Study: Sell SYNDIBANK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell SYNDIBANK 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 SYNDIBANK 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
152594.81141736851.774762.9918181.82-4339.76-38498.211.11.180.013373.01
2101477141736851.776811.432419.55-5819.92-33969.011.171.260.018719.7
3189227141726951.068520.5342431.47-6148.57-27175.211.391.450.0291342.03
4275436141786355.329380.3635473.52-7241.78-30870.081.31.60.041953.45
5342005141816057.4510877.5843178.17-8984.64-45690.551.211.630.0422425.57
6190696141736851.7712179.5254109.59-10270.72-50674.971.191.270.0211352.45
7169775141746752.4813071.0764687-11902.75-54828.661.11.210.0171204.08
8259784141756653.1915006.3369020.87-13116.53-53582.551.141.30.0231842.44
9273382141816057.4515158.1567576.24-15907.14-55898.370.951.290.0221938.88
10276658141796256.0316332.5767736.76-16348.63-68421.0511.270.0211962.11
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
atrtrail34.97323961167719642.5114171.5839087.39-7106.47-15077.451.991.470.0351939.89
atrtrail24.35288439168729642.8613459.9526058.26-7090.39-15077.451.91.420.0341716.9
atrnil38.513549991575210533.1225122.4941699.7-9060.67-15166.72.771.370.0312261.14
atrtrail-15.71227287165709542.4212889.6567847.92-7105.14-15077.451.811.340.0241377.5
atrnil25.85282583165689741.2117005.3927799.8-9008.08-15166.71.891.320.031712.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 42.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.97%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SYNDIBANK Performance, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Jan 2019 (10.76%), 08 Apr 2019 (2.68%)
2018830 Jan 2018 (14.67%), 20 Apr 2018 (0.95%), 20 Jun 2018 (11.75%), 16 Jul 2018 (-4.87%), 17 Jul 2018 (-2.44%), 10 Aug 2018 (4.11%), 05 Sep 2018 (0.25%), 29 Nov 2018 (10.61%)
2017814 Feb 2017 (-0.44%), 22 Mar 2017 (-2.7%), 19 Apr 2017 (-2.92%), 18 May 2017 (12.7%), 28 Jul 2017 (8.56%), 27 Sep 2017 (-2.41%), 14 Nov 2017 (-2.95%), 30 Nov 2017 (7.33%)
2016807 Jan 2016 (8.83%), 13 Apr 2016 (-2.88%), 28 Apr 2016 (1.7%), 20 Jul 2016 (0.59%), 29 Aug 2016 (-3.05%), 16 Sep 2016 (-2.44%), 01 Nov 2016 (9.2%), 21 Nov 2016 (7.63%)
20151107 Jan 2015 (-4.19%), 14 Jan 2015 (-4.05%), 19 Jan 2015 (11.67%), 10 Mar 2015 (13.82%), 24 Apr 2015 (-1.98%), 05 Jun 2015 (3.72%), 27 Jul 2015 (9.64%), 28 Jul 2015 (-3.62%), 24 Aug 2015 (5.49%), 03 Nov 2015 (-0.2%), 04 Dec 2015 (3.76%)
20141107 Jan 2014 (-3.89%), 10 Jan 2014 (-4.47%), 30 Apr 2014 (-3.97%), 08 May 2014 (-4.24%), 13 Jun 2014 (-6.1%), 07 Jul 2014 (14.87%), 28 Aug 2014 (-1.5%), 25 Sep 2014 (-5.62%), 26 Sep 2014 (1.01%), 25 Nov 2014 (-3.39%), 11 Dec 2014 (13.4%)
2013922 Jan 2013 (-3.46%), 23 Jan 2013 (-2.82%), 20 Mar 2013 (2.57%), 08 Apr 2013 (-3.02%), 23 May 2013 (-3.87%), 25 Jul 2013 (14.13%), 13 Nov 2013 (-5.36%), 21 Nov 2013 (-2.95%), 13 Dec 2013 (-0.34%)
2012722 Feb 2012 (-4.59%), 15 Mar 2012 (-2.72%), 16 Apr 2012 (12.05%), 12 Jul 2012 (8.78%), 27 Aug 2012 (-2.01%), 26 Oct 2012 (-0.94%), 21 Dec 2012 (-3.2%)
2011806 Jan 2011 (13.98%), 18 Apr 2011 (6.23%), 16 Jun 2011 (-0.42%), 28 Jul 2011 (-2.93%), 29 Jul 2011 (9.29%), 04 Oct 2011 (-4.1%), 11 Nov 2011 (4.68%), 12 Dec 2011 (12.04%)
2010804 Jan 2010 (0.24%), 25 Mar 2010 (-2.67%), 15 Apr 2010 (-1.42%), 07 May 2010 (-3.6%), 18 Jun 2010 (-2.71%), 11 Aug 2010 (-2.48%), 26 Aug 2010 (0.87%), 19 Nov 2010 (15.2%)
2009618 Feb 2009 (10.78%), 06 May 2009 (-5.69%), 08 Jun 2009 (2.98%), 10 Aug 2009 (-2.05%), 26 Oct 2009 (1.42%), 15 Dec 2009 (-5.11%)
2008910 Jan 2008 (-5.41%), 05 Mar 2008 (1.06%), 26 May 2008 (11.62%), 24 Jun 2008 (6.41%), 21 Aug 2008 (-0.48%), 15 Sep 2008 (-3.72%), 16 Sep 2008 (-1.31%), 01 Oct 2008 (13.71%), 20 Nov 2008 (-6.59%)
20071224 Jan 2007 (-3.39%), 25 Jan 2007 (-3.37%), 14 Feb 2007 (-5.03%), 15 Feb 2007 (15.33%), 02 Apr 2007 (-4.63%), 22 May 2007 (-4.19%), 23 May 2007 (1.44%), 27 Jul 2007 (-4.05%), 30 Jul 2007 (0.55%), 05 Oct 2007 (0.63%), 22 Nov 2007 (-7.32%), 17 Dec 2007 (-5.39%)
2006801 Feb 2006 (-0.1%), 13 Apr 2006 (-4.15%), 17 May 2006 (19.54%), 24 Aug 2006 (-4.77%), 07 Sep 2006 (1.77%), 12 Oct 2006 (4.8%), 29 Nov 2006 (-2.11%), 06 Dec 2006 (8.77%)
20051310 Jan 2005 (7.85%), 17 Feb 2005 (-4.55%), 17 Mar 2005 (13.89%), 15 Apr 2005 (-1.78%), 28 Apr 2005 (2.4%), 26 May 2005 (-3.63%), 27 May 2005 (-1.69%), 21 Jun 2005 (-1.24%), 17 Aug 2005 (3.68%), 23 Sep 2005 (-4.21%), 07 Oct 2005 (3.6%), 06 Dec 2005 (-2.9%), 23 Dec 2005 (-3.47%)
2004819 Jan 2004 (14.86%), 15 Mar 2004 (1.27%), 29 Apr 2004 (-4.14%), 23 Jun 2004 (-7.11%), 16 Aug 2004 (-3.76%), 15 Sep 2004 (-2.86%), 12 Oct 2004 (9.72%), 16 Dec 2004 (-1.99%)
20031424 Jan 2003 (-4.99%), 27 Jan 2003 (-5.59%), 26 Feb 2003 (-3.82%), 08 May 2003 (-5.33%), 20 May 2003 (-1.42%), 02 Jun 2003 (-6.92%), 03 Jun 2003 (-6.76%), 06 Jun 2003 (3.16%), 23 Jul 2003 (-5.99%), 25 Aug 2003 (-4.92%), 04 Sep 2003 (14.61%), 05 Sep 2003 (1.68%), 29 Oct 2003 (-4.66%), 30 Oct 2003 (13.81%)
2002628 Feb 2002 (-5.95%), 03 May 2002 (7.78%), 26 Jun 2002 (-7.54%), 22 Aug 2002 (-5.03%), 27 Aug 2002 (-3.67%), 30 Dec 2002 (-0.34%)
2001609 Jan 2001 (-4.27%), 21 Feb 2001 (2.3%), 06 Jun 2001 (-3.49%), 31 Aug 2001 (6.38%), 08 Nov 2001 (-3.02%), 28 Nov 2001 (-1.39%)
2000508 May 2000 (1.68%), 12 Jul 2000 (-3.87%), 13 Jul 2000 (3.26%), 18 Sep 2000 (0.08%), 18 Dec 2000 (0.5%)



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