Study: Buy BHEL 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 BHEL 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 BHEL 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
160201.6281423951.854926.8322802.3-3762.19-11446.151.311.410.026743.23
299472.4881394248.157308.7423800.38-4418.3-17183.61.651.540.0331228.06
314480281423951.859239.6745527.83-6237.55-22551.721.481.60.0341787.67
482661.0681394248.1510868.6632905.1-8124.21-22030.771.341.240.0171020.51
510870281404149.3811769.0853377.54-8830.76-28068.971.331.30.021342
613748681384346.9113384.5851968.5-8630.88-38827.591.551.370.0241697.36
714518481404149.381271849896.39-8866.73-32620.691.431.40.0261792.4
819719281433853.0912768.1752631.58-9258.93-28520.51.381.560.0342434.47
923943281433853.0913602.5554206.38-9091.52-51051.691.51.690.0392955.95
1027442181483359.2613548.7755283.88-11391.51-46060.611.191.730.043387.91
Although, strategy looks good but profit factor on day 4 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
atrnil37.4278173101317030.6927310.3750949.26-8120.69-17777.973.361.490.0322754.19
atrnil25.73141362102356734.3119005.1535555.94-7818.17-16508.942.431.270.0211385.91
atrtrail34.5544211.57102346833.3313705.9448563.91-6202.8-16269.312.211.10.0074433.45
atrtrail23.9321575.56102346833.3313040.1735555.94-6202.8-16269.312.11.050.0039211.53
atrtrail-15.2415269.6510034663412496.3653855.23-6206.16-16269.312.011.040.0026152.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 30.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
BHEL Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019619 Feb 2019 (10.21%), 12 Apr 2019 (-3.4%), 22 May 2019 (13.23%), 27 Aug 2019 (-4.53%), 18 Oct 2019 (-5.4%), 22 Oct 2019 (17.49%)
2018702 Apr 2018 (8.81%), 29 May 2018 (-3.37%), 30 May 2018 (-3.66%), 08 Jun 2018 (-3.91%), 10 Jul 2018 (-3.21%), 23 Jul 2018 (10.95%), 11 Oct 2018 (-4.9%)
2017516 Mar 2017 (-2.78%), 06 Apr 2017 (-2.66%), 07 Apr 2017 (-2.8%), 14 Jun 2017 (-3.23%), 30 Aug 2017 (8.2%)
2016401 Feb 2016 (-4.51%), 09 Feb 2016 (-4.54%), 02 Mar 2016 (18.89%), 30 Dec 2016 (7.19%)
2015310 Apr 2015 (-3.74%), 14 Sep 2015 (-4.93%), 30 Nov 2015 (-3.0%)
2013407 Mar 2013 (-2.73%), 03 Apr 2013 (-3.07%), 01 Jul 2013 (-3.41%), 24 Dec 2013 (-3.46%)
2012414 May 2012 (-4.41%), 22 May 2012 (12.76%), 18 Sep 2012 (-3.12%), 20 Sep 2012 (10.04%)
20111625 Jan 2011 (-2.3%), 27 Jan 2011 (-2.47%), 01 Feb 2011 (-2.88%), 08 Feb 2011 (-2.85%), 22 Feb 2011 (-3.23%), 03 Mar 2011 (-3.24%), 23 Mar 2011 (8.54%), 16 May 2011 (-2.38%), 17 May 2011 (-2.52%), 10 Jun 2011 (-2.14%), 18 Aug 2011 (-3.05%), 23 Aug 2011 (-3.16%), 29 Sep 2011 (-3.1%), 10 Oct 2011 (-3.2%), 01 Dec 2011 (-4.85%), 27 Dec 2011 (14.69%)
2010106 Dec 2010 (-2.75%)
2009304 May 2009 (-4.16%), 18 May 2009 (15.51%), 19 May 2009 (-5.73%)
2008414 Feb 2008 (-5.7%), 13 Jun 2008 (-5.77%), 25 Jun 2008 (-5.84%), 31 Oct 2008 (-8.89%)
2007321 Mar 2007 (14.32%), 21 Jun 2007 (-3.0%), 29 Oct 2007 (-5.44%)
2006419 Jan 2006 (11.34%), 01 Mar 2006 (-3.12%), 04 Apr 2006 (-2.93%), 16 Jun 2006 (24.88%)
2005126 Sep 2005 (11.13%)
2004204 Jun 2004 (-8.08%), 02 Dec 2004 (9.43%)
2003713 Jun 2003 (-2.99%), 16 Jun 2003 (9.18%), 08 Aug 2003 (11.99%), 23 Sep 2003 (12.47%), 17 Oct 2003 (-3.47%), 20 Oct 2003 (-3.71%), 31 Oct 2003 (-4.67%)
2002305 Jun 2002 (12.07%), 08 Oct 2002 (-3.13%), 11 Oct 2002 (-3.44%)
2001502 Jan 2001 (-5.84%), 28 Mar 2001 (-7.46%), 16 Apr 2001 (24.28%), 17 Aug 2001 (-4.75%), 26 Sep 2001 (21.57%)
2000603 Jan 2000 (-5.22%), 03 May 2000 (25.47%), 05 Jul 2000 (-4.98%), 17 Aug 2000 (14.76%), 18 Oct 2000 (16.24%), 28 Nov 2000 (13.56%)
1999220 Dec 1999 (-5.08%), 21 Dec 1999 (-5.56%)
1998205 Feb 1998 (-4.17%), 29 Jun 1998 (-8.25%)
1997504 Apr 1997 (13.03%), 05 May 1997 (-2.78%), 02 Jul 1997 (-3.79%), 03 Jul 1997 (-4.19%), 27 Nov 1997 (-4.79%)
1996229 Mar 1996 (11.23%), 28 Aug 1996 (9.83%)
1995210 May 1995 (-4.01%), 08 Dec 1995 (-4.43%)



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