Study: Buy CANBK 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 CANBK 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 CANBK 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
1-319.3582929504095.7114787.88-4106.72-20064.2111-0.00024-5.51
227179.0158263244.839061.3288128.38-6512.98-31380.421.391.130.0081468.6
311318.5858213736.2113841.4777779.6-7550.06-35663.461.831.040.0031195.15
4-82445.6358243441.3813182.5464712.62-11730.19-34433.031.120.79-0.021-1421.48
5-27949.9558223637.9316292.8770771.25-10733.14-30818.621.520.93-0.0067-481.9
62181.5658273146.5514183.8665662.35-12283.31-35828.511.151.010.0005237.61
7-190858263244.8315890.9681162.9-12971.03-41038.711.231-0.00039-32.9
8-30886.7158243441.3816220.3468844.6-12358.09-39955.391.310.93-0.0066-532.53
9-59318.2658243441.3815991.3564679.88-13032.67-49960.171.230.87-0.012-1022.73
10-13358.558263244.8317068.1866120.84-14285.35-47952.841.190.97-0.0027-230.32
Although, strategy looks good but profit factor on day 1 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
atrnil38.766914.3967184926.8727090.3456331.93-9810.44-19165.232.761.010.0015103.2
atrtrail-14.75-32037.468204829.4117322.7577204.65-7885.26-18159.032.20.92-0.0072-471.14
atrnil25.97-47238.3368234533.8217533.8137554.62-10011.47-19165.231.750.9-0.012-694.68
atrtrail23.77-74449.9469214830.4314861.2937554.62-8052.86-18159.031.850.81-0.022-1078.98
atrtrail34.4-11289568204829.4113279.8732681.06-7885.26-18159.031.680.7-0.035-1660.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 26.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.052%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0015, 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.
CANBK Performance, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Feb 2019 (-3.62%), 21 May 2019 (12.5%), 16 Aug 2019 (-4.35%), 26 Aug 2019 (-4.62%), 13 Sep 2019 (-4.57%), 11 Oct 2019 (15.54%)
2018323 Feb 2018 (-4.63%), 16 Mar 2018 (-5.93%), 23 Jul 2018 (12.8%)
2017209 Jan 2017 (8.99%), 23 Oct 2017 (7.59%)
2016528 Jan 2016 (-4.42%), 29 Jan 2016 (-4.56%), 01 Mar 2016 (16.34%), 04 Oct 2016 (-3.42%), 30 Nov 2016 (-3.85%)
2015428 Feb 2015 (-3.71%), 18 Jun 2015 (-3.58%), 03 Aug 2015 (10.61%), 23 Dec 2015 (-2.55%)
2014618 Feb 2014 (11.31%), 28 Apr 2014 (-3.69%), 05 May 2014 (-4.1%), 14 May 2014 (13.25%), 21 Aug 2014 (-3.71%), 13 Oct 2014 (12.08%)
2013720 Feb 2013 (-3.6%), 07 Mar 2013 (-3.44%), 02 Apr 2013 (-4.38%), 03 Apr 2013 (-4.61%), 14 Aug 2013 (-6.97%), 16 Aug 2013 (-8.08%), 26 Aug 2013 (-8.16%)
2012303 Jan 2012 (13.79%), 28 May 2012 (-3.83%), 28 Dec 2012 (-2.96%)
2011321 Jan 2011 (-4.53%), 30 May 2011 (-4.02%), 30 Aug 2011 (13.67%)
2010205 Oct 2010 (8.52%), 30 Dec 2010 (-4.01%)
2009223 Mar 2009 (14.78%), 11 Nov 2009 (-4.49%)
2008506 Feb 2008 (-8.72%), 14 Feb 2008 (-7.98%), 26 Mar 2008 (-7.78%), 17 Jun 2008 (-4.78%), 03 Nov 2008 (28.17%)
2007427 Feb 2007 (-4.23%), 28 Feb 2007 (-4.78%), 13 Mar 2007 (-5.81%), 24 Oct 2007 (-4.79%)
2006827 Jan 2006 (-4.04%), 10 Feb 2006 (-4.38%), 28 Feb 2006 (-4.66%), 01 Mar 2006 (-4.93%), 02 Jun 2006 (-7.77%), 30 Jun 2006 (-7.01%), 26 Jul 2006 (16.84%), 01 Nov 2006 (-3.49%)
2005403 Jan 2005 (-3.73%), 05 May 2005 (-4.17%), 01 Aug 2005 (-3.75%), 07 Nov 2005 (12.74%)
2004107 Jun 2004 (-9.58%)
2003205 May 2003 (14.3%), 28 May 2003 (-5.6%)



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