Study: Sell TITAN 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 TITAN 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 TITAN 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
1-38489.23107446341.123920.9114568.16-3349.36-14840.991.170.82-0.014-359.71
2-61470.06107495845.795849.0819065.27-6001.29-23046.310.970.82-0.015-574.49
3-70479.32107476043.937482.9127647.43-7036.27-30066.081.060.83-0.014-658.69
4-10203.66107505746.738926.0834340.04-8008.91-27398.261.110.98-0.0018-95.36
5-26796.09107485944.8611592.8737919.46-9885.66-37555.071.170.95-0.0036-250.43
6-86107.24107446341.1213008.2248505.82-10451.89-42874.251.240.87-0.011-804.74
7-154230107485944.8611019.9940039.93-11579.47-35879.020.950.77-0.02-1441.4
8-175912107476043.9312258.4746544.07-12534.33-43171.810.980.77-0.021-1644.04
9-162879107416638.3214100.0648700.06-11226.98-42841.411.260.78-0.02-1522.23
10-195090107466142.9912419.5256689.92-12563.73-40986.030.990.75-0.023-1823.27
Although, strategy looks good but profit factor on day 1 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
atrtrail23.89-166690128398930.4711303.2330788.01-6826.02-23652.681.660.73-0.026-1302.27
atrnil25.74-253703125319424.818232.4630788.01-8711.81-23652.682.090.69-0.033-2029.63
atrtrail-14.79-227784125368928.810582.0188654.51-6839.73-23652.681.550.63-0.03-1822.27
atrtrail34.29-281111126378929.378854.7337436.08-6839.73-23652.681.290.54-0.049-2231.04
atrnil38.04-4986511221610613.1127345.8443156.54-8831.93-23652.683.10.47-0.063-4087.3

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.
TITAN Performance, Profit Factor:0.726

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191028 Jan 2019 (-1.96%), 18 Feb 2019 (-2.44%), 03 Apr 2019 (-2.33%), 06 May 2019 (-2.42%), 17 Jun 2019 (-2.17%), 02 Jul 2019 (3.83%), 06 Aug 2019 (-1.61%), 05 Sep 2019 (-3.07%), 09 Oct 2019 (-3.5%), 30 Oct 2019 (5.67%)
2018416 Jan 2018 (-2.36%), 19 Apr 2018 (-2.64%), 10 Oct 2018 (-3.6%), 04 Dec 2018 (-0.45%)
2017831 Jan 2017 (-2.78%), 01 Feb 2017 (-2.78%), 28 Feb 2017 (-1.61%), 16 May 2017 (2.05%), 22 Jun 2017 (-0.59%), 11 Jul 2017 (-2.22%), 23 Aug 2017 (-1.52%), 26 Dec 2017 (-1.2%)
2016221 Jul 2016 (-2.55%), 10 Nov 2016 (8.44%)
2015409 Feb 2015 (-3.51%), 10 Feb 2015 (-1.52%), 30 Sep 2015 (-2.98%), 04 Dec 2015 (-0.75%)
2014720 Mar 2014 (-0.92%), 10 Apr 2014 (0.02%), 30 May 2014 (-4.36%), 12 Jun 2014 (7.85%), 08 Jul 2014 (1.7%), 15 Sep 2014 (0.01%), 09 Oct 2014 (6.38%)
2013223 Jan 2013 (-2.57%), 08 Aug 2013 (-4.03%)
2012529 Feb 2012 (-2.56%), 16 Mar 2012 (-4.61%), 23 Oct 2012 (5.23%), 19 Nov 2012 (-3.03%), 05 Dec 2012 (0.44%)
2011216 Jun 2011 (-3.1%), 17 Jun 2011 (6.18%)
2010925 Jan 2010 (-3.46%), 23 Feb 2010 (-2.09%), 11 May 2010 (-2.79%), 03 Aug 2010 (-0.52%), 18 Aug 2010 (-1.79%), 26 Aug 2010 (-1.21%), 05 Oct 2010 (-2.48%), 08 Oct 2010 (2.3%), 18 Nov 2010 (-2.67%)
2009521 Apr 2009 (2.17%), 16 Jun 2009 (0.55%), 30 Jul 2009 (0.72%), 22 Sep 2009 (-1.74%), 22 Oct 2009 (8.3%)
2008307 Feb 2008 (1.41%), 04 Mar 2008 (-4.37%), 18 Mar 2008 (-9.91%)
2007727 Apr 2007 (-4.07%), 28 May 2007 (-3.83%), 29 May 2007 (-3.05%), 06 Jun 2007 (7.74%), 09 Jul 2007 (-2.97%), 26 Sep 2007 (-3.8%), 05 Nov 2007 (-0.16%)
2006212 May 2006 (8.29%), 07 Jun 2006 (-11.83%)
2005725 Feb 2005 (-3.99%), 21 Mar 2005 (12.01%), 22 Jun 2005 (-4.05%), 22 Jul 2005 (-2.48%), 23 Sep 2005 (-5.42%), 26 Sep 2005 (-3.57%), 20 Dec 2005 (9.5%)
2004307 Sep 2004 (0.45%), 26 Oct 2004 (-5.2%), 04 Nov 2004 (-4.81%)
20031307 Mar 2003 (-0.71%), 31 Mar 2003 (-4.85%), 01 Apr 2003 (-4.81%), 06 Jun 2003 (-4.92%), 16 Jun 2003 (-2.93%), 27 Jun 2003 (-4.02%), 10 Jul 2003 (4.62%), 01 Sep 2003 (-5.83%), 04 Sep 2003 (-4.86%), 29 Oct 2003 (-6.5%), 06 Nov 2003 (1.22%), 19 Dec 2003 (-5.14%), 31 Dec 2003 (-2.75%)
2002806 Mar 2002 (-6.88%), 22 Apr 2002 (-5.57%), 03 May 2002 (10.97%), 27 Jun 2002 (-6.96%), 15 Jul 2002 (12.48%), 06 Sep 2002 (-3.63%), 23 Oct 2002 (-1.37%), 12 Dec 2002 (-4.6%)
2001620 Feb 2001 (11.42%), 05 Jun 2001 (1.27%), 14 Sep 2001 (1.57%), 29 Nov 2001 (-5.72%), 03 Dec 2001 (-1.09%), 13 Dec 2001 (13.38%)
2000203 Mar 2000 (15.39%), 25 Apr 2000 (-7.82%)
1999807 Jan 1999 (-4.08%), 28 May 1999 (-5.35%), 14 Jun 1999 (-4.73%), 02 Jul 1999 (-3.94%), 05 Jul 1999 (-3.95%), 16 Jul 1999 (-5.07%), 02 Aug 1999 (12.97%), 24 Dec 1999 (-5.69%)
1998313 Jan 1998 (-3.45%), 23 Apr 1998 (0.93%), 12 Oct 1998 (-0.06%)
1997411 Aug 1997 (7.53%), 18 Sep 1997 (5.58%), 12 Dec 1997 (5.68%), 15 Dec 1997 (-0.68%)
1996326 Jul 1996 (-5.79%), 26 Sep 1996 (6.56%), 27 Sep 1996 (7.61%)
1995114 Aug 1995 (-0.06%)



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