Study: Buy CENTURYTEX 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 CENTURYTEX 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 CENTURYTEX 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
1-45839.1879314839.244520.1819294.99-3874.26-10831.371.170.75-0.021-580.24
2-12487779314839.24690125014.93-7058.5-26832.330.980.63-0.036-1580.72
3-14595479314839.249032.1234865.67-8873.95-24898.291.020.66-0.032-1847.52
4-13969779304937.9713201.4946578.45-10933.51-39411.411.210.74-0.023-1768.32
5-90021.679295036.7115924.3847308.03-11036.57-35350.011.440.84-0.014-1139.51
6-13201379314839.2414965.2366918.71-12415.31-33906.071.210.78-0.019-1671.05
7-52578.579344543.0416081.7670507.46-13319.07-37359.661.210.91-0.0067-665.55
8-57420.9479295036.7120312.7872892.25-12929.83-47002.811.570.91-0.007-726.85
9-52640.379324740.5119183.655727.79-14181.18-45472.271.350.92-0.0064-666.33
1034737.9679324740.5121845.0666767.49-14134.13-45980.351.551.050.004439.72
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
atrnil25.8416325088315735.2323564.9465158.56-9951.99-20043.822.371.290.0211855.11
atrtrail34.7913168089305933.7119861.2288478.78-7867.07-20043.822.521.280.0181479.55
atrtrail-15.5710751688295932.9519667.1362529.1-7844.59-20043.822.511.230.0151221.77
atrnil38.111843587246327.5932513.8388478.78-10506.31-32579.283.091.180.0131361.32
atrtrail24.1978703.1590315934.4417789.1465158.56-8012.88-20043.822.221.170.012874.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 35.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
CENTURYTEX Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 Feb 2019 (6.62%), 05 Sep 2019 (6.88%)
2018628 Feb 2018 (-3.68%), 08 Jun 2018 (-4.2%), 16 Oct 2018 (-4.62%), 17 Oct 2018 (-5.1%), 25 Oct 2018 (10.17%), 18 Dec 2018 (-3.09%)
2017211 May 2017 (-2.58%), 16 Jun 2017 (-2.94%)
2016422 Feb 2016 (-4.86%), 02 Mar 2016 (9.64%), 02 Nov 2016 (-3.28%), 30 Nov 2016 (-5.15%)
2015230 Mar 2015 (8.63%), 14 Sep 2015 (-5.75%)
2014622 Jan 2014 (-3.9%), 07 May 2014 (9.44%), 01 Jul 2014 (-3.71%), 22 Jul 2014 (-4.62%), 22 Oct 2014 (7.51%), 26 Dec 2014 (8.13%)
2013720 Feb 2013 (-2.95%), 11 Mar 2013 (-3.88%), 01 Apr 2013 (-4.24%), 15 Jul 2013 (-4.33%), 16 Jul 2013 (-4.48%), 22 Jul 2013 (-4.47%), 13 Aug 2013 (-6.01%)
2012125 May 2012 (-4.9%)
2011414 Feb 2011 (10.35%), 27 May 2011 (7.48%), 07 Dec 2011 (-4.37%), 30 Dec 2011 (-5.14%)
2010317 Feb 2010 (-4.53%), 06 Apr 2010 (-3.52%), 07 Sep 2010 (-2.91%)
2008818 Feb 2008 (-8.88%), 11 Mar 2008 (-8.53%), 25 Mar 2008 (18.87%), 25 Jun 2008 (-7.26%), 08 Jul 2008 (-8.73%), 18 Jul 2008 (16.73%), 29 Oct 2008 (32.58%), 03 Dec 2008 (29.49%)
2007112 Mar 2007 (-7.91%)
2006119 Jun 2006 (25.3%)
2005504 Apr 2005 (-4.91%), 01 Jul 2005 (7.87%), 04 Aug 2005 (8.2%), 05 Aug 2005 (-4.76%), 08 Nov 2005 (11.31%)
2004207 Oct 2004 (-3.99%), 21 Dec 2004 (-3.59%)
2003403 Apr 2003 (8.1%), 20 Jun 2003 (-4.75%), 23 Jun 2003 (10.16%), 28 Jul 2003 (9.64%)
2002321 Jan 2002 (-6.29%), 05 Jul 2002 (-6.11%), 21 Aug 2002 (-7.15%)
2001402 Jan 2001 (-5.23%), 24 Jan 2001 (-4.86%), 29 Mar 2001 (-10.02%), 28 Sep 2001 (11.49%)
2000504 Jul 2000 (-5.97%), 16 Aug 2000 (13.73%), 19 Oct 2000 (10.16%), 20 Oct 2000 (-5.26%), 07 Dec 2000 (-4.35%)
1999423 Feb 1999 (-8.0%), 09 Jun 1999 (-6.7%), 28 Jun 1999 (-5.9%), 25 Nov 1999 (15.85%)
1998419 Mar 1998 (10.9%), 06 Apr 1998 (11.08%), 25 Jun 1998 (-9.65%), 07 Sep 1998 (-4.91%)
1997425 Apr 1997 (6.1%), 02 Jun 1997 (7.0%), 05 Aug 1997 (4.79%), 17 Dec 1997 (11.06%)
1996425 Jul 1996 (-3.08%), 16 Aug 1996 (-2.95%), 19 Aug 1996 (-3.22%), 22 Aug 1996 (-3.09%)
1995229 Mar 1995 (-1.95%), 19 May 1995 (-2.41%)



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