Study: Sell TORNTPHARM 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 TORNTPHARM 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 TORNTPHARM 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
1-72599.09104515349.043017.4113133.1-4273.34-12232.780.710.68-0.03-698.07
2-150466104475745.194196.4127076.68-6099.95-28712.670.690.57-0.04-1446.79
3-154470104446042.315643.5425853.66-6713.1-26330.310.840.62-0.038-1485.29
4-1266061045252505889.7426075.39-8324.47-40964.450.710.71-0.027-1217.36
5-125164104505448.087434.7136960.3-9201.84-60253.540.810.75-0.021-1203.5
6-179724104505448.087598.5445059.4-10363.91-81083.770.730.68-0.026-1728.12
7-208368104505448.088412.247725.3-11647.73-1036040.720.67-0.025-2003.54
8-297321104465844.239274.4642683.28-12481.82-94655.730.740.59-0.035-2858.85
9-223315104475745.1911472.2154100.26-13377.35-80586.630.860.71-0.024-2147.26
10-264419104485646.1512300.7263918.05-15265.24-1014670.810.69-0.025-2542.49
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
atrnil26.07-344663129319824.0317346.8328658.69-9004.23-18117.721.930.61-0.047-2671.8
atrtrail24.34-319884131349725.9511025.2728658.69-7162.3-16842.571.540.54-0.054-2441.86
atrtrail-15.14-353795130329824.6210756.3854292.14-7122.44-16842.571.510.49-0.056-2721.5
atrtrail34.78-364953130329824.6210407.6741457.99-7122.44-16842.571.460.48-0.061-2807.33
atrnil38.37-5527591261710913.4925322.9842988.03-9020.64-18117.722.810.44-0.074-4386.97

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. 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.
TORNTPHARM Performance, Profit Factor:0.609

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Jan 2019 (4.82%), 05 Apr 2019 (4.43%)
2018610 Jan 2018 (-2.59%), 25 Jan 2018 (5.33%), 07 May 2018 (5.77%), 27 Jun 2018 (-3.02%), 30 Aug 2018 (-2.41%), 31 Aug 2018 (-2.43%)
2017210 Apr 2017 (6.02%), 26 Oct 2017 (-3.92%)
2016709 Feb 2016 (7.72%), 25 Feb 2016 (-4.23%), 17 Mar 2016 (-3.09%), 13 Jun 2016 (-3.03%), 06 Sep 2016 (-3.34%), 14 Sep 2016 (-3.56%), 19 Dec 2016 (-3.19%)
2015321 Apr 2015 (-4.11%), 24 Aug 2015 (-3.95%), 25 Aug 2015 (-4.3%)
2014811 Feb 2014 (-3.76%), 25 Mar 2014 (-3.19%), 22 Apr 2014 (-3.59%), 16 May 2014 (-4.39%), 04 Jul 2014 (-3.09%), 13 Aug 2014 (-2.75%), 17 Sep 2014 (-3.15%), 09 Dec 2014 (-4.22%)
2013617 Jan 2013 (-2.49%), 25 Jun 2013 (-3.37%), 22 Jul 2013 (-2.62%), 23 Jul 2013 (5.55%), 07 Aug 2013 (7.95%), 16 Dec 2013 (-4.45%)
2012427 Jan 2012 (-3.17%), 22 Feb 2012 (-2.77%), 13 Apr 2012 (-3.22%), 14 May 2012 (7.01%)
2011921 Jan 2011 (-3.31%), 03 May 2011 (-3.19%), 12 May 2011 (-3.25%), 13 May 2011 (-3.26%), 23 May 2011 (-2.89%), 26 May 2011 (-3.05%), 24 Jun 2011 (-4.0%), 25 Jul 2011 (-2.79%), 26 Jul 2011 (6.14%)
2010312 Apr 2010 (-3.34%), 12 Oct 2010 (-3.83%), 13 Dec 2010 (-4.07%)
20091412 Jan 2009 (-7.23%), 20 Feb 2009 (-5.83%), 03 Mar 2009 (-5.63%), 04 Mar 2009 (-5.42%), 13 Mar 2009 (-5.82%), 28 Apr 2009 (-5.05%), 08 Jun 2009 (-6.94%), 11 Aug 2009 (-5.27%), 12 Aug 2009 (-5.38%), 09 Sep 2009 (-5.28%), 09 Oct 2009 (-4.96%), 26 Oct 2009 (8.69%), 19 Nov 2009 (-4.71%), 11 Dec 2009 (8.94%)
2008708 Jan 2008 (-4.73%), 12 Feb 2008 (-8.42%), 21 May 2008 (8.91%), 19 Aug 2008 (-4.85%), 08 Sep 2008 (8.58%), 09 Sep 2008 (9.89%), 20 Nov 2008 (-9.06%)
2007329 Jan 2007 (-3.91%), 14 Feb 2007 (11.38%), 12 Jun 2007 (-5.93%)
2006616 Jan 2006 (-3.74%), 15 Feb 2006 (7.43%), 19 Apr 2006 (-5.18%), 18 May 2006 (-6.63%), 19 May 2006 (14.33%), 18 Jul 2006 (-6.08%)
2005517 Feb 2005 (-4.12%), 08 Mar 2005 (-4.56%), 09 Mar 2005 (-4.8%), 29 Apr 2005 (-4.39%), 23 Aug 2005 (-4.43%)
2004530 Apr 2004 (-4.11%), 17 Aug 2004 (-4.74%), 12 Oct 2004 (-3.32%), 01 Dec 2004 (-3.7%), 31 Dec 2004 (10.25%)
2003822 Jan 2003 (7.45%), 07 Mar 2003 (-4.01%), 30 May 2003 (-3.81%), 06 Jun 2003 (-4.18%), 09 Jun 2003 (-4.07%), 14 Jul 2003 (11.86%), 20 Aug 2003 (-5.61%), 15 Sep 2003 (-6.65%)
2002313 Mar 2002 (-5.66%), 17 Apr 2002 (10.75%), 20 Nov 2002 (7.65%)
2001326 Nov 2001 (-3.89%), 06 Dec 2001 (-4.98%), 21 Dec 2001 (-7.11%)
2000107 Feb 2000 (13.82%)
1999718 Jan 1999 (9.6%), 17 Mar 1999 (-6.03%), 18 Mar 1999 (11.87%), 27 Jul 1999 (-4.69%), 28 Jul 1999 (-4.71%), 02 Sep 1999 (-7.79%), 15 Oct 1999 (-8.39%)
1998412 Jan 1998 (-3.97%), 13 Jan 1998 (8.09%), 21 Apr 1998 (-6.04%), 24 Apr 1998 (12.77%)
1997721 Jan 1997 (-4.93%), 22 Jan 1997 (9.52%), 21 Jul 1997 (-4.89%), 19 Aug 1997 (7.95%), 28 Oct 1997 (-4.16%), 29 Oct 1997 (-4.11%), 04 Nov 1997 (8.41%)
1996609 May 1996 (-3.85%), 10 May 1996 (-4.62%), 25 Jun 1996 (-7.56%), 28 Nov 1996 (-6.01%), 04 Dec 1996 (-6.33%), 18 Dec 1996 (-4.53%)



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