Study: Buy ADANIPORTS when there is Bullish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy ADANIPORTS when there is Bullish Centerline Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ADANIPORTS 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. sell 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
1-9918.9661516.676070.296070.29-3197.85-6628.131.90.38-0.12-1653.16
21343.19633502835.246709.27-2387.5-3178.851.191.190.02223.87
34897.84633504504.748817.89-2872.13-4988.61.571.570.053816.31
48719.1862433.338344.29520.77-1992.3-3646.494.192.090.0851453.2
5-9926.6662433.335344.646088.63-5153.98-6822.591.040.52-0.096-1654.44
6-10435.962433.335075.198169.56-5146.57-7843.140.990.49-0.096-1739.32
76306.7962433.339692.2712100.19-3269.44-7488.562.961.480.0461051.13
8-6882.3962433.3311057.5111252.41-7249.35-16614.51.530.76-0.034-1147.07
9-11796.24633506104.587707.13-10036.66-16831.210.610.61-0.065-1966.04
10-4964.1864266.675691.759094.41-13865.59-16205.150.410.82-0.025-827.36
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ADANIPORTS Performance, X=4, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Jul 2019 (-0.7%)
2018128 Aug 2018 (-0.65%)
2017101 Sep 2017 (-1.82%)
2015112 Feb 2015 (-0.82%)
2012127 Nov 2012 (3.58%)
2011124 Oct 2011 (4.76%)

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
atrtrail23.787840.2993633.3314030.6915925.84-5708.63-7786.162.461.230.027871.14
atrnil23.786731.9993633.3314030.6915925.84-5893.35-7786.162.381.190.023748
atrtrail35.22-12794.3893633.337152.4711440.35-5708.63-7786.161.250.63-0.063-1421.6
atrtrail-15.22-12794.3893633.337152.4711440.35-5708.63-7786.161.250.63-0.063-1421.6
atrnil36.67-25582.4491811.1123117.7623117.76-6087.53-7962.923.80.47-0.09-2842.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPORTS Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Jul 2019 (-1.85%)
2018228 Aug 2018 (-2.5%), 06 Sep 2018 (-2.8%)
2017201 Sep 2017 (-2.52%), 04 Sep 2017 (5.38%)
2015112 Feb 2015 (-3.89%)
2012227 Nov 2012 (-3.56%), 29 Nov 2012 (7.71%)
2011124 Oct 2011 (7.96%)



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