Study: Sell YESBANK 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 YESBANK 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 YESBANK 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
1-76942.6165273841.543930.0212179.49-4817.19-16657.990.820.58-0.054-1183.73
2-14869465303546.155493.1727461.42-8956.82-35897.440.610.53-0.058-2287.6
342668.465303546.1511615.9796474.36-8737.45-47341.121.331.140.0097656.44
415664.4265293644.6211305.9180819.37-8672.42-47600.521.31.050.0037240.99
5-11358565303546.159961.1852906.6-11783.43-1101170.850.72-0.024-1747.46
6-19589065273841.5411730.9545199.22-13490.16-1398180.870.62-0.035-3013.7
7-21340065303546.1510779.4636217.95-15336.68-1474710.70.6-0.037-3283.08
8-27984965273841.5411399.9438919.93-15464.41-1225680.740.52-0.052-4305.37
9-3669926526394014936.3147486.03-19367.59-1759620.770.51-0.047-5646.03
10-44328465234235.3815827.852513.97-19221.97-1875000.820.45-0.055-6819.75
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
atrnil36.38-75226.358016642030869.3267305.09-8892.74-50410.33.470.87-0.013-940.33
atrnil24.49-15776381206124.6919375.1443816.98-8938.79-50410.32.170.71-0.035-1947.69
atrtrail23.67-16935882186421.9515015.6643816.98-6869.38-50410.32.190.61-0.044-2065.35
atrtrail33.91-17213181176420.9915735.8665725.47-6869.38-50410.32.290.61-0.04-2125.07
atrtrail-14.1-21488881176420.9913220.7356627.34-6869.38-50410.31.920.51-0.057-2652.94

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.47%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
YESBANK Performance, Profit Factor:0.868

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020414 Jan 2020 (-9.14%), 04 Feb 2020 (-7.48%), 03 Mar 2020 (-8.78%), 09 Mar 2020 (-25.21%)
2019405 Apr 2019 (10.44%), 14 Jun 2019 (25.86%), 14 Aug 2019 (31.61%), 26 Sep 2019 (33.65%)
2018402 Feb 2018 (8.87%), 14 May 2018 (-3.36%), 26 Jul 2018 (-3.01%), 26 Nov 2018 (21.75%)
2017621 Mar 2017 (-2.0%), 03 Apr 2017 (-1.78%), 20 Apr 2017 (-2.09%), 05 May 2017 (5.86%), 09 Aug 2017 (-2.52%), 22 Sep 2017 (-2.23%)
20161205 Apr 2016 (-2.84%), 22 Apr 2016 (-2.4%), 05 May 2016 (-2.51%), 13 May 2016 (-2.38%), 19 May 2016 (-2.46%), 09 Jun 2016 (-2.25%), 10 Jun 2016 (-2.23%), 08 Jul 2016 (-2.13%), 21 Jul 2016 (-2.0%), 29 Aug 2016 (-1.73%), 30 Aug 2016 (-1.78%), 08 Sep 2016 (7.55%)
2015102 Feb 2015 (9.03%)
2014716 Apr 2014 (-3.77%), 30 Apr 2014 (-3.89%), 29 May 2014 (-4.49%), 30 May 2014 (-4.37%), 16 Sep 2014 (-2.95%), 19 Nov 2014 (-2.55%), 10 Dec 2014 (-2.81%)
2013222 Jan 2013 (-2.83%), 22 May 2013 (8.61%)
2012922 Feb 2012 (-4.16%), 20 Mar 2012 (-4.42%), 23 Mar 2012 (12.72%), 10 Aug 2012 (-3.23%), 16 Oct 2012 (-2.74%), 13 Nov 2012 (-3.41%), 13 Dec 2012 (-2.49%), 14 Dec 2012 (-2.5%), 21 Dec 2012 (-2.54%)
2011406 Jan 2011 (11.7%), 28 Feb 2011 (-4.7%), 21 Apr 2011 (-3.77%), 25 Apr 2011 (11.47%)
2010425 Feb 2010 (-4.15%), 06 May 2010 (-3.49%), 27 Aug 2010 (-3.11%), 08 Oct 2010 (-2.68%)
2009820 Feb 2009 (18.28%), 11 May 2009 (-7.76%), 02 Jun 2009 (-7.71%), 03 Jun 2009 (-7.35%), 04 Aug 2009 (-5.23%), 06 Oct 2009 (-4.35%), 28 Oct 2009 (-5.27%), 17 Nov 2009 (-4.76%)
2008121 Nov 2008 (-13.89%)
2007331 Jan 2007 (-4.68%), 16 Jul 2007 (-4.37%), 17 Dec 2007 (-6.35%)
20061015 Feb 2006 (-3.73%), 10 Apr 2006 (10.48%), 16 May 2006 (19.07%), 17 Jul 2006 (-6.49%), 05 Sep 2006 (-4.08%), 07 Nov 2006 (-4.99%), 05 Dec 2006 (-5.15%), 06 Dec 2006 (-5.24%), 12 Dec 2006 (-6.33%), 13 Dec 2006 (-6.28%)
2005116 Dec 2005 (-3.21%)



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