Study: Buy ANDHRABANK 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 ANDHRABANK 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 ANDHRABANK 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
163900.4166392759.093777.1119696.97-3089.14-8458.041.221.770.049968.19
267908.5966343251.525750.3827272.73-3987.63-10782.871.441.530.0371028.92
341914.1966303645.457378.1725462.01-4984.19-16187.431.481.230.019635.06
494475.3666353153.037625.6938636.36-5562.06-18906.941.371.550.0351431.44
546897.0666283842.429984.3638636.36-6122.76-19104.991.631.20.016710.56
622365.7466293743.9411046.3750757.58-8053.49-34071.551.371.080.0062338.87
728124.5666283842.4213568.0456125.94-9257.39-35264.051.471.080.0064426.13
8-9486.8966283842.4214199.7359411.36-10712.61-323581.330.98-0.002-143.74
931926.6666313546.9714095.562559.89-11572.39-38726.331.221.080.0066483.74
1026150.4366313546.9715057.6559822.04-12589.62-40963.861.21.060.0051396.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.77. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.

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-1163900.4166392759.093777.1119696.97-3089.14-8458.041.221.770.049968.19
atrtrail25.2476989.6172284438.8912465.1924795.17-6182.63-16114.912.021.280.0251069.3
atrtrail-16.3463444.6970274338.5712197.1147231.87-6183.19-16114.911.971.240.018906.35
atrnil26.5283079.4571274438.0317023.9226904.17-8558.33-16527.291.991.220.0221170.13
atrnil39.1989128.8269204928.9925433.8235357-8562.19-16527.292.971.210.021291.72
atrtrail35.8657369.0771274438.0312200.1832937.74-6182.63-16114.911.971.210.017808.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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.
ANDHRABANK Performance, X=1, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018423 Jan 2018 (1.2%), 22 Feb 2018 (0.66%), 15 Mar 2018 (-1.75%), 23 May 2018 (-1.65%)
2017504 Jan 2017 (1.15%), 27 Mar 2017 (-0.26%), 21 Apr 2017 (1.33%), 14 Jun 2017 (-0.9%), 28 Aug 2017 (-1.61%)
2016502 Feb 2016 (-2.25%), 18 Feb 2016 (0.11%), 31 May 2016 (-3.28%), 11 Nov 2016 (0.92%), 05 Dec 2016 (0.39%)
2015116 Sep 2015 (5.53%)
2014418 Feb 2014 (0.09%), 14 May 2014 (-1.57%), 21 Aug 2014 (1.91%), 14 Oct 2014 (-1.59%)
2013401 Jan 2013 (1.27%), 20 Feb 2013 (-3.13%), 06 Mar 2013 (1.48%), 23 Aug 2013 (0.19%)
2012503 Jan 2012 (1.25%), 13 Mar 2012 (0.33%), 28 May 2012 (0.84%), 17 Aug 2012 (0.36%), 04 Sep 2012 (-2.43%)
2011821 Jan 2011 (2.88%), 27 May 2011 (0.82%), 04 Jul 2011 (-0.37%), 30 Aug 2011 (1.77%), 27 Sep 2011 (0.0%), 12 Oct 2011 (0.62%), 31 Oct 2011 (1.47%), 02 Dec 2011 (-0.2%)
2010302 Aug 2010 (-0.1%), 16 Aug 2010 (0.86%), 20 Dec 2010 (2.1%)
2009217 Mar 2009 (0.6%), 15 Oct 2009 (3.55%)
2008502 Jan 2008 (2.7%), 15 Feb 2008 (1.54%), 28 Mar 2008 (-4.23%), 10 Jul 2008 (-3.12%), 05 Nov 2008 (-1.9%)
2007109 Mar 2007 (0.84%)
2006403 Apr 2006 (4.92%), 02 May 2006 (1.94%), 22 Jun 2006 (2.29%), 22 Dec 2006 (-0.06%)
2005301 Feb 2005 (0.06%), 28 Sep 2005 (-2.05%), 10 Nov 2005 (0.61%)
2004513 Jan 2004 (5.11%), 29 Mar 2004 (4.14%), 09 Jun 2004 (-1.28%), 28 Jun 2004 (0.0%), 23 Dec 2004 (-2.55%)
2003110 Jan 2003 (5.59%)
2002408 Apr 2002 (-2.54%), 04 Jun 2002 (9.85%), 12 Sep 2002 (0.37%), 29 Oct 2002 (-1.05%)
2001228 Sep 2001 (-1.23%), 08 Nov 2001 (-0.6%)



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