Study: Buy BEL 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 BEL 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 BEL 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
154713.6773363749.325625.1420000-3994.36-14189.841.411.370.024749.5
226870.0973314242.478150.0733415.84-5375.77-18454.981.521.120.0084368.08
3-5985.6473274636.9912198.0264480.27-7289.83-28418.081.670.98-0.0012-82
411674773353847.9511878.2354210.53-7868.19-30508.471.511.390.0231599.27
510347073343946.581408961700.94-9629.65-31412.431.461.280.0191417.39
615424073324143.8417281.4974930.52-9726.05-36930.461.781.390.0252112.87
733330573393453.4217764.9764257.92-10574.38-32579.191.681.930.054565.82
826140373393453.4216786.2260700.39-11566.45-38235.291.451.660.0393580.87
923495073373650.6817622.7869302.33-11585.91-45701.361.521.560.0353218.5
1026430073383552.0518535.9863002.36-12573.35-50226.241.471.60.0383620.55
Although, strategy looks good but profit factor on day 3 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
atrnil25.6121718280334741.2520235.139356.92-9586.73-23286.722.111.480.0372714.78
atrnil39.3222201379245530.3831197.9359035.38-9577.04-23286.723.261.420.032810.29
atrtrail24.2566356.980334741.2513361.3639356.92-7969.53-18306.991.681.180.014829.46
atrtrail-15.22-41432.5879314839.2411058.0947357.62-8004.86-18306.991.380.89-0.0088-524.46
atrtrail34.91-46786.5780314938.7510985.4845888.84-7904.82-18306.991.390.88-0.01-584.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 41.25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
BEL Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Feb 2019 (7.45%), 02 Apr 2019 (-3.5%), 03 Apr 2019 (-3.77%), 09 Aug 2019 (-4.67%)
2018930 Jan 2018 (-2.41%), 26 Feb 2018 (-3.43%), 03 Apr 2018 (-3.0%), 08 May 2018 (-2.68%), 28 May 2018 (-3.64%), 06 Jun 2018 (-3.89%), 06 Jul 2018 (-4.05%), 23 Jul 2018 (9.49%), 01 Oct 2018 (-5.82%)
2016104 Mar 2016 (-4.07%)
2015407 Jan 2015 (9.54%), 03 Feb 2015 (-4.11%), 13 Feb 2015 (8.28%), 10 Sep 2015 (-4.24%)
2014512 Feb 2014 (-2.59%), 14 May 2014 (9.0%), 24 Jun 2014 (8.08%), 27 Oct 2014 (7.75%), 25 Nov 2014 (7.27%)
2013505 Mar 2013 (-3.54%), 03 Jun 2013 (-3.42%), 08 Aug 2013 (-3.63%), 10 Oct 2013 (-2.99%), 31 Dec 2013 (-2.29%)
2012304 Jan 2012 (6.84%), 13 Mar 2012 (-3.58%), 31 May 2012 (-3.05%)
2011105 Sep 2011 (-3.49%)
2010413 Jan 2010 (5.9%), 08 Mar 2010 (5.71%), 11 May 2010 (-3.09%), 04 Oct 2010 (5.38%)
2009330 Jan 2009 (9.09%), 20 Jul 2009 (-5.33%), 22 Sep 2009 (5.8%)
2008718 Feb 2008 (-7.35%), 12 Mar 2008 (-6.7%), 04 Apr 2008 (14.51%), 15 May 2008 (-5.34%), 16 Jun 2008 (-5.39%), 09 Jul 2008 (-5.81%), 04 Nov 2008 (14.98%)
2007224 Aug 2007 (8.51%), 11 Oct 2007 (-3.7%)
2006216 Jan 2006 (-3.4%), 19 Jun 2006 (18.65%)
2005106 May 2005 (7.26%)
2004330 Mar 2004 (9.02%), 27 May 2004 (-5.92%), 10 Jun 2004 (-6.06%)
2003510 Jan 2003 (7.21%), 13 Jun 2003 (-3.8%), 16 Jun 2003 (8.25%), 01 Aug 2003 (-5.28%), 12 Aug 2003 (9.81%)
2002609 Jan 2002 (10.63%), 05 Feb 2002 (15.17%), 24 Apr 2002 (11.83%), 02 May 2002 (11.58%), 12 Jun 2002 (-6.92%), 07 Oct 2002 (-6.13%)
2001327 Mar 2001 (-8.91%), 16 Aug 2001 (-3.94%), 24 Sep 2001 (10.38%)
2000327 Jan 2000 (13.8%), 30 Mar 2000 (-11.64%), 20 Oct 2000 (-5.55%)
1999505 May 1999 (19.68%), 06 Jul 1999 (10.12%), 23 Jul 1999 (11.61%), 18 Aug 1999 (-6.79%), 23 Aug 1999 (-7.15%)
1998321 May 1998 (15.3%), 09 Jul 1998 (-7.71%), 11 Aug 1998 (-6.42%)
1997109 Oct 1997 (-5.12%)



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