Study: Sell VGUARD when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell VGUARD when there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell VGUARD 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
1-964.6383404348.193284.619318.29-3077.89-15270.411.070.99-0.00082-11.62
213605.8483434051.814528.0419139.92-4527.5-17126.1911.080.0082163.93
3-82182.7583404348.195851.5424106.6-7354.52-53812.660.80.74-0.03-990.15
4-10334883394446.996732.0821530.16-8315.88-68723.450.810.72-0.031-1245.15
5-51902.1683414249.47496.0222651.66-8553.31-53451.570.880.86-0.016-625.33
6-12180483384545.789591.2725146.77-10806.05-52262.110.890.75-0.031-1467.52
7-20042483364743.379212.1726483.57-11320.46-59122.40.810.62-0.049-2414.74
8-29198083374644.589198.6130234.83-13746.27-62124.250.670.54-0.064-3517.83
9-32576883364743.379696.8334246.58-14358.6-66789.840.680.52-0.067-3924.92
10-38169583374644.589775.5635567.51-16160.67-84896.070.60.49-0.071-4598.74
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
atrtrail24.2598523.5699415841.4110251.0322359.78-5547.74-10103.981.851.310.033995.19
atrtrail34.9679220.8498395939.810346.2827188.65-5496.34-10103.981.881.240.025808.38
atrnil25.9413319.9599326732.3215528.3122921.85-7217.7-11547.362.151.030.0037134.54
atrtrail-15.8-1220.2497385939.188501.6838041.73-5496.34-10103.981.551-0.00043-12.58
atrnil39.52-10688292197320.6522786.8334382.78-7394.96-11547.363.080.8-0.028-1161.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 41.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
VGUARD Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Jan 2019 (6.22%), 25 Mar 2019 (-3.0%), 01 Apr 2019 (-1.68%)
2018903 Jan 2018 (-2.78%), 24 Jan 2018 (7.62%), 09 Mar 2018 (-3.91%), 19 Mar 2018 (-1.78%), 27 Apr 2018 (-1.3%), 27 Jun 2018 (0.19%), 18 Jul 2018 (-3.94%), 24 Aug 2018 (-3.14%), 04 Sep 2018 (6.47%)
20171215 Feb 2017 (-3.0%), 16 Feb 2017 (-1.96%), 17 Mar 2017 (0.19%), 17 Apr 2017 (-2.76%), 18 Apr 2017 (-1.71%), 03 May 2017 (-2.62%), 19 May 2017 (6.92%), 23 Jun 2017 (0.93%), 03 Aug 2017 (6.27%), 22 Sep 2017 (1.86%), 16 Nov 2017 (-4.12%), 28 Nov 2017 (0.75%)
20161101 Jan 2016 (4.99%), 11 Feb 2016 (8.31%), 12 Feb 2016 (-4.67%), 02 May 2016 (-2.9%), 03 May 2016 (-2.96%), 09 Jun 2016 (-2.71%), 16 Aug 2016 (-1.61%), 07 Sep 2016 (-3.37%), 08 Sep 2016 (0.17%), 07 Nov 2016 (8.61%), 26 Dec 2016 (-0.87%)
2015906 Jan 2015 (-5.05%), 20 Jan 2015 (9.06%), 25 Mar 2015 (-2.47%), 27 Apr 2015 (-3.78%), 07 May 2015 (7.82%), 03 Jul 2015 (-2.41%), 29 Jul 2015 (-2.48%), 17 Aug 2015 (5.24%), 28 Oct 2015 (0.4%)
2014803 Mar 2014 (-1.14%), 29 Apr 2014 (-2.32%), 30 May 2014 (-3.71%), 07 Aug 2014 (-1.24%), 13 Oct 2014 (-3.74%), 14 Oct 2014 (-0.96%), 09 Dec 2014 (-3.65%), 10 Dec 2014 (7.16%)
20131029 Jan 2013 (6.85%), 21 Feb 2013 (-3.63%), 22 Feb 2013 (7.05%), 22 Mar 2013 (8.85%), 16 May 2013 (8.5%), 21 Jun 2013 (0.63%), 14 Aug 2013 (7.54%), 16 Aug 2013 (9.68%), 24 Oct 2013 (0.73%), 24 Dec 2013 (-1.33%)
2012625 Apr 2012 (-3.17%), 02 May 2012 (0.44%), 26 Jun 2012 (-0.89%), 25 Jul 2012 (-1.12%), 28 Aug 2012 (-1.15%), 13 Dec 2012 (6.55%)
20111011 Jan 2011 (-3.92%), 31 Jan 2011 (8.85%), 11 Mar 2011 (-2.38%), 28 Apr 2011 (-3.47%), 29 Apr 2011 (1.54%), 17 Jun 2011 (0.17%), 12 Jul 2011 (-3.5%), 28 Sep 2011 (-0.25%), 31 Oct 2011 (-3.4%), 15 Dec 2011 (8.8%)
2010820 Jan 2010 (7.97%), 23 Mar 2010 (-2.24%), 03 May 2010 (2.74%), 08 Jun 2010 (-3.51%), 20 Jul 2010 (-3.27%), 23 Aug 2010 (1.0%), 23 Sep 2010 (-4.71%), 15 Nov 2010 (8.19%)
2009902 Mar 2009 (6.15%), 13 May 2009 (-3.33%), 12 Jun 2009 (4.35%), 07 Aug 2009 (-2.03%), 11 Sep 2009 (-3.67%), 09 Oct 2009 (-4.56%), 29 Oct 2009 (-2.77%), 24 Nov 2009 (-2.13%), 21 Dec 2009 (-4.19%)
2008423 Jun 2008 (11.18%), 19 Aug 2008 (-2.49%), 08 Sep 2008 (3.22%), 24 Dec 2008 (-4.03%)



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