Study: Sell TATAELXSI 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 TATAELXSI 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 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
110154897583959.794836.1517898.19-4588.42-17590.821.051.570.0331046.89
217056897554256.77906.6140245.9-6292.74-22205.441.261.650.0371758.44
323356696534355.2110200.7160245.9-7141.19-35287.011.431.760.042432.98
415610496573959.3810183.0447868.85-10880.24-54138.970.941.370.0221626.08
518943896583860.4211728.5551311.48-12916.25-57557.880.911.390.0231973.32
623712396564058.3313311.1168770.49-12707.47-62068.971.051.470.0262470.04
710084796474948.9615966.9686557.38-13257.14-83054.191.21.160.00961050.49
840916.1296455146.8816465.2195163.93-13725.85-90049.261.21.060.0037426.21
932846.4996514553.1214014.8279016.39-15153.54-82098.570.921.050.0033342.15
10-55281.4396465047.9214880.4367868.85-14795.62-66583.261.010.93-0.0056-575.85

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 1.76. 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 55.21%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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-1323356696534355.2110200.7160245.9-7141.19-35287.011.431.760.042432.98
atrnil26.21163187113437038.0519312.4536598.64-9532.12-18692.892.031.240.021444.13
atrtrail23.8962480.02114447038.612419.836598.64-6914.16-16341.071.81.130.0096548.07
atrtrail-14.7762444.06112427037.513035.8774869.06-6929.46-16341.071.881.130.0083557.54
atrtrail34.2557633.98113427137.1713053.8154897.96-6910.23-16341.071.891.120.008510.04
atrnil38.54-4589.5311228842528677.8254897.96-9613.91-18692.892.980.99-0.00048-40.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 55.21%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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=3, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Feb 2019 (-3.44%), 27 Mar 2019 (-1.08%)
2018331 Jan 2018 (5.03%), 07 May 2018 (-3.05%), 19 Jul 2018 (-0.29%)
2017519 May 2017 (14.31%), 18 Jul 2017 (-0.28%), 03 Aug 2017 (-1.5%), 05 Oct 2017 (-4.6%), 30 Nov 2017 (0.88%)
2016801 Jan 2016 (3.67%), 27 Jun 2016 (-0.13%), 13 Jul 2016 (1.72%), 19 Aug 2016 (-0.79%), 28 Sep 2016 (6.25%), 27 Oct 2016 (-5.84%), 10 Nov 2016 (11.66%), 22 Dec 2016 (2.08%)
2015402 Feb 2015 (-2.38%), 13 Mar 2015 (1.55%), 17 Apr 2015 (8.66%), 12 Aug 2015 (-4.72%)
2014307 Jan 2014 (0.55%), 13 Mar 2014 (2.41%), 25 Jul 2014 (3.53%)
2013226 Jul 2013 (2.32%), 12 Nov 2013 (-1.35%)
2012621 Feb 2012 (7.71%), 09 May 2012 (0.95%), 15 Jun 2012 (-1.53%), 24 Jul 2012 (5.55%), 27 Sep 2012 (-3.48%), 20 Dec 2012 (1.57%)
2011115 Nov 2011 (1.48%)
2010425 Jan 2010 (6.68%), 06 Apr 2010 (-1.5%), 21 Oct 2010 (-4.36%), 16 Nov 2010 (3.5%)
2009503 Jun 2009 (6.6%), 24 Aug 2009 (0.09%), 18 Sep 2009 (2.27%), 23 Oct 2009 (9.46%), 21 Dec 2009 (-7.58%)
2008209 May 2008 (-2.04%), 10 Jun 2008 (-5.96%)
2007805 Feb 2007 (1.25%), 26 Apr 2007 (-1.9%), 08 Jun 2007 (1.34%), 22 Aug 2007 (-2.22%), 19 Sep 2007 (3.65%), 09 Oct 2007 (1.53%), 31 Oct 2007 (4.12%), 18 Dec 2007 (-1.09%)
2006515 May 2006 (5.02%), 14 Jul 2006 (8.26%), 06 Sep 2006 (0.07%), 23 Nov 2006 (-2.38%), 07 Dec 2006 (10.72%)
2005522 Feb 2005 (3.99%), 15 Mar 2005 (-4.1%), 17 Jun 2005 (-1.25%), 22 Aug 2005 (-1.95%), 24 Oct 2005 (2.2%)
2004406 Jan 2004 (-2.63%), 15 Sep 2004 (-0.61%), 12 Oct 2004 (2.61%), 10 Nov 2004 (0.31%)
2003311 Feb 2003 (-1.01%), 07 Mar 2003 (2.64%), 15 Jul 2003 (4.7%)
2002311 Jan 2002 (-4.25%), 01 Mar 2002 (-2.63%), 13 May 2002 (10.11%)
2001228 Feb 2001 (30.12%), 13 Dec 2001 (9.58%)
2000230 Jun 2000 (1.59%), 18 Sep 2000 (-0.1%)
1999801 Feb 1999 (6.7%), 19 Feb 1999 (10.03%), 18 Jun 1999 (-12.84%), 12 Aug 1999 (-17.64%), 01 Sep 1999 (-8.33%), 01 Oct 1999 (-0.57%), 22 Oct 1999 (6.73%), 27 Dec 1999 (-8.62%)
1998413 Jan 1998 (-10.71%), 24 Apr 1998 (1.71%), 08 Sep 1998 (13.63%), 05 Oct 1998 (-0.84%)
1997420 Jan 1997 (6.43%), 28 Apr 1997 (-3.0%), 26 Aug 1997 (1.69%), 19 Sep 1997 (-3.43%)
1996211 Jan 1996 (2.39%), 29 Feb 1996 (6.74%)
1995131 Jul 1995 (-5.56%)



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