Study: Buy BPCL 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 BPCL 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 BPCL 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
143018.0169323746.385536.7215653.73-3625.86-14502.281.531.320.022623.45
2-30944.7469284140.587251.0439637.95-5706.68-19579.851.270.87-0.01-448.47
310498.6269373253.627798.1535164.84-8688.53-34068.580.91.040.0027152.15
4-8964.5169402957.978563.7432209.74-12121.18-43844.440.710.97-0.002-129.92
5-20003.3869363352.1710284.8136142.32-11825.96-39583.850.870.95-0.0041-289.9
668744.7169353450.7212409.3364481.9-10752.41-41218.731.151.190.013996.3
715397069422760.8711561.4386579.28-12281.85-41268.270.941.460.0272231.45
820787969383155.0713635.96100125-10009.28-42457.271.361.670.0343012.74
924146269363352.1715145.06100062-9204.85-32251.671.651.790.043499.45
1024337369402957.9714627.3986641.7-11783.55-36066.391.241.710.0383527.14
Although, strategy looks good but profit factor on day 2 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
atrnil26.2717410379334641.7717193.2936966.25-8549.47-19890.562.011.440.0332203.83
atrtrail23.9510515080314938.7513233.436966.25-6226.24-19071.42.131.340.0231314.37
atrtrail-15.1455922.179314839.2411316.5731558.61-6143.58-19071.41.841.190.014707.87
atrnil39.2983494.0476215527.6326583.0150844.33-8631.8-19890.563.081.180.0131098.61
atrtrail34.5649738.7180314938.7511445.9629936.82-6226.24-19071.41.841.160.012621.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 41.77%, which is not acceptable. Avoid this strategy. Average return per trade is 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
BPCL Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019423 Jul 2019 (-2.91%), 24 Jul 2019 (-3.07%), 01 Aug 2019 (-3.14%), 27 Aug 2019 (7.72%)
2018430 Jan 2018 (-2.57%), 07 May 2018 (6.89%), 17 Sep 2018 (-3.18%), 18 Sep 2018 (6.74%)
2017322 Mar 2017 (5.43%), 05 Jul 2017 (-2.54%), 22 Aug 2017 (6.52%)
2016229 Feb 2016 (7.96%), 28 Dec 2016 (4.89%)
2015319 Feb 2015 (-3.37%), 18 May 2015 (6.71%), 14 Jul 2015 (5.52%)
2014322 Apr 2014 (-3.39%), 09 May 2014 (7.0%), 05 Jun 2014 (-4.1%)
2013419 Jun 2013 (-2.98%), 28 Jun 2013 (-3.39%), 19 Aug 2013 (-6.04%), 05 Nov 2013 (-3.57%)
2012510 Jan 2012 (7.51%), 14 Jun 2012 (5.64%), 11 Jul 2012 (-2.19%), 23 Aug 2012 (-3.23%), 29 Nov 2012 (4.63%)
2011205 Aug 2011 (-2.48%), 29 Nov 2011 (-4.43%)
2010204 Jan 2010 (-2.71%), 08 Feb 2010 (-4.13%)
2009327 Mar 2009 (8.02%), 02 Jul 2009 (11.78%), 10 Nov 2009 (-3.53%)
2008325 Jun 2008 (-6.86%), 07 Jul 2008 (16.95%), 07 Nov 2008 (-9.54%)
2007115 Mar 2007 (11.27%)
2006506 Feb 2006 (-3.85%), 20 Jun 2006 (-9.12%), 09 Oct 2006 (6.93%), 02 Nov 2006 (-3.09%), 21 Dec 2006 (6.37%)
2005110 Nov 2005 (6.92%)
2004203 Jun 2004 (-9.95%), 28 Dec 2004 (-3.23%)
2003207 Jul 2003 (-3.01%), 04 Aug 2003 (-3.52%)
2002306 Mar 2002 (-5.75%), 01 Apr 2002 (-4.29%), 11 Jun 2002 (10.16%)
2001609 Jan 2001 (9.7%), 15 Jan 2001 (-5.1%), 08 Mar 2001 (-6.84%), 28 Aug 2001 (-3.05%), 29 Aug 2001 (-3.16%), 25 Sep 2001 (12.96%)
2000416 Mar 2000 (18.48%), 16 May 2000 (16.19%), 28 Nov 2000 (-4.43%), 29 Nov 2000 (9.98%)
1999416 Feb 1999 (-5.32%), 09 Mar 1999 (-5.83%), 03 Jun 1999 (-7.12%), 13 Jul 1999 (9.4%)
1998618 Feb 1998 (6.23%), 27 Aug 1998 (-4.82%), 28 Aug 1998 (-5.42%), 07 Sep 1998 (12.46%), 14 Dec 1998 (-2.81%), 28 Dec 1998 (7.91%)
1997314 Feb 1997 (-3.29%), 03 Mar 1997 (-3.11%), 22 Dec 1997 (6.01%)
1996412 Feb 1996 (7.22%), 04 Apr 1996 (5.59%), 18 Jun 1996 (-3.4%), 14 Aug 1996 (-3.8%)



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