Study: Buy CESC 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 CESC 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 CESC 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
153870.5779403950.634892.5320000-3636.68-21248.841.351.380.022681.91
216113479433654.438037.8932476.19-5124.87-24976.561.571.870.0432039.67
320175879443555.79200.2335706.98-5801.48-23888.891.591.990.0492553.9
418183079473259.499491.840095.24-8258.89-26111.111.151.690.0372301.65
522463779473259.4911393.3764190.48-9714.11-31111.111.171.720.0392843.5
627671979453456.9613557.564285.71-9804.95-300001.381.830.0423502.77
735745179463358.2315527.8676653.74-10813.06-38333.331.4420.0474524.69
833363979433654.4317626.4483155.65-11786.07-39020.271.51.790.044223.27
946801679443555.720840.56139872-12827.67-38682.431.622.040.0445924.25
1049653879443555.721192.63155011-12455.37-32777.781.72.140.0456285.29
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=10, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020103 Apr 2020 (42.17%)
2019320 May 2019 (5.91%), 26 Jun 2019 (-1.26%), 09 Aug 2019 (2.8%)
2018526 Feb 2018 (-3.43%), 27 Mar 2018 (4.32%), 09 Jul 2018 (-4.8%), 12 Oct 2018 (-4.1%), 16 Nov 2018 (1.6%)
2017210 Jul 2017 (2.74%), 10 Oct 2017 (-2.8%)
2016601 Feb 2016 (-4.11%), 16 Feb 2016 (6.29%), 23 May 2016 (-1.14%), 16 Jun 2016 (3.15%), 02 Sep 2016 (-4.85%), 29 Nov 2016 (7.2%)
2015509 Mar 2015 (2.59%), 11 May 2015 (2.76%), 16 Jun 2015 (5.48%), 15 Sep 2015 (2.52%), 28 Dec 2015 (-5.05%)
2014205 Nov 2014 (3.37%), 26 Dec 2014 (5.74%)
2013505 Apr 2013 (1.91%), 06 Jun 2013 (-4.34%), 28 Aug 2013 (7.02%), 31 Oct 2013 (6.48%), 11 Dec 2013 (7.49%)
2012303 Jan 2012 (9.77%), 12 Mar 2012 (-4.46%), 19 Nov 2012 (13.84%)
2011214 Feb 2011 (-0.52%), 31 May 2011 (3.21%)
2010404 Jan 2010 (11.67%), 08 Jul 2010 (2.7%), 04 Nov 2010 (-4.7%), 06 Dec 2010 (0.04%)
2009405 Jan 2009 (-8.31%), 07 May 2009 (31.19%), 25 Sep 2009 (-0.05%), 16 Oct 2009 (-6.88%)
2008205 Feb 2008 (-6.49%), 31 Oct 2008 (8.24%)
2006307 Mar 2006 (4.83%), 05 Apr 2006 (-5.87%), 20 Jun 2006 (-2.32%)
2005108 Nov 2005 (13.37%)
2004307 Jan 2004 (-15.05%), 29 Jun 2004 (2.42%), 23 Dec 2004 (4.5%)
2003527 Jun 2003 (1.39%), 04 Aug 2003 (-4.2%), 22 Aug 2003 (-14.82%), 25 Sep 2003 (77.51%), 04 Nov 2003 (22.9%)
2002508 May 2002 (31.25%), 02 Jul 2002 (0.43%), 03 Oct 2002 (-16.39%), 24 Oct 2002 (0.67%), 17 Dec 2002 (18.33%)
2001328 Mar 2001 (-13.66%), 17 Aug 2001 (-2.55%), 26 Sep 2001 (1.93%)
2000211 Feb 2000 (-5.97%), 11 Oct 2000 (-5.75%)
1999124 Nov 1999 (7.6%)
1998310 Apr 1998 (-4.91%), 23 Jun 1998 (-2.24%), 10 Nov 1998 (-3.23%)
1997203 Jun 1997 (-7.02%), 15 Dec 1997 (17.84%)
1996408 Oct 1996 (-5.2%), 24 Oct 1996 (-13.68%), 11 Nov 1996 (-16.21%), 11 Dec 1996 (40.13%)
1995305 Apr 1995 (-11.62%), 18 May 1995 (2.96%), 24 Nov 1995 (15.97%)

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
atrtrail-16.2746937286335338.3725034170444-6731.13-17818.713.722.320.0375457.81
atrnil310.6249509386325437.2131304.2164750.06-9382.25-17818.713.341.980.0545756.9
atrnil26.9930922188375142.0520975.4743166.71-9154.34-17818.712.291.660.0443513.88
atrtrail35.319928686335338.3716849.5950569.23-6731.13-17818.712.51.560.0312317.28
atrtrail24.518117388345438.6416129.7233712.82-6800.69-17818.712.371.490.0322058.78

In the table above, row 1 shows the best exit criterion. Profit factor is 2.32. 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 38.37%, which is not acceptable. Avoid this strategy. Average return per trade is 2.73%, which is very good. Sharpe Ratio is 0.037, 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.
CESC Performance, Profit Factor:2.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020103 Apr 2020 (45.93%)
2019320 May 2019 (-3.36%), 26 Jun 2019 (-1.55%), 09 Aug 2019 (2.33%)
2018526 Feb 2018 (-2.56%), 27 Mar 2018 (-0.43%), 09 Jul 2018 (-2.99%), 12 Oct 2018 (-1.81%), 16 Nov 2018 (-0.33%)
2017310 Jul 2017 (0.94%), 10 Oct 2017 (-2.42%), 11 Oct 2017 (-1.35%)
2016601 Feb 2016 (-3.76%), 16 Feb 2016 (0.88%), 23 May 2016 (-2.8%), 16 Jun 2016 (-2.07%), 02 Sep 2016 (-2.17%), 29 Nov 2016 (-1.51%)
2015509 Mar 2015 (-0.42%), 11 May 2015 (4.88%), 16 Jun 2015 (3.7%), 15 Sep 2015 (4.27%), 28 Dec 2015 (-1.48%)
2014205 Nov 2014 (-3.56%), 26 Dec 2014 (1.08%)
2013505 Apr 2013 (-3.54%), 06 Jun 2013 (-1.67%), 28 Aug 2013 (-0.92%), 31 Oct 2013 (4.83%), 11 Dec 2013 (10.24%)
2012303 Jan 2012 (29.35%), 12 Mar 2012 (0.57%), 19 Nov 2012 (14.04%)
2011214 Feb 2011 (-1.58%), 31 May 2011 (0.47%)
2010404 Jan 2010 (4.68%), 08 Jul 2010 (4.01%), 04 Nov 2010 (-1.14%), 06 Dec 2010 (-3.43%)
2009705 Jan 2009 (-5.71%), 06 Jan 2009 (-5.99%), 07 May 2009 (-4.63%), 18 May 2009 (-5.15%), 19 May 2009 (7.47%), 25 Sep 2009 (-3.56%), 16 Oct 2009 (-3.47%)
2008205 Feb 2008 (-8.91%), 31 Oct 2008 (1.81%)
2006307 Mar 2006 (6.73%), 05 Apr 2006 (-3.65%), 20 Jun 2006 (-7.0%)
2005108 Nov 2005 (13.42%)
2004307 Jan 2004 (-0.44%), 29 Jun 2004 (-3.26%), 23 Dec 2004 (4.13%)
2003527 Jun 2003 (7.6%), 04 Aug 2003 (-6.06%), 22 Aug 2003 (-6.28%), 25 Sep 2003 (80.22%), 04 Nov 2003 (9.28%)
2002508 May 2002 (16.79%), 02 Jul 2002 (0.33%), 03 Oct 2002 (-6.49%), 24 Oct 2002 (7.11%), 17 Dec 2002 (12.09%)
2001328 Mar 2001 (-7.25%), 17 Aug 2001 (-2.13%), 26 Sep 2001 (-5.16%)
2000411 Feb 2000 (-6.31%), 11 Oct 2000 (-5.35%), 12 Oct 2000 (-5.6%), 23 Oct 2000 (-5.78%)
1999124 Nov 1999 (6.93%)
1998310 Apr 1998 (-2.89%), 23 Jun 1998 (2.11%), 10 Nov 1998 (-3.61%)
1997303 Jun 1997 (-2.17%), 13 Jun 1997 (-1.26%), 15 Dec 1997 (2.17%)
1996408 Oct 1996 (-0.07%), 24 Oct 1996 (-5.56%), 11 Nov 1996 (-3.46%), 11 Dec 1996 (85.22%)
1995305 Apr 1995 (-1.7%), 18 May 1995 (-2.66%), 24 Nov 1995 (17.44%)



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