Study: Sell ZEEL 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 ZEEL 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 ZEEL 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
184483.7782443853.666126.518966.02-4870.59-21300.061.261.460.0271030.29
275295.2282453754.887679.0334173.89-7304.35-23668.691.051.280.018918.23
328806.7582374545.1210176.5630704.95-7727.24-25807.771.321.080.0061351.3
4-13035282334940.2411206.3144247.57-10207.34-53056.381.10.74-0.021-1589.65
5-16524082354742.6812383.7349385.47-12737.67-1104080.970.72-0.02-2015.12
6-12547482364643.914018.4251591.45-13698.62-1025511.020.8-0.014-1530.16
7-1354278241415013384.2249310.99-16687.32-1188780.80.8-0.014-1651.55
8-14477682374545.1215812.7953929.24-16218.88-1112240.970.8-0.015-1765.57
9-18178782404248.7814063.3251429.69-17721.9-1005100.790.76-0.019-2216.91
10-19378782424051.2214132.6463122.73-19683.94-1010200.720.75-0.018-2363.25

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
nilnil-1184483.7782443853.666126.518966.02-4870.59-21300.061.261.460.0271030.29
atrtrail34.6368779.1399356435.3515122.6847758.81-7195.54-20618.362.11.150.01694.74
atrtrail-15.1729371.5999356435.3513996.7586818.7-7195.54-20618.361.951.060.0041296.68
atrtrail24.1121453.7210035653514057.2131839.2-7239.21-20618.361.941.050.0037214.54
atrnil37.48-78876.9499227722.2230995.0278966-9880.1-38053.753.140.9-0.0086-796.74
atrnil25.52-73316.4610031693119934.3152644-10018.55-38053.751.990.89-0.0096-733.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Oct 2018 (2.49%)
2017222 Feb 2017 (-0.46%), 13 Apr 2017 (0.07%)
2016431 May 2016 (-1.45%), 17 Aug 2016 (-0.64%), 12 Sep 2016 (-0.5%), 14 Oct 2016 (4.89%)
2015330 Mar 2015 (0.18%), 09 Jul 2015 (-2.31%), 12 Aug 2015 (0.2%)
2014515 Jan 2014 (0.96%), 27 Mar 2014 (-0.07%), 09 Jul 2014 (0.16%), 24 Jul 2014 (3.49%), 21 Nov 2014 (-2.73%)
2013407 Jan 2013 (-0.34%), 08 Apr 2013 (-1.77%), 21 May 2013 (1.39%), 08 Nov 2013 (-6.06%)
2012522 Feb 2012 (0.68%), 15 Mar 2012 (6.13%), 10 Jul 2012 (-0.95%), 09 Aug 2012 (-2.13%), 11 Oct 2012 (-1.31%)
2011313 Jun 2011 (-0.29%), 15 Nov 2011 (-0.4%), 13 Dec 2011 (0.53%)
2010430 Apr 2010 (1.83%), 05 Jul 2010 (-0.44%), 23 Jul 2010 (-0.39%), 16 Aug 2010 (-0.49%)
2009724 Apr 2009 (3.32%), 02 Jun 2009 (-10.65%), 11 Aug 2009 (-0.64%), 10 Sep 2009 (0.36%), 20 Oct 2009 (1.44%), 27 Nov 2009 (1.93%), 31 Dec 2009 (1.79%)
2008308 Feb 2008 (-2.42%), 15 Sep 2008 (1.72%), 14 Nov 2008 (3.22%)
2007112 Feb 2007 (-3.72%)
2006405 Apr 2006 (-1.42%), 12 May 2006 (0.35%), 11 Sep 2006 (-6.3%), 06 Dec 2006 (-2.33%)
2005215 Mar 2005 (-1.22%), 23 Dec 2005 (-2.88%)
2004314 Jan 2004 (-1.94%), 10 Sep 2004 (3.88%), 29 Dec 2004 (0.61%)
2003427 Mar 2003 (1.9%), 04 Aug 2003 (0.57%), 10 Sep 2003 (4.05%), 27 Oct 2003 (0.32%)
2002128 Feb 2002 (-9.97%)
2001312 Apr 2001 (8.96%), 07 Sep 2001 (1.14%), 13 Dec 2001 (7.3%)
2000419 Apr 2000 (7.92%), 12 May 2000 (-8.48%), 27 Jun 2000 (1.49%), 15 Sep 2000 (9.48%)
1999624 Mar 1999 (-0.7%), 26 May 1999 (7.99%), 09 Aug 1999 (-7.6%), 03 Sep 1999 (-1.61%), 04 Oct 1999 (-1.36%), 26 Oct 1999 (1.11%)
1998512 Mar 1998 (-0.37%), 12 May 1998 (7.28%), 02 Jun 1998 (1.96%), 12 Aug 1998 (7.26%), 30 Sep 1998 (7.84%)
1997218 Mar 1997 (-2.22%), 28 May 1997 (1.5%)
1996510 Jan 1996 (8.32%), 25 Jan 1996 (-0.31%), 01 Mar 1996 (5.88%), 25 Sep 1996 (0.12%), 25 Oct 1996 (0.8%)
1995116 May 1995 (-3.65%)



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