Study: Buy ALBK 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 ALBK 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 ALBK 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
1-24859.7659243540.684381.9919113.57-3715.07-12579.191.180.81-0.019-421.35
211220.3359263344.076449.0524000-4741.06-18371.041.361.070.0063190.18
363911.5859302950.858090.1137430.17-6165.23-20542.991.311.360.0271083.25
4-532.2159302950.858456.4230726.26-8766.37-29592.760.961-0.00019-9.02
5-27585.859263344.079907.9640997.23-8642.2-29321.271.150.9-0.0094-467.56
617769.0359322754.249020.0542105.26-10032.32-31053.350.91.070.0059301.17
7-2745.8759312852.5410033.6944690.67-11206.8-34336.530.90.99-0.00081-46.54
8-88905.6959283147.4610743.436934.44-12571.64-39366.520.850.77-0.024-1506.88
9-12350159263344.0713252.6243490.3-14183.91-55771.430.930.74-0.029-2093.24
10-94651.2359283147.4612955.1538374.53-14754.69-54751.130.880.79-0.021-1604.26
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
atrtrail35.3282178.0368264238.2413976.6643647.76-6695.6-13515.222.091.290.0221208.5
atrtrail24.8752753.469274239.1312369.2129098.51-6695.6-13515.221.851.190.017764.54
atrnil38.359454.6967184926.8727448.4443647.76-8869.74-15753.933.091.140.013887.38
atrnil25.9631479.3369244534.7817914.4529098.51-8854.83-15753.932.021.080.0086456.22
atrtrail-15.6811526.9868264238.2411259.3233223.78-6695.6-13515.221.681.040.0037169.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 38.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
ALBK Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 May 2019 (1.08%)
2018524 Jan 2018 (-3.29%), 25 Jan 2018 (-3.62%), 28 Feb 2018 (-4.94%), 13 Mar 2018 (0.85%), 28 May 2018 (-5.07%)
2017303 Jan 2017 (3.53%), 15 Jun 2017 (-4.05%), 28 Aug 2017 (-1.58%)
2016429 Jan 2016 (-4.82%), 22 Feb 2016 (20.27%), 15 Nov 2016 (-4.51%), 30 Nov 2016 (-4.11%)
2015519 Feb 2015 (-2.14%), 28 Feb 2015 (-2.64%), 01 Apr 2015 (1.31%), 23 Jun 2015 (-3.54%), 06 Jul 2015 (-0.13%)
2014519 Feb 2014 (11.58%), 25 Apr 2014 (1.95%), 16 May 2014 (13.63%), 01 Aug 2014 (-2.31%), 17 Oct 2014 (14.79%)
2013522 Feb 2013 (-4.1%), 06 Mar 2013 (-3.16%), 02 Apr 2013 (-4.28%), 09 Jul 2013 (-3.73%), 08 Aug 2013 (-1.91%)
2012404 Jan 2012 (-3.17%), 29 May 2012 (-4.52%), 06 Jun 2012 (1.38%), 05 Sep 2012 (8.62%)
2011720 Jan 2011 (-0.46%), 27 May 2011 (-0.61%), 07 Sep 2011 (-4.16%), 20 Sep 2011 (-3.0%), 12 Oct 2011 (-4.15%), 31 Oct 2011 (-4.43%), 01 Dec 2011 (-0.72%)
2010706 Apr 2010 (0.67%), 20 Apr 2010 (1.36%), 09 Sep 2010 (0.15%), 06 Oct 2010 (-2.51%), 14 Oct 2010 (-2.51%), 25 Oct 2010 (-3.34%), 24 Dec 2010 (3.09%)
2009217 Mar 2009 (-4.68%), 16 Oct 2009 (-1.18%)
2008629 Feb 2008 (-6.3%), 03 Mar 2008 (-6.76%), 02 Apr 2008 (-6.4%), 07 Jul 2008 (21.82%), 05 Nov 2008 (-5.4%), 04 Dec 2008 (0.4%)
2007215 Mar 2007 (0.57%), 09 Apr 2007 (11.8%)
2006403 May 2006 (-0.03%), 21 Jun 2006 (-3.58%), 24 Jul 2006 (16.62%), 14 Sep 2006 (-1.86%)
2005209 May 2005 (3.51%), 07 Nov 2005 (0.07%)
2004504 May 2004 (16.6%), 08 Nov 2004 (-3.3%), 09 Nov 2004 (10.26%), 23 Dec 2004 (-3.62%), 29 Dec 2004 (2.95%)
2003126 May 2003 (12.86%)



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