Study: Buy CADILAHC 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 CADILAHC 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 CADILAHC 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
13266.4265362955.382785.7210690.19-3345.5-8879.470.831.030.002950.25
2-32566.9165303546.153847.510843.67-4228.34-14605.90.910.78-0.022-501.03
3-3060265254038.465622.7316294.04-4279.25-15539.781.310.82-0.017-470.8
4-29551.8365254038.466180.219617.05-4601.42-15561.751.340.84-0.016-454.64
5-56801.765254038.466709.7521676.3-5613.64-32797.351.20.75-0.024-873.87
6-96770.4265254038.466566.2916410.73-6523.19-30168.451.010.63-0.041-1488.78
7-92387.92652639407166.3422035.59-7146.48-36242.9810.67-0.035-1421.35
8-70369.865303546.157874.2926590.75-8759.96-39918.330.90.77-0.023-1082.61
9-19416.1565293644.629910.1944617.05-8522.54-36268.51.160.94-0.0056-298.71
10-36593.6465303546.1510124.8337644.51-9723.96-43363.961.040.89-0.01-562.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.03. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 55.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.025%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0029, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-113266.4265362955.382785.7210690.19-3345.5-8879.470.831.030.002950.25
atrtrail25.26-75336.1374205427.0312180.8121986.13-5906.52-14594.152.060.76-0.026-1018.06
atrnil39.15-11401574155920.2723782.1236340.39-7978.76-15885.932.980.76-0.026-1540.74
atrnil27-13566574205427.0315133.0624226.93-8117.16-15885.931.860.69-0.039-1833.32
atrtrail35.74-10149074205427.0310873.1427492.67-5906.52-14594.151.840.68-0.035-1371.48
atrtrail-16.03-11910474205427.039992.4332224.43-5906.52-14594.151.690.63-0.043-1609.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 55.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.025%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0029, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, X=1, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 May 2019 (2.13%), 07 Aug 2019 (3.12%), 27 Aug 2019 (2.34%)
2018414 Feb 2018 (-0.6%), 28 Feb 2018 (-0.26%), 26 Mar 2018 (-1.32%), 05 Nov 2018 (-2.83%)
2017404 Jan 2017 (1.39%), 19 Jul 2017 (-3.51%), 29 Aug 2017 (1.14%), 18 Dec 2017 (0.07%)
2016222 Jan 2016 (0.71%), 27 Sep 2016 (0.36%)
2015401 Jan 2015 (0.97%), 16 Feb 2015 (0.56%), 12 Mar 2015 (0.66%), 23 Dec 2015 (-0.45%)
2014508 Jan 2014 (5.35%), 07 Feb 2014 (2.39%), 01 Apr 2014 (1.15%), 09 Oct 2014 (-2.29%), 04 Dec 2014 (-1.42%)
2013322 Feb 2013 (-0.25%), 30 Aug 2013 (-0.5%), 19 Dec 2013 (1.46%)
2012204 Sep 2012 (0.01%), 03 Dec 2012 (0.74%)
2011209 May 2011 (-2.19%), 26 Aug 2011 (-0.05%)
2010523 Mar 2010 (-1.43%), 08 Apr 2010 (-1.18%), 12 May 2010 (2.77%), 17 Jun 2010 (1.2%), 25 Oct 2010 (0.43%)
2009117 Jun 2009 (-2.39%)
2008505 Feb 2008 (-3.14%), 12 Mar 2008 (-4.2%), 12 Jun 2008 (0.47%), 03 Nov 2008 (0.04%), 04 Dec 2008 (-2.08%)
2007104 Sep 2007 (1.92%)
2006329 Apr 2006 (-4.44%), 20 Jun 2006 (2.41%), 25 Jul 2006 (0.27%)
2005301 Feb 2005 (-1.47%), 27 Apr 2005 (-1.27%), 10 Nov 2005 (0.38%)
2004424 May 2004 (-0.18%), 29 Jun 2004 (0.2%), 07 Sep 2004 (-1.86%), 01 Oct 2004 (-0.44%)
2003517 Jan 2003 (0.31%), 28 Feb 2003 (-1.1%), 28 Jul 2003 (4.66%), 26 Aug 2003 (0.72%), 06 Oct 2003 (-2.26%)
2002409 May 2002 (0.0%), 09 Aug 2002 (0.78%), 07 Oct 2002 (0.65%), 21 Nov 2002 (0.09%)
2001305 Jan 2001 (-1.11%), 19 Sep 2001 (-4.29%), 26 Nov 2001 (1.23%)
2000225 Oct 2000 (3.58%), 11 Dec 2000 (3.48%)



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