Study: Buy ARVIND 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 ARVIND 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 ARVIND 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
1-5597.4681384346.914162.1415545.24-3808.35-11660.191.090.97-0.0027-69.1
259570.6781354643.218384.0638732.39-5084.16-16768.461.651.250.016735.44
385359.2281414050.629642.2539914.16-7749.33-26300.851.241.280.0191053.82
483898.6381433853.099278.4627038.63-8291.45-30652.791.121.270.0191035.79
515033581453655.5611133.7172961.37-9741.18-32734.151.141.430.0261855.98
613212581414050.6213486.9375536.48-10520.98-29679.921.281.310.0191631.17
719216081453655.5614125.9793562.23-12319.68-46640.761.151.430.0252372.35
814523681414050.6215639.9384978.54-12400.02-46168.771.261.290.0181793.04
910829181394248.1516890.576824.03-13105.68-43864.521.291.20.0141336.93
1017926981404149.3817951.8699141.63-13141.61-382011.371.330.0212213.19
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
atrtrail-16.1879696.6691365539.5614811.875395.24-8245.96-22650.11.81.180.011875.79
atrnil27.0790933.3794365838.319424.4251718.5-10488.72-26536.71.851.150.013967.38
atrtrail35.4954409.5891365539.5614109.3848882.3-8245.96-22650.11.711.120.0087597.91
atrnil39.5261781.0290256527.7829462.0177577.75-10381.06-26536.72.841.090.0072686.46
atrtrail24.9138944.079538574013345.1132588.2-8213.51-22650.11.621.080.0067409.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 39.56%, 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 0.011, 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.
ARVIND Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 May 2019 (-3.22%), 02 Jul 2019 (-0.46%), 12 Jul 2019 (-6.24%), 05 Aug 2019 (-6.63%)
2018421 Feb 2018 (1.7%), 10 May 2018 (-2.87%), 12 Oct 2018 (-4.28%), 17 Dec 2018 (-6.15%)
2016703 Mar 2016 (-0.09%), 11 Apr 2016 (-1.22%), 09 Aug 2016 (-3.04%), 10 Aug 2016 (0.96%), 09 Dec 2016 (-4.07%), 20 Dec 2016 (-3.7%), 30 Dec 2016 (3.07%)
2015807 Apr 2015 (-2.13%), 04 May 2015 (-4.0%), 13 May 2015 (-3.92%), 01 Jun 2015 (-4.36%), 02 Jun 2015 (-4.64%), 18 Jun 2015 (8.53%), 30 Jul 2015 (-3.88%), 09 Sep 2015 (4.38%)
2013506 Mar 2013 (-4.84%), 01 Apr 2013 (-3.2%), 08 Nov 2013 (7.6%), 03 Dec 2013 (-3.62%), 24 Dec 2013 (-2.74%)
2012503 Jan 2012 (22.12%), 13 Feb 2012 (-5.17%), 26 Oct 2012 (-1.7%), 18 Dec 2012 (-3.41%), 27 Dec 2012 (0.75%)
2011429 Aug 2011 (22.7%), 14 Oct 2011 (-1.85%), 07 Dec 2011 (-5.16%), 08 Dec 2011 (-5.64%)
2010918 Feb 2010 (-4.27%), 03 Mar 2010 (-3.62%), 16 Jul 2010 (-3.32%), 04 Aug 2010 (13.54%), 07 Sep 2010 (-1.23%), 05 Oct 2010 (-3.0%), 13 Oct 2010 (-4.35%), 14 Oct 2010 (28.05%), 16 Dec 2010 (8.06%)
2009120 May 2009 (11.36%)
2008406 Feb 2008 (-11.33%), 28 Mar 2008 (37.7%), 09 Jul 2008 (-8.13%), 31 Oct 2008 (6.55%)
2007321 Mar 2007 (-4.45%), 26 Sep 2007 (-0.37%), 28 Dec 2007 (-4.66%)
2006402 Feb 2006 (0.1%), 19 Jun 2006 (-1.92%), 27 Jul 2006 (-4.32%), 28 Nov 2006 (1.5%)
2005431 Jan 2005 (2.05%), 04 Apr 2005 (0.29%), 21 Apr 2005 (1.88%), 09 Nov 2005 (-0.17%)
2004316 Feb 2004 (-6.67%), 08 Mar 2004 (-4.52%), 23 Dec 2004 (4.96%)
2003719 Feb 2003 (1.73%), 03 Apr 2003 (9.35%), 02 Jul 2003 (2.97%), 29 Jul 2003 (-4.13%), 01 Oct 2003 (10.1%), 29 Dec 2003 (-3.64%), 30 Dec 2003 (-0.79%)
2002105 Jul 2002 (0.8%)
2001222 Mar 2001 (-8.44%), 18 Apr 2001 (-7.36%)
2000110 May 2000 (-7.28%)
1999222 Jan 1999 (-5.26%), 30 Jun 1999 (16.68%)
1998312 Feb 1998 (-5.35%), 29 Jun 1998 (-8.34%), 20 Aug 1998 (-4.21%)
1997411 Feb 1997 (0.39%), 28 Feb 1997 (7.42%), 12 Sep 1997 (-3.37%), 23 Dec 1997 (3.17%)
1996302 Feb 1996 (4.6%), 05 Jun 1996 (3.04%), 23 Aug 1996 (1.26%)
1995309 May 1995 (5.77%), 14 Sep 1995 (9.23%), 08 Dec 1995 (2.26%)



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