Study: Buy AJANTPHARM when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy AJANTPHARM when there is Bullish 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: buy AJANTPHARM 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
158691.8567353252.245867.838021.98-4583.78-47586.211.281.40.023876
216767367333449.2511119.9485714.29-5861.33-56551.721.91.840.0382502.58
330035667353252.2414551.94107253-6530.06-36065.572.232.440.0574482.93
429162367343350.7515947.2978021.98-7593.49-33278.692.12.160.0594352.58
533292667373055.2215991.6699560.44-8625.51-29508.21.852.290.0564969.05
632340767363153.7316632.2996483.52-8882.45-25645.671.872.170.0524826.96
734714267392858.2116698.56121152-10860.79-26246.071.542.140.0495181.22
831525667353252.2418451.48111825-10329.54-27218.931.791.950.0484705.32
928539967363153.7317735.01103212-11389.09-35136.751.561.810.0444259.68
1034833067392858.2117881.7195877.94-12466.32-37056.621.4320.0525198.95
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
AJANTPHARM Performance, X=3, Profit Factor:2.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (0.15%)
2018322 Jan 2018 (-6.0%), 28 May 2018 (-8.29%), 22 Oct 2018 (-1.54%)
2017607 Feb 2017 (2.69%), 14 Mar 2017 (2.31%), 16 May 2017 (2.2%), 05 Jun 2017 (-2.2%), 29 Jun 2017 (-1.22%), 08 Dec 2017 (-1.8%)
2016427 Jan 2016 (6.61%), 23 Sep 2016 (1.52%), 28 Nov 2016 (2.14%), 30 Dec 2016 (-0.17%)
2015616 Feb 2015 (-2.7%), 06 Apr 2015 (9.49%), 20 Jul 2015 (-3.45%), 15 Sep 2015 (-2.07%), 02 Dec 2015 (-2.75%), 17 Dec 2015 (-1.07%)
2014124 Jul 2014 (-0.79%)
2013318 Jan 2013 (20.94%), 07 Mar 2013 (4.88%), 04 Apr 2013 (-1.29%)
2012514 Mar 2012 (1.13%), 23 May 2012 (11.06%), 21 Jun 2012 (4.12%), 25 Oct 2012 (-5.21%), 22 Nov 2012 (-2.15%)
2011316 May 2011 (-5.19%), 31 May 2011 (-0.14%), 07 Jul 2011 (0.24%)
2010620 Jan 2010 (2.67%), 10 Feb 2010 (2.84%), 15 Mar 2010 (-1.23%), 12 Jul 2010 (-2.12%), 20 Aug 2010 (-1.4%), 20 Dec 2010 (1.17%)
2009208 May 2009 (-1.86%), 18 Dec 2009 (0.13%)
2008204 Feb 2008 (2.45%), 31 Oct 2008 (4.7%)
2007201 Feb 2007 (6.98%), 05 Jun 2007 (0.22%)
2005503 Feb 2005 (-0.88%), 01 Jun 2005 (7.88%), 11 Jul 2005 (-2.67%), 07 Nov 2005 (3.34%), 12 Dec 2005 (-3.93%)
2004713 Feb 2004 (-0.19%), 29 Mar 2004 (19.78%), 30 Aug 2004 (-2.72%), 27 Sep 2004 (2.42%), 01 Nov 2004 (13.48%), 25 Nov 2004 (-4.25%), 14 Dec 2004 (-3.26%)
2003403 Apr 2003 (14.41%), 30 Jun 2003 (18.95%), 28 Jul 2003 (-0.11%), 28 Aug 2003 (53.63%)
2002212 Feb 2002 (13.91%), 10 May 2002 (6.75%)
2001520 Apr 2001 (3.0%), 24 May 2001 (2.37%), 19 Jul 2001 (-18.03%), 07 Sep 2001 (-13.79%), 20 Nov 2001 (4.14%)

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
atrtrail-15.9732289871284339.4421065.3188870.95-6207.7-20665.553.392.210.0554547.85
atrtrail35.2132136172294340.2820285.9247014.98-6207.7-20665.553.272.20.0634463.34
atrtrail24.6923411472304241.671665032215.34-6318.71-20665.552.641.880.0583251.59
atrnil310.0123662368224632.3531147.1646275.96-9752.49-21664.483.191.530.0413479.75
atrnil26.6620054171294240.8520844.6632215.34-9617.96-21664.482.171.50.0422824.52

In the table above, row 1 shows the best exit criterion. Profit factor is 2.21. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 39.44%, which is not acceptable. Avoid this strategy. Average return per trade is 2.27%, which is very good. Sharpe Ratio is 0.055, 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.
AJANTPHARM Performance, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (-1.0%)
2018322 Jan 2018 (-2.49%), 28 May 2018 (-3.98%), 22 Oct 2018 (-4.49%)
2017707 Feb 2017 (0.24%), 14 Mar 2017 (3.11%), 16 May 2017 (-0.06%), 05 Jun 2017 (-3.52%), 14 Jun 2017 (-3.13%), 29 Jun 2017 (-2.35%), 08 Dec 2017 (-2.53%)
2016427 Jan 2016 (3.79%), 23 Sep 2016 (-0.81%), 28 Nov 2016 (0.93%), 30 Dec 2016 (-1.15%)
2015616 Feb 2015 (-2.84%), 06 Apr 2015 (5.6%), 20 Jul 2015 (-2.6%), 15 Sep 2015 (-4.92%), 02 Dec 2015 (-2.88%), 17 Dec 2015 (0.59%)
2014124 Jul 2014 (-4.27%)
2013318 Jan 2013 (21.31%), 07 Mar 2013 (0.0%), 04 Apr 2013 (-0.87%)
2012514 Mar 2012 (-1.3%), 23 May 2012 (17.8%), 21 Jun 2012 (2.26%), 25 Oct 2012 (-3.8%), 22 Nov 2012 (4.13%)
2011316 May 2011 (-4.09%), 31 May 2011 (12.23%), 07 Jul 2011 (9.38%)
2010620 Jan 2010 (-4.96%), 10 Feb 2010 (-2.42%), 15 Mar 2010 (-3.14%), 12 Jul 2010 (-3.94%), 20 Aug 2010 (-0.89%), 20 Dec 2010 (1.49%)
2009308 May 2009 (7.0%), 19 May 2009 (24.88%), 18 Dec 2009 (-3.27%)
2008204 Feb 2008 (-10.33%), 31 Oct 2008 (-0.35%)
2007301 Feb 2007 (-4.3%), 02 Feb 2007 (5.72%), 05 Jun 2007 (-3.99%)
2005503 Feb 2005 (-1.8%), 01 Jun 2005 (3.26%), 11 Jul 2005 (-4.32%), 07 Nov 2005 (14.28%), 12 Dec 2005 (-4.15%)
2004713 Feb 2004 (-2.11%), 29 Mar 2004 (12.18%), 30 Aug 2004 (-2.93%), 27 Sep 2004 (-0.77%), 01 Nov 2004 (8.31%), 25 Nov 2004 (-0.98%), 14 Dec 2004 (0.47%)
2003403 Apr 2003 (8.77%), 30 Jun 2003 (28.76%), 28 Jul 2003 (-7.37%), 28 Aug 2003 (44.44%)
2002212 Feb 2002 (7.35%), 10 May 2002 (12.14%)
2001620 Apr 2001 (-1.66%), 24 May 2001 (-0.39%), 19 Jul 2001 (-5.97%), 07 Sep 2001 (-5.59%), 05 Oct 2001 (34.5%), 20 Nov 2001 (-4.76%)



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