Study: Sell TATAPOWER 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 TATAPOWER 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 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
1-69410.8184364842.863340.5710080-3951.48-11858.970.850.63-0.036-826.32
2-10254384364842.865220.1322285.51-6051.41-18589.740.860.65-0.035-1220.75
3-87196.5484394546.436376.522570.31-7464-29752.30.850.74-0.023-1038.05
4-14093884325238.18321.9526409.5-7831.54-27764.421.060.65-0.033-1677.83
5-21404584345040.487629.3622992.25-9468.87-37029.250.810.55-0.044-2548.16
6-18692684364842.869322.0529981.48-10885.82-46726.860.860.64-0.033-2225.31
7-16075584404447.6210104.6551498.73-12839.57-65567.930.790.72-0.024-1913.75
8-24506484414348.819371.2127498.46-14634.49-90155.90.640.61-0.035-2917.42
9-17950484414348.8111052.9634686.88-14713.39-77060.130.750.72-0.024-2136.96
10-15339684394546.4312202.8757933.83-13984.63-1036970.870.76-0.018-1826.15
Although, strategy looks good but profit factor on day 5 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
atrtrail23.37-299505106268024.5310120.6328720.91-7033.02-23448.461.440.47-0.064-2825.52
atrtrail33.67-301339106268024.5310050.143081.36-7033.02-23448.461.430.46-0.061-2842.82
atrnil24.9-376779105228320.9514406.3928720.91-8358.07-23448.461.720.46-0.073-3588.37
atrtrail-14.03-316700106268024.539459.2927795.03-7033.02-23448.461.340.44-0.068-2987.74
atrnil36.44-426481104158914.4220889.3343081.36-8312.59-23448.462.510.42-0.075-4100.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.47. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:0.468

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Sep 2019 (7.92%)
2018815 Jan 2018 (5.63%), 05 Mar 2018 (6.0%), 27 Jun 2018 (-2.91%), 28 Jun 2018 (-2.17%), 13 Jul 2018 (-0.97%), 20 Jul 2018 (-2.9%), 22 Nov 2018 (-3.17%), 10 Dec 2018 (-3.78%)
2017527 Feb 2017 (-0.43%), 06 Apr 2017 (-1.78%), 26 Jul 2017 (3.7%), 08 Nov 2017 (-0.6%), 04 Dec 2017 (-0.24%)
2016313 Jan 2016 (6.1%), 17 Jun 2016 (-2.92%), 08 Sep 2016 (1.46%)
2015207 Jan 2015 (-2.92%), 19 Aug 2015 (5.36%)
2014309 Apr 2014 (-2.95%), 16 Apr 2014 (-3.36%), 12 Jun 2014 (0.83%)
2013106 Sep 2013 (-5.35%)
2012313 Feb 2012 (-0.59%), 23 Feb 2012 (-2.93%), 09 Oct 2012 (-1.99%)
2011224 Feb 2011 (-0.07%), 15 Apr 2011 (-2.01%)
2010219 Jan 2010 (5.92%), 19 Oct 2010 (-2.41%)
2009423 Apr 2009 (-3.18%), 03 Jun 2009 (-4.57%), 19 Jun 2009 (-0.73%), 30 Oct 2009 (0.86%)
2008211 Jan 2008 (-5.44%), 21 Nov 2008 (-11.34%)
2007317 Jul 2007 (-3.49%), 22 Oct 2007 (-11.72%), 09 Nov 2007 (-8.28%)
2006120 Mar 2006 (-2.8%)
2005506 Jan 2005 (2.35%), 18 Apr 2005 (-3.55%), 19 Apr 2005 (-3.57%), 16 Sep 2005 (5.66%), 10 Oct 2005 (6.89%)
2004421 Jan 2004 (-5.87%), 22 Jan 2004 (-5.82%), 11 Oct 2004 (1.75%), 30 Dec 2004 (-2.48%)
20031103 Jan 2003 (0.03%), 23 Jan 2003 (-2.26%), 24 Jan 2003 (-0.37%), 26 Feb 2003 (-2.44%), 27 Feb 2003 (-2.56%), 05 Jun 2003 (-2.7%), 06 Jun 2003 (-2.68%), 08 Jul 2003 (-3.43%), 09 Jul 2003 (-3.24%), 04 Sep 2003 (-3.94%), 20 Nov 2003 (-4.1%)
2002528 Feb 2002 (-4.53%), 09 Aug 2002 (0.51%), 25 Oct 2002 (-1.61%), 12 Dec 2002 (-2.15%), 13 Dec 2002 (0.49%)
2001512 Jan 2001 (-5.48%), 30 Jan 2001 (-4.81%), 23 Feb 2001 (-6.84%), 28 Nov 2001 (-4.07%), 13 Dec 2001 (9.7%)
2000819 Jan 2000 (-0.89%), 04 Feb 2000 (-6.14%), 21 Feb 2000 (-5.44%), 02 Mar 2000 (-7.08%), 03 Mar 2000 (14.36%), 29 Jun 2000 (-4.89%), 26 Dec 2000 (-5.07%), 27 Dec 2000 (-4.96%)
1999705 Jan 1999 (-3.31%), 06 Jan 1999 (-3.27%), 08 Mar 1999 (0.34%), 27 May 1999 (-2.81%), 27 Jul 1999 (9.13%), 02 Sep 1999 (-3.95%), 27 Dec 1999 (-3.46%)
1998614 Jan 1998 (-2.0%), 03 Apr 1998 (-2.79%), 13 Apr 1998 (-3.72%), 15 Apr 1998 (-3.75%), 21 Apr 1998 (-3.9%), 23 Sep 1998 (-2.14%)
1997521 Jan 1997 (-5.01%), 22 Jan 1997 (-4.6%), 31 Jan 1997 (-1.93%), 11 Mar 1997 (-4.53%), 26 Mar 1997 (7.93%)
1996729 Feb 1996 (-2.83%), 30 Apr 1996 (-4.0%), 01 May 1996 (-0.66%), 27 Jun 1996 (7.02%), 13 Aug 1996 (8.48%), 06 Nov 1996 (-4.9%), 22 Nov 1996 (-4.11%)
1995323 Jun 1995 (7.34%), 26 Oct 1995 (-2.7%), 13 Nov 1995 (5.81%)



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