 (-4.47%), 03 Sep 2003 (-6.15%)
2002225 Jan 2002 (-0.24%), 15 Mar 2002 (-2.62%)
2001209 Aug 2001 (-3.47%), 10 Aug 2001 (-2.03%)
2000415 Feb 2000 (-6.74%), 02 Mar 2000 (84.28%), 12 Jul 2000 (-7.27%), 15 Nov 2000 (-2.5%)
1999612 Apr 1999 (4.0%), 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%)
1998428 Apr 1998 (-7.07%), 29 Apr 1998 (-7.19%), 01 Sep 1998 (-5.52%), 02 Sep 1998 (-5.28%)
1997219 Feb 1997 (3.62%), 28 Aug 1997 (0.62%)
1996311 Jan 1996 (1.26%), 12 Mar 1996 (-1.26%), 09 May 1996 (-0.94%)
1995119 Dec 1995 (-2.96%)



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