Study: Sell TECHM 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 TECHM 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 TECHM 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
1-42654.2554213338.893242.5810693.04-3356.02-17276.290.970.61-0.049-789.89
2-94340.3354223240.743942.2615541.76-5658.44-22177.10.70.48-0.075-1747.04
3-10447954223240.744049.0612184.96-6048.69-24872.320.670.46-0.076-1934.79
4-81956.9354252946.35275.7117462.42-7374.13-34040.980.720.62-0.047-1517.72
5-47113.7754233142.596647.1518571.43-6451.55-26213.771.030.76-0.027-872.48
6-52378.4654252946.36479.6122267.86-7392.03-31961.110.880.76-0.029-969.97
7-87383.9754223240.747469.1924883.93-7865.82-34607.10.950.65-0.045-1618.22
8-64617.44542727506545.5128062.5-8938.75-29955.080.730.73-0.032-1196.62
9-60772.0254282651.857242.2329144.04-10136.71-250930.710.77-0.026-1125.41
10-73834.98542727508792.5638089.29-11527.19-33440.510.760.76-0.027-1367.31
Although, strategy looks good but profit factor on day 3 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
atrtrail-14.75-10446068185026.479646.4360066.26-5561.92-17815.121.730.62-0.042-1536.18
atrnil25.17-14297569185126.0912999.5422404.39-7391.51-18821.181.760.62-0.059-2072.11
atrtrail23.89-10846670195127.149194.3122404.39-5552.11-17815.121.660.62-0.054-1549.51
atrtrail34.44-13649968185026.477866.4933606.59-5561.92-17815.121.410.51-0.071-2007.34
atrnil36.84-20898567115616.4218712.7433606.59-7407.59-18821.182.530.5-0.082-3119.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.62. 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.
TECHM Performance, Profit Factor:0.624

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Mar 2019 (0.38%), 20 Jun 2019 (-2.21%), 25 Jun 2019 (5.92%), 26 Jul 2019 (0.08%)
2018408 Feb 2018 (-0.15%), 19 Mar 2018 (-3.17%), 20 Mar 2018 (-0.82%), 12 Sep 2018 (-3.04%)
20171223 May 2017 (-2.54%), 29 May 2017 (-3.96%), 27 Jun 2017 (-2.77%), 05 Jul 2017 (-2.31%), 01 Sep 2017 (-1.0%), 27 Sep 2017 (-2.41%), 05 Oct 2017 (-2.4%), 18 Oct 2017 (-1.32%), 02 Nov 2017 (-1.12%), 20 Nov 2017 (-2.91%), 21 Nov 2017 (-0.66%), 30 Nov 2017 (0.63%)
2016507 Jan 2016 (-2.15%), 12 Jan 2016 (-1.76%), 21 Jan 2016 (-2.45%), 10 Jun 2016 (-1.6%), 26 Sep 2016 (3.89%)
2015406 Feb 2015 (1.1%), 29 Jun 2015 (0.36%), 24 Aug 2015 (-3.57%), 25 Aug 2015 (-0.15%)
2014603 Jan 2014 (-0.4%), 16 Jan 2014 (2.47%), 24 Jun 2014 (-2.34%), 01 Aug 2014 (-2.33%), 04 Aug 2014 (-2.36%), 15 Sep 2014 (-0.15%)
2013824 Jan 2013 (-2.82%), 31 Jan 2013 (0.43%), 18 Mar 2013 (2.04%), 07 Aug 2013 (-3.49%), 20 Aug 2013 (-2.88%), 05 Sep 2013 (4.03%), 28 Oct 2013 (-3.22%), 22 Nov 2013 (-3.02%)
2012411 Apr 2012 (-0.2%), 12 Jul 2012 (-2.53%), 30 Aug 2012 (-3.35%), 08 Oct 2012 (-3.33%)
2011220 Jun 2011 (-3.69%), 04 Aug 2011 (4.89%)
2010527 Jan 2010 (-5.65%), 28 Jan 2010 (7.16%), 31 Mar 2010 (14.09%), 20 May 2010 (2.09%), 07 Oct 2010 (-3.36%)
2009722 Apr 2009 (-8.91%), 23 Apr 2009 (-3.69%), 22 Jun 2009 (4.19%), 07 Aug 2009 (-6.21%), 10 Sep 2009 (-1.79%), 20 Nov 2009 (3.04%), 30 Dec 2009 (-3.59%)
2008404 Jan 2008 (30.03%), 25 Apr 2008 (-5.67%), 28 Apr 2008 (-5.72%), 12 May 2008 (-4.25%)
2007219 Jan 2007 (-3.93%), 24 Aug 2007 (-3.9%)
2006124 Nov 2006 (-1.83%)



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