Study: Buy AXISBANK 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 AXISBANK 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 AXISBANK 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
1-11880.4971393254.933834.7716139.24-5044.89-12903.230.760.93-0.0063-167.33
212328.8271304142.257794.7933544.3-5402.8-21196.731.441.060.0042173.65
365704.6371353649.39044.5452215.19-6968.17-22857.141.31.260.018925.42
496362.7171323945.0711565.8372468.35-7019.07-24505.981.651.350.0231357.22
519724671383353.5213406.1450949.37-9460.23-291631.421.630.0412778.11
611494071373452.1112534.2441303.52-10259.6-35959.091.221.330.0241618.88
710428071363550.714220.8159342.56-11647.68-46061.361.221.260.0191468.74
861647.4671373452.1114865.5351730.1-14364.04-57397.141.031.130.0096868.27
913886771383353.5215800.3966455.7-13986.3-63299.241.131.30.0211955.87
1016771871383353.5217000.7854325.26-14494.29-66484.51.171.350.0252362.23
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
atrnil24.516064086335338.3718424.6148556.1-8440.97-20919.222.181.360.0281867.91
atrtrail-15.3713602783265731.3319871.459201.51-6677.71-20919.222.981.360.0231638.88
atrtrail23.4313177889325735.9616098.5148556.1-6725.86-20919.222.391.340.0251480.65
atrtrail34.410813385275831.7618361.4750858.16-6683.22-20919.222.751.280.0191272.15
atrnil36.9179097.5682226026.8327377.1450858.16-8719.99-24278.053.141.150.012964.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 38.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
AXISBANK Performance, Profit Factor:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Aug 2019 (-3.17%), 23 Sep 2019 (-3.37%)
2018413 Mar 2018 (-3.13%), 28 Mar 2018 (-2.92%), 09 Apr 2018 (5.69%), 10 Apr 2018 (-2.91%)
2017127 Nov 2017 (-2.66%)
20161122 Jan 2016 (-3.64%), 08 Feb 2016 (-3.86%), 10 May 2016 (4.99%), 26 May 2016 (5.04%), 20 Oct 2016 (-2.69%), 21 Oct 2016 (-2.78%), 08 Nov 2016 (-2.71%), 09 Nov 2016 (-3.05%), 09 Dec 2016 (-2.79%), 14 Dec 2016 (-2.78%), 30 Dec 2016 (-2.55%)
2015302 Jan 2015 (-2.09%), 11 Sep 2015 (8.32%), 22 Dec 2015 (-2.24%)
2014612 Feb 2014 (-2.71%), 17 Feb 2014 (5.22%), 18 Feb 2014 (5.47%), 25 Apr 2014 (5.25%), 09 May 2014 (5.23%), 03 Dec 2014 (-2.23%)
2013703 Jan 2013 (-1.81%), 15 Jan 2013 (-1.84%), 29 Jan 2013 (-2.21%), 15 Apr 2013 (5.9%), 16 May 2013 (-2.74%), 28 Jun 2013 (-3.11%), 06 Sep 2013 (13.98%)
2012304 Jan 2012 (8.48%), 24 May 2012 (-3.63%), 17 Sep 2012 (5.85%)
2011226 May 2011 (6.02%), 05 Sep 2011 (-4.53%)
2009116 Mar 2009 (14.11%)
2008528 Mar 2008 (-8.98%), 08 Apr 2008 (16.95%), 17 Jun 2008 (-6.15%), 04 Nov 2008 (-10.46%), 03 Dec 2008 (24.28%)
2007402 Feb 2007 (-4.46%), 14 Mar 2007 (-7.55%), 18 Jun 2007 (-3.41%), 19 Jun 2007 (-3.63%)
2006616 Jan 2006 (7.63%), 17 Jan 2006 (8.48%), 03 Mar 2006 (-4.06%), 20 Jun 2006 (16.85%), 31 Oct 2006 (-3.11%), 14 Nov 2006 (6.22%)
2005110 Mar 2005 (-4.67%)
2004520 Jan 2004 (-6.3%), 21 Jan 2004 (-6.87%), 31 Aug 2004 (8.41%), 01 Oct 2004 (6.93%), 09 Nov 2004 (9.68%)
2003716 Jan 2003 (-4.09%), 19 Feb 2003 (13.65%), 01 Apr 2003 (12.7%), 26 May 2003 (-4.41%), 12 Jun 2003 (-5.33%), 03 Jul 2003 (-4.93%), 04 Jul 2003 (11.44%)
2002509 Jul 2002 (-5.13%), 24 Sep 2002 (7.17%), 24 Oct 2002 (-3.5%), 11 Nov 2002 (6.82%), 21 Nov 2002 (7.91%)
2001318 Jan 2001 (6.46%), 23 Mar 2001 (-9.2%), 27 Sep 2001 (-7.68%)
2000431 Jan 2000 (11.55%), 18 Oct 2000 (9.85%), 11 Dec 2000 (-4.16%), 12 Dec 2000 (-5.05%)
1999603 Mar 1999 (-5.2%), 04 Mar 1999 (-5.83%), 16 Apr 1999 (-4.95%), 17 Apr 1999 (-5.77%), 12 Jul 1999 (-4.7%), 19 Aug 1999 (11.47%)



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