Study: Sell TATAGLOBAL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL 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 TATAGLOBAL 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
11211492021079552.973637.3820000-2821.58-10627.061.291.450.028599.75
21370452021089453.475426.2236107.94-4776.45-23920.831.141.310.02678.44
343291.862011079453.236181.7238844.55-6576.09-27116.940.941.070.005215.38
4-19238.62019510647.267616.5341565.6-7007.63-38230.851.090.97-0.0019-95.71
5-52853.742019011144.788993.2633345.58-7767.99-56754.031.160.94-0.0047-262.95
6-1428772018511642.2910157.835177.28-8674.91-59173.391.170.86-0.012-710.83
7-1111122019210945.7710092.7939010.06-9538.06-68069.561.060.89-0.0083-552.8
8-1275672019210945.7710760.8959147.93-10252.92-62147.181.050.89-0.009-634.66
9-87605.582019310846.2711874.9846671.94-11036.84-83140.121.080.93-0.0058-435.85
10-1784732019111045.2712685.7446481.48-12117.05-87273.191.050.87-0.011-887.92

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 52.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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-111211492021079552.973637.3820000-2821.58-10627.061.291.450.028599.75
atrtrail24.15-20477.272428715535.959868.0522449.05-5670.95-16800.81.740.98-0.002-84.62
atrtrail34.67-88904.182378215534.69676.132201.89-5692.54-16800.81.70.9-0.0082-375.12
atrtrail-15.14-1030622378115634.189642.245177.68-5667.18-16800.81.70.88-0.0092-434.86
atrnil25.71-1686852387416431.0914443.1722623.69-7545.61-16800.81.910.86-0.014-708.76
atrnil38.19-3534792224517720.2721804.632201.89-7540.6-16800.82.890.74-0.026-1592.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 52.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
TATAGLOBAL Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019909 Jan 2019 (-0.73%), 25 Mar 2019 (0.31%), 22 Apr 2019 (-0.12%), 14 Jun 2019 (0.55%), 05 Jul 2019 (1.14%), 21 Aug 2019 (1.05%), 05 Sep 2019 (0.64%), 07 Oct 2019 (-1.6%), 13 Nov 2019 (-2.07%)
2018820 Mar 2018 (-0.44%), 10 May 2018 (-0.79%), 21 Jun 2018 (-1.51%), 12 Jul 2018 (2.38%), 04 Sep 2018 (0.58%), 04 Oct 2018 (4.12%), 23 Oct 2018 (-0.69%), 04 Dec 2018 (-1.05%)
2017716 Feb 2017 (-0.04%), 10 Apr 2017 (-1.62%), 05 May 2017 (-0.2%), 23 Jun 2017 (2.51%), 26 Jul 2017 (2.21%), 21 Sep 2017 (5.21%), 05 Dec 2017 (1.79%)
20161007 Jan 2016 (-3.14%), 07 Apr 2016 (0.84%), 28 Apr 2016 (0.21%), 26 May 2016 (1.1%), 27 Jun 2016 (-1.51%), 14 Jul 2016 (-0.0%), 11 Aug 2016 (0.25%), 30 Sep 2016 (-1.97%), 26 Oct 2016 (5.26%), 26 Dec 2016 (-3.03%)
2015805 Feb 2015 (1.52%), 24 Feb 2015 (1.32%), 13 Mar 2015 (0.06%), 22 Apr 2015 (-0.37%), 02 Jun 2015 (2.45%), 11 Aug 2015 (3.38%), 29 Oct 2015 (1.8%), 09 Dec 2015 (-2.38%)
20141010 Jan 2014 (1.96%), 03 Mar 2014 (-3.27%), 28 Apr 2014 (1.01%), 02 Jun 2014 (-1.9%), 19 Jun 2014 (0.34%), 04 Jul 2014 (0.48%), 28 Aug 2014 (-2.26%), 25 Sep 2014 (0.41%), 13 Nov 2014 (-0.68%), 09 Dec 2014 (-0.74%)
2013725 Feb 2013 (1.16%), 22 Mar 2013 (1.87%), 14 May 2013 (-4.47%), 11 Jun 2013 (0.7%), 01 Aug 2013 (0.44%), 24 Sep 2013 (-1.92%), 06 Nov 2013 (1.96%)
20121019 Jan 2012 (1.33%), 22 Feb 2012 (-2.39%), 25 Apr 2012 (1.03%), 04 Jun 2012 (-0.77%), 19 Jun 2012 (-1.29%), 12 Jul 2012 (1.04%), 22 Aug 2012 (0.61%), 13 Sep 2012 (0.19%), 23 Oct 2012 (1.34%), 20 Nov 2012 (-1.16%)
20111011 Jan 2011 (-1.82%), 31 Jan 2011 (1.16%), 25 Feb 2011 (-0.73%), 18 Apr 2011 (-1.05%), 22 Jun 2011 (-0.39%), 21 Jul 2011 (-3.58%), 08 Aug 2011 (3.34%), 22 Sep 2011 (-0.99%), 15 Nov 2011 (2.39%), 19 Dec 2011 (-0.65%)
20101019 Jan 2010 (1.28%), 19 Feb 2010 (-0.38%), 19 Mar 2010 (-0.35%), 05 May 2010 (0.16%), 25 May 2010 (2.52%), 07 Jul 2010 (-0.04%), 17 Sep 2010 (-1.55%), 19 Oct 2010 (0.31%), 12 Nov 2010 (0.08%), 28 Dec 2010 (0.14%)
2009616 Mar 2009 (0.32%), 06 May 2009 (-1.18%), 16 Jun 2009 (2.79%), 19 Aug 2009 (0.46%), 19 Nov 2009 (-1.26%), 18 Dec 2009 (-0.37%)
20081010 Jan 2008 (1.89%), 11 Feb 2008 (-1.68%), 14 Mar 2008 (5.52%), 24 Apr 2008 (-0.7%), 12 May 2008 (-2.13%), 01 Jul 2008 (-1.72%), 05 Aug 2008 (0.11%), 21 Aug 2008 (-0.83%), 12 Sep 2008 (1.62%), 20 Nov 2008 (0.4%)
2007505 Jun 2007 (4.71%), 17 Jul 2007 (4.69%), 26 Sep 2007 (-1.37%), 15 Oct 2007 (-1.91%), 23 Nov 2007 (-0.2%)
2006821 Feb 2006 (1.28%), 30 Mar 2006 (-1.04%), 24 Apr 2006 (3.03%), 16 May 2006 (-1.68%), 13 Jul 2006 (-0.87%), 18 Aug 2006 (-0.11%), 07 Nov 2006 (0.14%), 12 Dec 2006 (-0.15%)
2005724 Feb 2005 (1.09%), 13 Apr 2005 (1.95%), 29 Apr 2005 (-1.84%), 18 May 2005 (0.02%), 14 Jun 2005 (-0.11%), 14 Jul 2005 (-1.24%), 22 Dec 2005 (-0.51%)
2004719 Jan 2004 (6.17%), 23 Feb 2004 (-0.96%), 11 May 2004 (0.58%), 28 May 2004 (-1.57%), 28 Jul 2004 (-2.95%), 27 Sep 2004 (2.59%), 30 Dec 2004 (-2.04%)
20031127 Jan 2003 (1.55%), 12 Feb 2003 (-0.37%), 11 Mar 2003 (1.14%), 10 Apr 2003 (0.52%), 28 Apr 2003 (0.84%), 05 Jun 2003 (-0.18%), 26 Jun 2003 (-1.06%), 21 Aug 2003 (0.8%), 17 Sep 2003 (5.45%), 21 Oct 2003 (-0.29%), 20 Nov 2003 (1.77%)
2002824 Jan 2002 (0.78%), 12 Mar 2002 (-0.51%), 16 Apr 2002 (-0.47%), 20 May 2002 (3.73%), 04 Jul 2002 (0.39%), 30 Sep 2002 (0.16%), 29 Oct 2002 (2.36%), 16 Dec 2002 (1.93%)
2001824 Jan 2001 (2.13%), 26 Mar 2001 (-2.55%), 10 Apr 2001 (0.29%), 06 Jun 2001 (-0.74%), 08 Aug 2001 (-4.3%), 03 Sep 2001 (0.99%), 29 Nov 2001 (0.2%), 14 Dec 2001 (0.26%)
2000718 Jan 2000 (-0.02%), 24 Feb 2000 (-0.52%), 04 Apr 2000 (1.92%), 06 Jun 2000 (-0.75%), 12 Jul 2000 (1.57%), 21 Sep 2000 (3.79%), 19 Dec 2000 (-5.04%)
19991018 Jan 1999 (4.08%), 24 Feb 1999 (2.08%), 22 Mar 1999 (-2.47%), 26 May 1999 (6.65%), 14 Jun 1999 (2.18%), 26 Jul 1999 (0.59%), 13 Aug 1999 (-2.08%), 09 Sep 1999 (-1.49%), 05 Oct 1999 (-4.51%), 29 Nov 1999 (0.49%)
1998809 Jan 1998 (4.16%), 06 Mar 1998 (-1.69%), 13 Apr 1998 (-3.88%), 23 Jul 1998 (2.88%), 17 Aug 1998 (0.77%), 05 Oct 1998 (-1.69%), 20 Nov 1998 (0.69%), 15 Dec 1998 (-1.11%)
1997624 Jan 1997 (-3.36%), 20 Mar 1997 (-0.04%), 30 Jun 1997 (-2.46%), 19 Aug 1997 (-1.89%), 16 Sep 1997 (0.81%), 27 Oct 1997 (10.0%)
1996709 Jan 1996 (-0.08%), 29 Feb 1996 (-0.46%), 26 Apr 1996 (0.38%), 20 May 1996 (-0.35%), 01 Jul 1996 (1.85%), 27 Sep 1996 (3.49%), 19 Nov 1996 (3.24%)
1995520 Apr 1995 (2.79%), 23 May 1995 (-5.31%), 15 Jun 1995 (6.05%), 14 Aug 1995 (1.57%), 26 Oct 1995 (-0.31%)



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