Study: Sell TATAPOWER when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell TATAPOWER 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 TATAPOWER 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
1-9532.59188989052.133114.114864.25-3496.82-11858.970.890.97-0.0024-50.71
2-64904.03188909847.874686.4522285.51-4966.17-20068.940.940.87-0.011-345.23
3-79411.86188909847.875939.2722570.31-6264.75-29752.30.950.87-0.01-422.4
4-1708121878010742.787356.5226409.5-7096.57-27764.421.040.78-0.02-913.43
5-3062041878210543.857186.2838343.7-8528.37-37029.250.840.66-0.031-1637.45
6-1867821878310444.399162.7844663.53-9108.59-46726.861.010.8-0.016-998.84
7-2038061878610145.999824.0751498.73-10382.93-65567.930.950.81-0.016-1089.87
8-305716187949350.279155.6844410.74-12541.39-90155.90.730.74-0.022-1634.85
9-188843187979051.8710070.2841274.9-12951.77-77060.130.780.84-0.013-1009.85
10-176711187949350.2711401.5657933.83-13424.27-1036970.850.86-0.011-944.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 52.13%, which is not acceptable. Avoid this strategy. Average return per trade is -0.025%, we advise you not to use this strategy.

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-11-9532.59188989052.133114.114864.25-3496.82-11858.970.890.97-0.0024-50.71
atrtrail34.14-2304982226715530.1810922.7843081.36-6208.54-23448.461.760.76-0.021-1038.28
atrtrail23.77-2580802246915530.810206.4328720.91-6208.54-23448.461.640.73-0.026-1152.14
atrnil37.1-3704442104516521.4320729.6543081.36-7898.65-23448.462.620.72-0.029-1764.02
atrtrail-14.53-2928522226715530.189992.1246267.58-6208.54-23448.461.610.7-0.028-1319.15
atrnil25.38-3937022196015927.414276.6229897.79-7863.51-23448.461.820.69-0.035-1797.72

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 52.13%, which is not acceptable. Avoid this strategy. Average return per trade is -0.025%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, X=1, Profit Factor:0.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019625 Jan 2019 (4.06%), 28 Mar 2019 (-3.14%), 12 Jun 2019 (0.6%), 10 Jul 2019 (-1.58%), 30 Sep 2019 (5.04%), 11 Nov 2019 (3.65%)
20181015 Jan 2018 (4.39%), 05 Mar 2018 (0.49%), 24 Apr 2018 (-0.94%), 04 Jun 2018 (-2.07%), 27 Jun 2018 (0.35%), 13 Jul 2018 (1.71%), 13 Aug 2018 (-0.0%), 11 Sep 2018 (0.6%), 22 Nov 2018 (-0.87%), 10 Dec 2018 (-1.93%)
2017927 Feb 2017 (0.12%), 06 Apr 2017 (-0.23%), 23 May 2017 (0.31%), 26 Jul 2017 (0.67%), 23 Aug 2017 (-0.51%), 07 Sep 2017 (0.45%), 26 Sep 2017 (2.25%), 08 Nov 2017 (-0.54%), 04 Dec 2017 (1.06%)
2016813 Jan 2016 (1.45%), 29 Apr 2016 (0.5%), 02 Jun 2016 (-2.28%), 17 Jun 2016 (-1.83%), 04 Aug 2016 (-0.42%), 08 Sep 2016 (0.45%), 28 Oct 2016 (0.26%), 23 Dec 2016 (0.61%)
2015907 Jan 2015 (-2.24%), 06 Feb 2015 (2.5%), 24 Feb 2015 (1.72%), 10 Mar 2015 (0.31%), 30 Apr 2015 (-1.98%), 03 Jun 2015 (0.99%), 09 Jul 2015 (1.31%), 23 Jul 2015 (0.14%), 19 Aug 2015 (-0.15%)
2014720 Mar 2014 (-2.37%), 09 Apr 2014 (-3.99%), 12 Jun 2014 (3.04%), 26 Aug 2014 (-0.91%), 25 Sep 2014 (-0.96%), 14 Nov 2014 (0.28%), 03 Dec 2014 (1.65%)
2013708 Jan 2013 (0.27%), 21 Mar 2013 (-1.22%), 21 May 2013 (1.94%), 29 Jul 2013 (2.04%), 06 Sep 2013 (-2.26%), 15 Oct 2013 (0.57%), 11 Nov 2013 (3.06%)
2012713 Feb 2012 (3.52%), 03 May 2012 (0.65%), 12 Jul 2012 (2.23%), 24 Aug 2012 (1.58%), 09 Oct 2012 (2.25%), 05 Nov 2012 (-0.9%), 14 Dec 2012 (-1.43%)
2011714 Jan 2011 (1.5%), 24 Feb 2011 (1.56%), 15 Apr 2011 (0.25%), 21 Jun 2011 (-1.9%), 13 Jul 2011 (0.56%), 15 Nov 2011 (0.71%), 12 Dec 2011 (-2.32%)
2010719 Jan 2010 (-0.13%), 09 Apr 2010 (1.6%), 03 May 2010 (1.63%), 18 May 2010 (0.04%), 23 Jul 2010 (-0.14%), 19 Oct 2010 (-1.21%), 10 Dec 2010 (-2.01%)
20091012 Jan 2009 (-3.31%), 18 Feb 2009 (0.29%), 23 Apr 2009 (-3.77%), 03 Jun 2009 (0.5%), 19 Jun 2009 (4.65%), 11 Aug 2009 (1.47%), 31 Aug 2009 (0.53%), 30 Oct 2009 (2.18%), 27 Nov 2009 (-2.54%), 15 Dec 2009 (0.05%)
2008911 Jan 2008 (-5.06%), 11 Feb 2008 (-0.22%), 04 Mar 2008 (2.97%), 09 May 2008 (0.27%), 26 May 2008 (1.74%), 13 Aug 2008 (-1.58%), 12 Sep 2008 (1.19%), 26 Sep 2008 (7.43%), 21 Nov 2008 (-3.79%)
2007509 Feb 2007 (-0.36%), 17 Jul 2007 (-0.15%), 22 Oct 2007 (-5.93%), 09 Nov 2007 (-0.84%), 18 Dec 2007 (-0.87%)
2006620 Feb 2006 (-1.23%), 20 Mar 2006 (0.46%), 16 May 2006 (-1.13%), 24 Jul 2006 (-2.12%), 09 Oct 2006 (0.66%), 11 Dec 2006 (2.87%)
2005923 Feb 2005 (0.56%), 18 Apr 2005 (-1.54%), 04 Jun 2005 (-0.76%), 21 Jul 2005 (-1.29%), 24 Aug 2005 (-2.84%), 16 Sep 2005 (-0.46%), 10 Oct 2005 (0.77%), 05 Dec 2005 (-1.4%), 23 Dec 2005 (-3.14%)
2004621 Jan 2004 (-2.26%), 16 Mar 2004 (-1.42%), 27 Apr 2004 (0.8%), 17 Aug 2004 (3.44%), 11 Oct 2004 (1.8%), 30 Dec 2004 (-2.92%)
2003803 Jan 2003 (1.33%), 23 Jan 2003 (-1.86%), 26 Feb 2003 (-1.92%), 05 Jun 2003 (-1.19%), 08 Jul 2003 (1.68%), 04 Sep 2003 (-3.18%), 27 Oct 2003 (-0.14%), 20 Nov 2003 (-0.94%)
2002825 Jan 2002 (2.92%), 28 Feb 2002 (-2.68%), 26 Apr 2002 (0.04%), 20 May 2002 (3.76%), 25 Jun 2002 (0.51%), 09 Aug 2002 (-0.15%), 25 Oct 2002 (0.62%), 12 Dec 2002 (-1.86%)
2001712 Jan 2001 (-1.23%), 30 Jan 2001 (-1.92%), 23 Feb 2001 (-2.33%), 05 Jun 2001 (0.07%), 24 Jul 2001 (-0.08%), 28 Nov 2001 (0.53%), 13 Dec 2001 (-0.24%)
2000719 Jan 2000 (2.73%), 04 Feb 2000 (-1.92%), 21 Feb 2000 (-5.68%), 10 Apr 2000 (0.64%), 29 Jun 2000 (0.06%), 13 Sep 2000 (0.43%), 26 Dec 2000 (-3.22%)
19991005 Jan 1999 (-1.75%), 08 Mar 1999 (4.8%), 23 Apr 1999 (6.32%), 27 May 1999 (4.66%), 14 Jun 1999 (-0.0%), 27 Jul 1999 (-0.83%), 02 Sep 1999 (0.18%), 15 Oct 1999 (1.96%), 01 Nov 1999 (-5.8%), 27 Dec 1999 (-0.07%)
1998614 Jan 1998 (1.29%), 03 Apr 1998 (-0.49%), 21 Apr 1998 (1.59%), 27 Jul 1998 (-0.57%), 23 Sep 1998 (-1.55%), 24 Nov 1998 (-0.56%)
1997821 Jan 1997 (-3.42%), 11 Mar 1997 (-4.03%), 26 Mar 1997 (1.32%), 09 May 1997 (1.75%), 09 Jun 1997 (-2.91%), 26 Jun 1997 (3.4%), 08 Aug 1997 (0.61%), 23 Oct 1997 (0.3%)
1996822 Jan 1996 (-1.17%), 29 Feb 1996 (-0.93%), 30 Apr 1996 (-3.68%), 27 Jun 1996 (0.66%), 13 Aug 1996 (1.3%), 16 Sep 1996 (3.62%), 06 Nov 1996 (-1.54%), 22 Nov 1996 (-1.97%)
1995420 Apr 1995 (0.47%), 23 Jun 1995 (0.69%), 31 Jul 1995 (0.83%), 26 Oct 1995 (-2.18%)



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