Study: Buy CENTURYTEX when RSI is above 50 and 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 RSI is above 50 and 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
1-27319.7134132138.243619.035944.8-3541.29-9411.761.020.63-0.039-803.52
2-79874.234122235.294392.2811410.24-6026.43-17918.550.730.4-0.073-2349.24
3-98902.9134132138.245638.0720000-8199.9-24898.290.690.43-0.063-2908.91
4-61426.234112332.3512332.3942121.21-8568.8-22119.821.440.69-0.028-1806.65
5-71830.8934102429.4117435.8138297.87-10257.87-25620.311.70.71-0.028-2112.67
6-1396513492526.4715997.5835587.58-11345.15-36199.271.410.51-0.054-4107.37
7-11685934122235.2916466.7239114.1-14293.6-37359.661.150.63-0.04-3437.02
8-11034934112332.3522834.1545938.33-15718.47-47002.811.450.69-0.029-3245.56
9-58212.0634132138.2423030.9848410.5-17029.28-45439.051.350.84-0.015-1712.12
10-22741.9234142041.1823425.4351261.19-17534.9-45980.351.340.94-0.0056-668.88
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
atrtrail33.519467.353682822.2225589.7633234.96-6616.1-13406.093.871.110.0076540.76
atrtrail-14.173626.27357282026792.9658682.22-6568.73-13406.094.081.020.0014103.61
atrnil34.88-457.913482623.5328468.5933234.96-8777.18-13406.093.241-0.00017-13.47
atrtrail23.22-37085.9369272516250.6422156.64-6790.43-13406.092.390.8-0.019-1030.16
atrnil24.32-62003.323492526.4717934.7922156.64-8936.66-13406.092.010.72-0.03-1823.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0076, 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:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Dec 2018 (-1.93%)
2017211 May 2017 (-2.58%), 16 Jun 2017 (-1.02%)
2016102 Nov 2016 (-3.28%)
2015130 Mar 2015 (12.94%)
2014422 Jan 2014 (-3.9%), 07 May 2014 (14.16%), 01 Jul 2014 (-1.46%), 22 Jul 2014 (-2.49%)
2013122 Jul 2013 (-3.16%)
2010306 Apr 2010 (0.29%), 27 Apr 2010 (-3.07%), 07 Sep 2010 (-1.7%)
2005503 Jan 2005 (-3.78%), 04 Apr 2005 (-4.45%), 01 Jul 2005 (-2.1%), 04 Aug 2005 (12.29%), 05 Aug 2005 (-4.76%)
2004207 Oct 2004 (-3.99%), 21 Dec 2004 (-0.83%)
2003404 Apr 2003 (-1.02%), 20 Jun 2003 (-4.75%), 23 Jun 2003 (15.25%), 28 Jul 2003 (14.45%)
2002221 Jan 2002 (-6.29%), 05 Jul 2002 (-6.11%)
2001202 Jan 2001 (-2.72%), 24 Jan 2001 (-2.51%)
2000304 Jul 2000 (-3.53%), 20 Oct 2000 (-5.26%), 07 Dec 2000 (-2.39%)
1999209 Jun 1999 (-6.7%), 28 Jun 1999 (-5.9%)
1998219 Mar 1998 (16.35%), 06 Apr 1998 (16.62%)
1997105 Aug 1997 (-0.95%)



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