Study: Sell TATASTEEL 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 TATASTEEL 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 TATASTEEL 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
1-93593.5786365041.863678.3914785.37-4520.31-19167.470.810.59-0.039-1088.3
2-16463686305634.885025.1315622.16-5631.96-200000.890.48-0.057-1914.37
3-14607886365041.866072.9922664.02-7294.1-30173.910.830.6-0.039-1698.58
4-20766986374943.026573.1722529.5-9201.55-40347.830.710.54-0.046-2414.75
5-24122086345239.537406.727562.68-9481.69-36819.730.780.51-0.049-2804.88
6-19774386384844.198793.9927594.43-11081.56-43487.90.790.63-0.035-2299.34
7-24387486424448.849115.7535803.83-14243.99-74524.290.640.61-0.036-2835.74
8-18237085444151.7610386.4327064.9-15594.45-70201.370.670.71-0.026-2145.53
9-27552285424349.4110472.1622849.89-16636.1-68723.440.630.61-0.037-3241.43
10-25941385424349.4110158.5633889.52-15955.18-72492.150.640.62-0.036-3051.92
Although, strategy looks good but profit factor on day 2 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
atrnil24.95-174738109317828.4414987.9724765.42-8196.99-16539.711.830.73-0.03-1603.1
atrtrail23.68-141455109357432.119514.624765.42-6411.7-16341.61.480.7-0.03-1297.75
atrnil37.49-219324108218719.4423034.237148.12-8080.95-16539.712.850.69-0.032-2030.78
atrtrail34.26-166937109357432.118786.5430733.58-6411.7-16341.61.370.65-0.035-1531.53
atrtrail-14.53-188076109357432.118182.5726596.97-6411.7-16341.61.280.6-0.042-1725.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
TATASTEEL Performance, Profit Factor:0.727

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Oct 2019 (-5.03%)
2018209 Mar 2018 (-4.14%), 12 Sep 2018 (-2.91%)
20171028 Feb 2017 (-2.44%), 07 Mar 2017 (-2.52%), 08 Jun 2017 (-2.78%), 15 Jun 2017 (-2.45%), 23 Jun 2017 (-2.29%), 20 Jul 2017 (-1.85%), 31 Aug 2017 (-2.18%), 19 Sep 2017 (-1.86%), 20 Sep 2017 (3.76%), 31 Oct 2017 (4.68%)
2016529 Mar 2016 (-3.49%), 05 Apr 2016 (-3.49%), 06 Apr 2016 (-3.51%), 29 Apr 2016 (6.78%), 26 Oct 2016 (-3.02%)
2015826 Feb 2015 (-3.4%), 27 Mar 2015 (-3.2%), 12 May 2015 (-3.69%), 09 Jul 2015 (6.54%), 13 Aug 2015 (-4.21%), 24 Aug 2015 (-5.6%), 25 Aug 2015 (-5.62%), 24 Sep 2015 (-5.0%)
2014229 Apr 2014 (-2.84%), 16 Jun 2014 (-3.81%)
2013609 Jan 2013 (4.9%), 21 Mar 2013 (6.53%), 09 Jul 2013 (7.03%), 17 Jul 2013 (7.4%), 17 Sep 2013 (-4.82%), 11 Dec 2013 (-2.37%)
2012308 Feb 2012 (-3.96%), 17 Feb 2012 (-3.89%), 21 Feb 2012 (7.69%)
2011123 Sep 2011 (7.72%)
2010319 Apr 2010 (6.91%), 08 Jun 2010 (-4.72%), 08 Oct 2010 (-3.03%)
2009622 Apr 2009 (-8.17%), 23 Apr 2009 (-7.71%), 11 May 2009 (-7.85%), 10 Jun 2009 (-6.95%), 05 Oct 2009 (-3.72%), 22 Oct 2009 (6.73%)
2007530 May 2007 (-4.03%), 31 May 2007 (8.05%), 27 Jul 2007 (7.42%), 18 Oct 2007 (-5.74%), 30 Oct 2007 (12.38%)
2006514 Feb 2006 (-3.54%), 21 Mar 2006 (-3.04%), 04 May 2006 (10.1%), 01 Dec 2006 (-2.7%), 12 Dec 2006 (-4.1%)
2005506 Jan 2005 (-3.15%), 24 Feb 2005 (-2.44%), 10 Mar 2005 (-2.13%), 16 Mar 2005 (4.3%), 24 Nov 2005 (-3.73%)
2004412 Jan 2004 (-3.96%), 14 Jun 2004 (-6.39%), 15 Jun 2004 (-6.06%), 11 Aug 2004 (-8.27%)
2003906 Jan 2003 (-3.31%), 28 Mar 2003 (-2.88%), 17 Apr 2003 (-3.32%), 11 Jun 2003 (-3.25%), 23 Jul 2003 (-3.67%), 25 Aug 2003 (-4.15%), 26 Aug 2003 (-4.08%), 24 Oct 2003 (-4.35%), 10 Nov 2003 (8.22%)
2002725 Jan 2002 (-5.56%), 21 Feb 2002 (-3.95%), 01 Mar 2002 (-4.51%), 04 Mar 2002 (8.79%), 15 May 2002 (6.28%), 10 Jul 2002 (7.18%), 11 Dec 2002 (-2.8%)
2001712 Apr 2001 (-6.67%), 29 Aug 2001 (-3.14%), 17 Sep 2001 (-4.94%), 18 Sep 2001 (-5.0%), 06 Dec 2001 (-3.6%), 07 Dec 2001 (-3.55%), 13 Dec 2001 (7.82%)
2000415 Jun 2000 (-4.82%), 21 Jul 2000 (10.24%), 11 Oct 2000 (-3.95%), 14 Dec 2000 (6.35%)
1999414 Jan 1999 (7.64%), 26 May 1999 (-6.25%), 29 Jun 1999 (-5.53%), 16 Jul 1999 (11.2%)
1998312 Jan 1998 (-3.78%), 17 Apr 1998 (-2.98%), 26 Nov 1998 (-4.39%)
1997521 Jan 1997 (-4.31%), 22 Jan 1997 (-4.27%), 31 Jan 1997 (-5.16%), 11 Mar 1997 (8.74%), 15 Jul 1997 (-3.72%)
1996211 Mar 1996 (9.36%), 24 Jul 1996 (11.05%)
1995222 Jun 1995 (6.43%), 23 Oct 1995 (4.07%)



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