Study: Sell TATAELXSI when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell TATAELXSI 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 TATAELXSI 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
11440761901088256.844584.6131903.19-4281.24-20284.611.071.410.024758.3
2149511190949649.477246.5446226.42-5538.16-24032.181.311.280.018786.9
3235441190999152.118239.3160245.9-6376.39-35287.011.291.410.0241239.16
470388.211901028853.688703.9447868.85-9288.8-54138.970.941.090.006370.46
597120.75189989151.8510531.6651311.48-10274.53-57557.881.031.10.0071513.87
6100884189999052.3811715.8168770.49-11766.45-62068.9711.10.0065533.78
7-59137.041898910047.0913254.8686557.38-12388.19-83054.191.070.95-0.0034-312.89
8-9256.29189949549.7413640.8795163.93-13594.72-90049.2610.99-0.00049-48.98
9-21381.361891028753.9713089.2679016.39-15591.8-82098.570.840.98-0.0011-113.13
10-37704.56189959450.2614605.0467868.85-15161.52-66583.260.960.97-0.002-199.5

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.41. 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 56.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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-111440761901088256.844584.6131903.19-4281.24-20284.611.071.410.024758.3
atrnil26.2151058.322187214633.0319294.9236598.64-9165.59-18692.892.111.040.0034234.21
atrtrail-15.0528055.272248114336.1612554.7274869.06-6915.22-16341.071.821.030.002125.25
atrtrail34.5817165.062268114535.8412714.554897.96-6984.21-18269.461.821.020.001275.95
atrtrail24.1111379.32278314436.5612258.4836598.64-6986.63-18269.461.751.010.0009150.13
atrnil38.45-71747.842145016423.3628939.4854897.96-9260.5-18692.893.130.95-0.004-335.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 56.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
TATAELXSI Performance, X=1, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 Jan 2019 (0.23%), 15 Feb 2019 (0.09%), 27 Mar 2019 (-0.85%), 09 Jul 2019 (0.5%), 10 Oct 2019 (-2.17%)
2018731 Jan 2018 (3.32%), 08 Mar 2018 (-0.04%), 07 May 2018 (-3.36%), 04 Jun 2018 (3.55%), 28 Jun 2018 (-3.88%), 19 Jul 2018 (-1.45%), 24 Dec 2018 (0.22%)
2017930 Jan 2017 (2.41%), 02 Mar 2017 (0.31%), 30 Mar 2017 (0.66%), 21 Apr 2017 (-2.28%), 19 May 2017 (1.5%), 18 Jul 2017 (0.43%), 03 Aug 2017 (-0.46%), 05 Oct 2017 (-0.35%), 30 Nov 2017 (2.39%)
20161201 Jan 2016 (1.72%), 11 Feb 2016 (4.11%), 29 Mar 2016 (-2.61%), 02 May 2016 (1.06%), 20 May 2016 (0.54%), 24 Jun 2016 (0.96%), 13 Jul 2016 (0.1%), 19 Aug 2016 (-0.04%), 28 Sep 2016 (7.52%), 27 Oct 2016 (-4.51%), 10 Nov 2016 (5.82%), 22 Dec 2016 (2.58%)
2015602 Feb 2015 (-4.17%), 13 Mar 2015 (1.83%), 17 Apr 2015 (8.95%), 03 Jun 2015 (-0.49%), 12 Aug 2015 (0.19%), 16 Sep 2015 (-0.83%)
20141007 Jan 2014 (0.53%), 06 Feb 2014 (-0.5%), 13 Mar 2014 (-1.04%), 28 Apr 2014 (0.92%), 09 Jul 2014 (0.31%), 25 Jul 2014 (1.41%), 15 Sep 2014 (3.81%), 29 Sep 2014 (-2.79%), 13 Nov 2014 (-0.2%), 09 Dec 2014 (-0.97%)
2013910 Jan 2013 (0.86%), 27 Feb 2013 (4.42%), 25 Mar 2013 (1.36%), 10 Apr 2013 (0.31%), 13 May 2013 (-0.08%), 25 Jun 2013 (-0.37%), 26 Jul 2013 (1.32%), 18 Sep 2013 (-1.6%), 12 Nov 2013 (1.55%)
2012721 Feb 2012 (3.13%), 09 May 2012 (-0.5%), 15 Jun 2012 (0.26%), 24 Jul 2012 (2.74%), 27 Sep 2012 (0.49%), 19 Oct 2012 (1.22%), 20 Dec 2012 (1.6%)
2011807 Jan 2011 (1.83%), 25 Feb 2011 (0.37%), 19 Apr 2011 (-0.82%), 20 Jun 2011 (0.21%), 14 Jul 2011 (0.61%), 30 Sep 2011 (3.52%), 15 Nov 2011 (-0.38%), 13 Dec 2011 (0.61%)
2010725 Jan 2010 (8.07%), 06 Apr 2010 (-3.38%), 14 Jul 2010 (1.65%), 30 Aug 2010 (3.3%), 28 Sep 2010 (1.06%), 21 Oct 2010 (-0.09%), 16 Nov 2010 (2.01%)
2009713 Jan 2009 (-1.77%), 27 Feb 2009 (0.85%), 03 Jun 2009 (-3.82%), 24 Aug 2009 (-2.4%), 18 Sep 2009 (-0.57%), 23 Oct 2009 (-0.06%), 21 Dec 2009 (-1.48%)
2008510 Jan 2008 (4.13%), 07 Mar 2008 (0.33%), 09 May 2008 (0.58%), 10 Jun 2008 (-5.04%), 15 Sep 2008 (1.44%)
20071010 Jan 2007 (-4.6%), 05 Feb 2007 (1.56%), 26 Apr 2007 (0.29%), 08 Jun 2007 (0.01%), 05 Jul 2007 (0.59%), 22 Aug 2007 (0.17%), 19 Sep 2007 (1.74%), 09 Oct 2007 (-0.02%), 31 Oct 2007 (0.6%), 18 Dec 2007 (2.49%)
2006821 Feb 2006 (-0.85%), 16 Mar 2006 (-0.61%), 17 Apr 2006 (-10.14%), 15 May 2006 (2.38%), 14 Jul 2006 (3.35%), 06 Sep 2006 (-0.59%), 23 Nov 2006 (-1.77%), 07 Dec 2006 (2.15%)
2005922 Feb 2005 (1.33%), 15 Mar 2005 (3.39%), 13 Apr 2005 (4.2%), 19 May 2005 (0.17%), 17 Jun 2005 (-1.73%), 22 Aug 2005 (0.38%), 08 Sep 2005 (1.14%), 24 Oct 2005 (0.75%), 21 Dec 2005 (-0.62%)
20041106 Jan 2004 (2.46%), 09 Mar 2004 (1.94%), 30 Apr 2004 (-5.15%), 14 May 2004 (15.95%), 01 Jun 2004 (-1.6%), 24 Jun 2004 (-2.66%), 09 Jul 2004 (-3.57%), 27 Jul 2004 (-0.43%), 15 Sep 2004 (-3.74%), 12 Oct 2004 (-4.55%), 10 Nov 2004 (0.22%)
2003911 Feb 2003 (2.42%), 07 Mar 2003 (2.2%), 17 Apr 2003 (-2.28%), 24 Jun 2003 (-0.34%), 15 Jul 2003 (-0.66%), 06 Aug 2003 (-3.08%), 15 Sep 2003 (-1.89%), 08 Oct 2003 (-3.59%), 14 Nov 2003 (-1.33%)
2002711 Jan 2002 (-3.98%), 01 Mar 2002 (-1.8%), 13 May 2002 (2.56%), 21 Jun 2002 (-4.56%), 15 Jul 2002 (1.11%), 16 Sep 2002 (-3.32%), 24 Oct 2002 (3.23%)
2001511 Jan 2001 (2.14%), 28 Feb 2001 (5.57%), 07 Jun 2001 (-2.55%), 13 Sep 2001 (7.67%), 13 Dec 2001 (1.09%)
2000522 Feb 2000 (3.18%), 30 Jun 2000 (-2.98%), 18 Sep 2000 (-0.19%), 01 Dec 2000 (0.61%), 19 Dec 2000 (-0.39%)
1999901 Feb 1999 (7.96%), 19 Feb 1999 (7.97%), 26 May 1999 (6.49%), 15 Jun 1999 (-4.4%), 12 Aug 1999 (-0.79%), 01 Sep 1999 (2.56%), 01 Oct 1999 (4.64%), 22 Oct 1999 (-1.2%), 27 Dec 1999 (-8.0%)
1998713 Jan 1998 (-8.8%), 04 Feb 1998 (1.96%), 11 Mar 1998 (-0.74%), 24 Apr 1998 (3.3%), 08 Sep 1998 (2.11%), 05 Oct 1998 (2.78%), 26 Nov 1998 (0.2%)
1997720 Jan 1997 (5.63%), 13 Mar 1997 (1.76%), 28 Apr 1997 (-0.33%), 27 May 1997 (-1.58%), 23 Jun 1997 (-0.63%), 26 Aug 1997 (-4.31%), 19 Sep 1997 (5.07%)
1996711 Jan 1996 (0.65%), 29 Feb 1996 (-0.93%), 29 Apr 1996 (0.24%), 21 May 1996 (-0.5%), 28 Jun 1996 (2.73%), 11 Sep 1996 (1.79%), 05 Nov 1996 (-0.3%)
1995417 May 1995 (-2.73%), 05 Jun 1995 (-7.55%), 31 Jul 1995 (-1.85%), 23 Oct 1995 (2.9%)



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