Study: Buy BEML 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 BEML 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 BEML 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
115764494514354.266445.9940167.36-3979.11-15216.61.621.920.0431677.06
224709694484651.0611464.9765714.29-6591.8-23662.181.741.810.0392628.68
329842294544057.4512607.8383000-9560.02-40565.371.321.780.0363174.7
438883494494552.1317060.2580660.38-9935.96-33780.921.721.870.0444136.53
529982294445046.8118120.2578333.33-9949.37-32084.811.821.60.0323189.6
617416494445046.8117706.9264914.59-12098.82-42121.211.461.290.0191852.81
710861994454947.8717570.3469333.33-13919.32-54242.421.261.160.0111155.52
820527594445046.8119741.87123333-13267.35-51024.731.491.310.0192183.77
921682494435145.7421497.86157667-13874.2-51731.451.551.310.0182306.63
1014677094454947.8720888.55132000-16188.05-61818.181.291.190.0121561.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.92. 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 54.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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-1115764494514354.266445.9940167.36-3979.11-15216.61.621.920.0431677.06
atrtrail-15.13137370106456142.4514862.864154.37-8712.39-18450.91.711.260.0171295.95
atrtrail34.64120950107456242.0614735.8147278.91-8744.54-18450.91.691.220.0161130.37
atrtrail24.15100115110466441.8214201.737185.93-8643.17-18450.91.641.180.014910.14
atrnil25.96122256109406936.721782.841657.53-10855.88-21499.642.011.160.0141121.62
atrnil37.81123634106297727.3633044.8662486.29-10839.83-21499.643.051.150.0121166.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.92. 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 54.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
BEML Performance, X=1, Profit Factor:1.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-2.02%)
2018526 Feb 2018 (-1.53%), 04 Jul 2018 (-1.43%), 26 Jul 2018 (3.5%), 15 Oct 2018 (0.99%), 14 Dec 2018 (7.98%)
2017410 Feb 2017 (-1.64%), 26 Apr 2017 (-1.16%), 25 Jul 2017 (0.59%), 17 Aug 2017 (1.39%)
2016522 Feb 2016 (-2.5%), 30 May 2016 (-1.6%), 29 Aug 2016 (0.68%), 06 Oct 2016 (-0.44%), 30 Nov 2016 (-1.47%)
2015618 Feb 2015 (-0.15%), 04 Mar 2015 (0.32%), 19 May 2015 (0.29%), 06 Jul 2015 (2.04%), 21 Sep 2015 (0.97%), 27 Nov 2015 (0.64%)
2014314 May 2014 (-1.72%), 02 Sep 2014 (1.87%), 04 Dec 2014 (-2.4%)
2013503 Apr 2013 (-0.53%), 23 Aug 2013 (0.37%), 30 Oct 2013 (0.4%), 03 Dec 2013 (-2.31%), 24 Dec 2013 (1.35%)
2012309 May 2012 (1.79%), 19 Jun 2012 (2.31%), 29 Nov 2012 (2.77%)
2011421 Feb 2011 (-0.61%), 30 May 2011 (0.97%), 27 Jun 2011 (0.95%), 26 Aug 2011 (2.9%)
2010203 Sep 2010 (5.38%), 06 Oct 2010 (-2.18%)
2009318 May 2009 (6.69%), 05 Jun 2009 (1.89%), 29 Jun 2009 (0.67%)
2008508 Feb 2008 (-5.17%), 27 Feb 2008 (4.01%), 21 Jul 2008 (0.68%), 31 Oct 2008 (5.17%), 04 Dec 2008 (-0.6%)
2007608 Feb 2007 (-3.23%), 20 Mar 2007 (-0.44%), 27 Apr 2007 (0.86%), 04 Jul 2007 (-0.88%), 25 Oct 2007 (7.5%), 14 Nov 2007 (3.34%)
2006413 Feb 2006 (-1.95%), 02 Mar 2006 (2.27%), 27 Apr 2006 (-0.56%), 21 Jun 2006 (1.41%)
2005301 Feb 2005 (-0.81%), 13 May 2005 (1.66%), 20 Sep 2005 (-3.2%)
2004512 Feb 2004 (-0.29%), 04 Mar 2004 (5.08%), 27 May 2004 (-7.61%), 27 Aug 2004 (0.89%), 02 Nov 2004 (1.6%)
2003322 Mar 2003 (-4.7%), 30 Jun 2003 (-1.32%), 03 Nov 2003 (0.02%)
2002714 Jan 2002 (15.57%), 04 Feb 2002 (-0.5%), 04 Apr 2002 (1.06%), 02 Jul 2002 (-1.4%), 12 Aug 2002 (1.47%), 04 Sep 2002 (-1.55%), 04 Oct 2002 (20.08%)
2001601 Jan 2001 (3.09%), 19 Jan 2001 (7.95%), 22 Feb 2001 (-5.91%), 28 Mar 2001 (-3.67%), 25 Sep 2001 (0.35%), 05 Dec 2001 (0.0%)
2000221 Mar 2000 (8.19%), 06 Sep 2000 (0.28%)
1999107 Oct 1999 (8.15%)
1998219 Feb 1998 (-1.41%), 03 Jul 1998 (-3.96%)
1997609 May 1997 (-3.5%), 09 Sep 1997 (-1.11%), 26 Sep 1997 (-0.21%), 20 Oct 1997 (-1.98%), 20 Nov 1997 (6.86%), 12 Dec 1997 (-1.41%)
1995317 Jul 1995 (5.71%), 15 Sep 1995 (-4.49%), 08 Dec 1995 (1.45%)



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