Study: Buy BAJFINANCE 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 BAJFINANCE 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 BAJFINANCE 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
1146439103564754.375296.5427513.23-3195.04-13857.291.661.980.0461421.74
2131701103564754.377224.4637962.96-5805.72-19553.931.241.480.031278.65
396063.99103505348.549120.841014.8-6792-29758.631.341.270.018932.66
4117946103554853.49322.3153828.31-8224.6-39841.121.131.30.0181145.11
597509.53103564754.3710242.6553488.37-10129.34-46504.961.011.20.014946.69
6106446103554853.410811.836997.89-10170.89-68379.271.061.220.0151033.46
7218531103594457.2811712.4751946.34-10738.75-50738.71.091.460.0292121.66
8322115103614259.2212974.9247568.05-11175.11-64785.011.161.690.0393127.33
9360394103614259.2214042.6772378.4-11814.5-67673.651.191.730.043498.97
10357664103604358.2514639.0399687.64-12108.79-72216.11.211.690.0363472.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.98. 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 54.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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-11146439103564754.375296.5427513.23-3195.04-13857.291.661.980.0461421.74
atrnil37.62327821112397334.8224036.6144160.76-8350.78-23802.212.881.540.0372926.97
atrnil25.5262245119516842.8616283.5729440.51-8356.14-23802.211.951.460.0352203.74
atrtrail34.94187658118487040.6813507.3644160.76-6581.36-23799.482.051.410.0251590.32
atrtrail-15.73182242114466840.3513701.453559.56-6588.57-23799.482.081.410.0241598.61
atrtrail24.17139463122517141.812053.7929440.51-6694.09-23799.481.81.290.0211143.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. 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 54.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
BAJFINANCE Performance, X=1, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 May 2019 (3.22%), 01 Jul 2019 (0.33%), 07 Aug 2019 (2.11%), 26 Aug 2019 (1.01%)
2018705 Jan 2018 (1.23%), 07 Jun 2018 (0.8%), 25 Jun 2018 (-0.97%), 13 Jul 2018 (0.15%), 09 Aug 2018 (-0.77%), 27 Aug 2018 (-0.62%), 12 Oct 2018 (0.82%)
2017610 Apr 2017 (1.23%), 25 Apr 2017 (-2.39%), 15 May 2017 (1.11%), 06 Sep 2017 (5.61%), 20 Nov 2017 (0.25%), 15 Dec 2017 (1.58%)
2016403 Feb 2016 (-0.56%), 31 Aug 2016 (1.36%), 28 Nov 2016 (3.18%), 28 Dec 2016 (1.6%)
2015314 Jan 2015 (2.29%), 11 Sep 2015 (2.22%), 30 Sep 2015 (-0.46%)
2014528 Mar 2014 (-0.37%), 22 May 2014 (-0.77%), 19 Sep 2014 (-0.2%), 08 Dec 2014 (-0.1%), 23 Dec 2014 (-1.69%)
2013718 Apr 2013 (4.32%), 13 Aug 2013 (-1.73%), 05 Sep 2013 (2.72%), 04 Oct 2013 (1.04%), 31 Oct 2013 (1.06%), 05 Dec 2013 (2.52%), 23 Dec 2013 (-1.51%)
2012510 Jan 2012 (3.85%), 09 Aug 2012 (0.42%), 13 Sep 2012 (0.99%), 13 Nov 2012 (-0.6%), 28 Dec 2012 (-0.04%)
2011208 Feb 2011 (0.21%), 31 May 2011 (2.46%)
2010702 Mar 2010 (2.1%), 30 Mar 2010 (-0.96%), 13 May 2010 (3.47%), 06 Jul 2010 (0.23%), 23 Aug 2010 (-1.95%), 06 Sep 2010 (6.31%), 20 Dec 2010 (-0.55%)
2009619 May 2009 (12.94%), 16 Jul 2009 (6.6%), 18 Sep 2009 (-0.33%), 17 Nov 2009 (-0.2%), 02 Dec 2009 (2.93%), 23 Dec 2009 (0.57%)
2008203 Apr 2008 (-1.5%), 25 Jun 2008 (-2.38%)
2007214 May 2007 (8.15%), 20 Nov 2007 (-2.06%)
2006630 Jan 2006 (-1.07%), 15 Feb 2006 (-0.32%), 31 May 2006 (-6.03%), 20 Jun 2006 (-0.68%), 05 Oct 2006 (-0.84%), 20 Oct 2006 (0.19%)
2005619 Jan 2005 (-4.38%), 11 Mar 2005 (1.64%), 12 Apr 2005 (-0.89%), 09 May 2005 (-0.07%), 26 May 2005 (5.51%), 28 Jun 2005 (1.31%)
2004528 Jun 2004 (1.47%), 31 Aug 2004 (1.33%), 28 Sep 2004 (1.75%), 12 Nov 2004 (-3.52%), 24 Dec 2004 (0.34%)
2003526 May 2003 (-0.87%), 19 Jun 2003 (-1.65%), 08 Sep 2003 (1.73%), 08 Oct 2003 (-0.23%), 10 Nov 2003 (2.37%)
2002412 Feb 2002 (4.18%), 15 Mar 2002 (-2.57%), 07 Aug 2002 (-2.15%), 13 Nov 2002 (-0.11%)
2001107 Jun 2001 (-1.92%)
2000207 Sep 2000 (-4.56%), 27 Oct 2000 (0.0%)
1998325 Jun 1998 (0.19%), 01 Dec 1998 (3.7%), 29 Dec 1998 (7.77%)
1997414 May 1997 (2.2%), 13 Jun 1997 (-3.82%), 11 Sep 1997 (0.56%), 01 Oct 1997 (-1.47%)
1996502 Feb 1996 (13.76%), 10 Jun 1996 (-0.88%), 15 Jul 1996 (-3.31%), 26 Aug 1996 (2.33%), 11 Oct 1996 (-6.93%)
1995209 May 1995 (3.01%), 27 Nov 1995 (-4.12%)



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