Study: Buy CHOLAFIN 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 CHOLAFIN 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 CHOLAFIN 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
1465.5573343946.585410.1636203.09-4704.61-26700.91.1510.000176.38
211174573353847.958182.1642163.36-4595.54-14124.291.781.640.0331530.75
310541373334045.219909.2953200.88-5539.83-23709.91.791.480.0271444.02
418345473403354.7911292.9273730.68-8129.19-33751.741.391.680.0352513.06
518514273403354.7910180.3857232.99-6729.48-32635.981.511.830.042536.19
620004973373650.6812481.0875484.45-7270.86-33751.741.721.760.0382740.4
728114273442960.2711509.2780216.31-7767.78-37377.961.482.250.0533851.26
827658473442960.2711663.8979900.86-8159.56-37099.021.432.170.0513788.82
923186373413256.1612047.6366696.71-8190.33-41004.181.471.880.0443176.2
1028481773393453.4214497.8779675.53-8252.92-36820.081.762.020.0493901.61
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CHOLAFIN Performance, X=7, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-1.74%), 20 May 2019 (2.91%), 14 Jun 2019 (-4.6%)
2018112 Oct 2018 (-0.57%)
2017216 Mar 2017 (1.69%), 27 Jul 2017 (2.36%)
2016331 May 2016 (1.87%), 30 Aug 2016 (-5.76%), 20 Dec 2016 (13.53%)
2015213 Feb 2015 (2.39%), 20 May 2015 (-4.57%)
2014310 Jan 2014 (-1.9%), 19 May 2014 (5.81%), 05 Jun 2014 (0.66%)
2013504 Jan 2013 (0.21%), 25 Apr 2013 (0.99%), 25 Oct 2013 (7.33%), 25 Nov 2013 (1.72%), 11 Dec 2013 (-3.86%)
2012319 Mar 2012 (0.34%), 12 Jun 2012 (1.61%), 10 Sep 2012 (-0.96%)
2011221 Feb 2011 (7.34%), 02 Sep 2011 (3.51%)
2010816 Feb 2010 (-3.95%), 26 Mar 2010 (5.07%), 29 Apr 2010 (-3.39%), 23 Jun 2010 (0.22%), 07 Jul 2010 (8.24%), 02 Sep 2010 (3.67%), 20 Sep 2010 (-0.29%), 06 Oct 2010 (-3.07%)
2009204 Mar 2009 (10.13%), 12 Nov 2009 (1.43%)
2008320 Feb 2008 (-7.71%), 28 Mar 2008 (-8.63%), 31 Oct 2008 (8.31%)
2007314 Mar 2007 (-0.8%), 29 Jun 2007 (23.78%), 04 Dec 2007 (40.11%)
2006610 Feb 2006 (-4.88%), 20 Jun 2006 (-0.89%), 03 Aug 2006 (10.32%), 10 Oct 2006 (-1.49%), 31 Oct 2006 (-1.68%), 18 Dec 2006 (-3.24%)
2005303 Feb 2005 (5.21%), 06 Apr 2005 (7.85%), 01 Jun 2005 (10.05%)
2004317 Feb 2004 (-3.0%), 09 Jun 2004 (-1.0%), 11 Nov 2004 (6.28%)
2002711 Mar 2002 (4.11%), 02 May 2002 (6.94%), 31 May 2002 (4.46%), 09 Aug 2002 (2.14%), 01 Oct 2002 (0.99%), 31 Oct 2002 (-4.16%), 22 Nov 2002 (5.6%)
2001305 Jan 2001 (-2.44%), 16 Mar 2001 (-1.4%), 07 Aug 2001 (0.35%)
2000116 Nov 2000 (0.47%)
1998429 Jun 1998 (1.67%), 13 Aug 1998 (7.14%), 18 Sep 1998 (-18.69%), 26 Oct 1998 (-4.7%)
1997301 Mar 1997 (-3.8%), 27 Mar 1997 (2.19%), 30 Oct 1997 (-9.47%)
1996302 Feb 1996 (13.69%), 17 May 1996 (0.95%), 16 Dec 1996 (7.56%)

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
atrnil26.716252086355140.718833.2543174.53-9738.12-34041.261.931.330.0261889.76
atrnil311.0812568079235629.1129324.9564761.79-9799.88-34041.262.991.230.0171590.89
atrtrail24.7754321.788345438.6413407.9830448.46-7436.1-20003.871.81.140.011617.29
atrtrail-16.1132901.9983305336.1414053.4264645.98-7333.97-20003.871.921.080.0056396.41
atrtrail35.5112464.2884315336.912940.840456.76-7333.97-20003.871.761.030.0025148.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 40.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
CHOLAFIN Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-3.33%), 20 May 2019 (-3.69%), 14 Jun 2019 (-6.61%)
2018112 Oct 2018 (-6.73%)
2017316 Mar 2017 (-2.96%), 17 Mar 2017 (6.36%), 27 Jul 2017 (-3.04%)
2016331 May 2016 (6.62%), 30 Aug 2016 (-3.46%), 20 Dec 2016 (10.9%)
2015213 Feb 2015 (8.74%), 20 May 2015 (-3.74%)
2014310 Jan 2014 (-4.39%), 19 May 2014 (8.68%), 05 Jun 2014 (-6.37%)
2013404 Jan 2013 (-4.99%), 25 Apr 2013 (7.69%), 25 Oct 2013 (6.14%), 25 Nov 2013 (-3.5%)
2012419 Mar 2012 (7.43%), 29 Mar 2012 (-3.45%), 12 Jun 2012 (8.19%), 10 Sep 2012 (-5.01%)
2011221 Feb 2011 (-6.54%), 02 Sep 2011 (-4.28%)
20101016 Feb 2010 (-5.06%), 17 Feb 2010 (-5.74%), 26 Mar 2010 (-6.97%), 29 Apr 2010 (11.33%), 30 Apr 2010 (-5.8%), 23 Jun 2010 (10.26%), 02 Sep 2010 (8.34%), 20 Sep 2010 (8.27%), 06 Oct 2010 (-3.85%), 07 Oct 2010 (-4.23%)
2009204 Mar 2009 (21.59%), 12 Nov 2009 (12.46%)
2008320 Feb 2008 (-6.9%), 28 Mar 2008 (-10.0%), 31 Oct 2008 (-17.02%)
2007514 Mar 2007 (-6.6%), 29 Jun 2007 (8.2%), 06 Jul 2007 (8.1%), 09 Jul 2007 (8.28%), 04 Dec 2007 (11.11%)
2006810 Feb 2006 (-4.55%), 20 Jun 2006 (-7.78%), 03 Aug 2006 (12.39%), 10 Oct 2006 (-2.97%), 11 Oct 2006 (-3.23%), 31 Oct 2006 (-3.59%), 18 Dec 2006 (-3.8%), 19 Dec 2006 (-4.02%)
2005303 Feb 2005 (8.61%), 06 Apr 2005 (-5.09%), 01 Jun 2005 (10.11%)
2004317 Feb 2004 (-5.83%), 09 Jun 2004 (-6.35%), 11 Nov 2004 (7.57%)
2002811 Mar 2002 (-4.96%), 12 Mar 2002 (13.49%), 02 May 2002 (9.41%), 31 May 2002 (11.67%), 09 Aug 2002 (9.86%), 01 Oct 2002 (-2.62%), 31 Oct 2002 (5.67%), 22 Nov 2002 (4.93%)
2001505 Jan 2001 (-3.38%), 08 Jan 2001 (-3.56%), 16 Mar 2001 (-5.86%), 27 Mar 2001 (10.26%), 07 Aug 2001 (-3.94%)
2000116 Nov 2000 (-3.09%)
1998529 Jun 1998 (6.9%), 13 Aug 1998 (6.56%), 18 Sep 1998 (-2.69%), 21 Sep 1998 (-2.83%), 26 Oct 1998 (-2.93%)
1997401 Mar 1997 (9.02%), 27 Mar 1997 (-4.19%), 02 Apr 1997 (-4.45%), 30 Oct 1997 (-4.19%)
1996402 Feb 1996 (9.24%), 17 May 1996 (-3.98%), 20 May 1996 (-4.18%), 16 Dec 1996 (15.22%)



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