Study: Buy BIOCON 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 BIOCON 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 BIOCON 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
129677.5144261859.093593.613198.64-3542-10710.041.011.470.038674.49
2-12002.6244232152.274143.9713620.58-5110.19-18160.050.810.89-0.011-272.79
3-37018.6944242054.554071.4513369.9-6736.67-23958.980.60.73-0.031-841.33
4-31242.0744232152.274091.615358.24-5969-24909.340.690.75-0.026-710.05
5-49074.47442222503930.7813889.32-6161.44-21408.030.640.64-0.044-1115.33
6-47915.5844182640.915551.6813774.36-5686.38-17781.670.980.68-0.039-1088.99
7-44096.6844212347.734871.5916491.61-6365.22-22031.530.770.7-0.036-1002.2
8-48026.47442222505430.5113857.97-7613.53-30732.390.710.71-0.032-1091.51
99614.3244212347.737505.2623500.97-6434.61-30512.871.171.060.0058218.51
10-1064.3744202445.459299.6936750.48-7794.09-33406.511.190.99-0.00053-24.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.47. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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-1129677.5144261859.093593.613198.64-3542-10710.041.011.470.038674.49
atrnil311.2224588.1949143528.5721700.6946961.55-7977.76-20356.822.721.090.0089501.8
atrnil27.92-12540.855018323613879.1231307.7-8198.9-20356.821.690.95-0.0057-250.82
atrtrail25.38-47344.055015353010471.7519669.27-5840.58-12452.921.790.77-0.028-946.88
atrtrail36.02-87190.749153430.617368.6919302.99-5815.33-12452.921.270.56-0.062-1779.4
atrtrail-16.46-95865.0848143429.177275.4324802.31-5815.33-12452.921.250.52-0.069-1997.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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.
BIOCON Performance, X=1, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 May 2019 (3.05%)
2018122 Jan 2018 (6.6%)
2017317 Feb 2017 (1.92%), 01 Jun 2017 (1.5%), 30 Aug 2017 (-1.98%)
2016619 Feb 2016 (2.03%), 27 May 2016 (0.29%), 22 Jul 2016 (-0.09%), 29 Aug 2016 (2.29%), 22 Sep 2016 (-0.05%), 28 Nov 2016 (4.28%)
2015205 Jan 2015 (-3.39%), 11 Sep 2015 (2.44%)
2014120 Nov 2014 (0.77%)
2013502 Jan 2013 (1.0%), 05 Jun 2013 (-0.25%), 12 Aug 2013 (0.53%), 27 Nov 2013 (1.21%), 18 Dec 2013 (-2.1%)
2012502 Apr 2012 (1.19%), 25 May 2012 (0.97%), 25 Jul 2012 (-5.36%), 03 Oct 2012 (-1.9%), 04 Dec 2012 (-1.17%)
2011301 Mar 2011 (-0.56%), 01 Jun 2011 (-2.15%), 30 Dec 2011 (0.07%)
2010318 Feb 2010 (1.34%), 28 May 2010 (1.22%), 13 Dec 2010 (2.4%)
2009311 Feb 2009 (-1.22%), 02 Mar 2009 (-2.8%), 26 Jun 2009 (0.93%)
2008307 Feb 2008 (-1.82%), 14 Jul 2008 (-2.85%), 04 Nov 2008 (2.52%)
2007220 Feb 2007 (-3.46%), 12 Apr 2007 (4.72%)
2006221 Jun 2006 (2.22%), 28 Jul 2006 (0.99%)
2005205 Apr 2005 (0.02%), 04 Jul 2005 (-0.5%)
2004228 Jun 2004 (0.22%), 17 Dec 2004 (-0.22%)



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