Study: Buy CANFINHOME 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 CANFINHOME 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 CANFINHOME 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
1-10277.9161293247.544366.320066.89-4278.14-15602.841.020.92-0.0055-168.49
2-3651.3361303149.186586.724830.12-6492.01-41607.571.010.98-0.0013-59.86
3-7230.2261263542.628953.9250174.47-6858.06-53427.91.310.97-0.002-118.53
459.5561322952.468116.0647897.15-8953.6-64775.410.9111.5e-050.98
562439.2161313050.8210666.2640991.74-8940.5-58628.841.191.230.0151023.59
613867261313050.8213159.3145472.91-8975.54-65721.041.471.520.0312273.32
712476361322952.4611581.3646758.49-8477.25-77068.561.371.510.0272045.3
812637161342755.7411393.554214.88-9666.98-69976.361.181.480.0272071.65
999617.6761332854.111445.461083.56-9931.44-76122.931.151.360.021633.08
1052001.0361303149.1812466.6659210.28-10387.05-69030.731.21.160.01852.48
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
atrnil24.8920813772333945.8316201.7138486.99-8372.28-15953.91.941.640.0482890.8
atrtrail23.7216575372314143.0614344.5523762.09-6803.12-14610.382.111.590.0432302.13
atrtrail34.531526207028424015174.2735369.36-6482.36-14610.382.341.560.0372180.29
atrtrail-15.2610230168274139.7113668.2254405.68-6505.88-14610.382.11.380.0251504.42
atrnil37.0612330170224831.4323729.157730.48-8307.06-15953.92.861.310.0241761.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. 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 45.83%, which is not acceptable. Avoid this strategy. Average return per trade is 1.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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.
CANFINHOME Performance, Profit Factor:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018428 May 2018 (-4.01%), 29 May 2018 (-4.24%), 18 Jul 2018 (7.61%), 12 Oct 2018 (-7.98%)
2017515 Mar 2017 (6.05%), 03 Apr 2017 (5.99%), 09 Oct 2017 (-2.95%), 13 Oct 2017 (-3.2%), 17 Nov 2017 (-3.91%)
2016427 Jan 2016 (-4.91%), 29 Aug 2016 (5.22%), 07 Oct 2016 (5.46%), 29 Nov 2016 (-6.05%)
2014705 Feb 2014 (6.78%), 04 Mar 2014 (-3.25%), 05 Mar 2014 (-3.48%), 01 Apr 2014 (6.46%), 20 May 2014 (8.21%), 27 Jun 2014 (9.19%), 07 Nov 2014 (-3.9%)
2013501 Mar 2013 (8.41%), 22 Aug 2013 (-4.31%), 04 Sep 2013 (8.94%), 12 Dec 2013 (-2.6%), 19 Dec 2013 (5.68%)
2012410 Feb 2012 (5.89%), 07 Mar 2012 (-4.5%), 13 Apr 2012 (7.45%), 08 Nov 2012 (8.25%)
2011130 Aug 2011 (8.25%)
2010209 Aug 2010 (8.36%), 16 Dec 2010 (11.88%)
2009305 May 2009 (-5.62%), 23 Sep 2009 (-3.96%), 12 Oct 2009 (-3.94%)
2008230 Jun 2008 (-3.84%), 05 Nov 2008 (19.24%)
2007217 Jan 2007 (-3.48%), 21 Mar 2007 (7.51%)
2006415 Feb 2006 (-3.85%), 20 Oct 2006 (5.99%), 06 Dec 2006 (-3.19%), 21 Dec 2006 (6.29%)
2005305 Apr 2005 (8.87%), 07 Jun 2005 (-3.12%), 20 Sep 2005 (-3.77%)
2004305 May 2004 (-5.24%), 09 Oct 2004 (-3.03%), 09 Dec 2004 (7.13%)
20031014 Jan 2003 (-2.42%), 22 Jan 2003 (-3.23%), 21 Feb 2003 (4.98%), 07 Apr 2003 (5.32%), 06 May 2003 (-2.96%), 24 Jun 2003 (10.09%), 07 Jul 2003 (9.5%), 08 Jul 2003 (-5.11%), 29 Dec 2003 (9.6%), 30 Dec 2003 (-5.63%)
2001104 Oct 2001 (-4.46%)
2000412 Oct 2000 (-4.75%), 24 Oct 2000 (-4.55%), 27 Dec 2000 (-4.35%), 28 Dec 2000 (-4.65%)
1999103 Mar 1999 (-6.32%)
1998313 Apr 1998 (6.72%), 01 Jun 1998 (10.07%), 02 Jun 1998 (-5.43%)
1996306 Aug 1996 (11.79%), 11 Oct 1996 (-3.45%), 14 Oct 1996 (-3.61%)
1995122 Dec 1995 (10.16%)



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