Study: Buy COLPAL 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 COLPAL 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 COLPAL 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
1-26706.963592625.712714.885890.1-1966.96-8776.161.380.48-0.079-763.06
21645.51351421403779.1911761.6-2441.1-10923.421.551.030.003347.01
314076.9135161945.714663.5512091.61-3186.31-10371.831.461.230.024402.2
47968.9435112431.437161.6414652.5-2950.38-11376.512.431.110.012227.68
542493.0335161945.717086.9816645.77-3731.51-11662.151.91.60.0541214.09
650479.4435191654.296458.6318876.64-4514.66-9880.821.431.70.0611442.27
741880.8135191654.296702.7915866.94-5342.01-11400.191.251.490.0481196.59
827010.9351421408059.4814824.04-4086.76-11268.161.971.310.032771.74
941182.2635191654.296822.5615389.66-5527.9-13267.671.231.470.0451176.64
1075220.2135201557.148159.6117107.78-5864.8-15513.421.391.860.0742149.15
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
atrtrail34.7124888.2638152339.477764.3921331.83-3981.63-6572.681.951.270.027654.95
atrnil25.3124565.3239142535.91083514221.22-5084.99-8677.262.131.190.024629.88
atrtrail24.3112704.0539152438.467234.3514221.22-3992.13-6572.681.811.130.015325.74
atrtrail-15.16-4122.4538152339.475830.3417510.19-3981.63-6572.681.460.95-0.0055-108.49
atrnil310.59-49211.663773018.9215542.5421331.83-5266.98-8677.262.950.69-0.046-1330.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 39.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
COLPAL Performance, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 May 2019 (-1.09%), 29 Aug 2019 (-0.3%)
2018513 Mar 2018 (-1.94%), 02 May 2018 (-1.62%), 15 May 2018 (5.26%), 31 Jul 2018 (-2.41%), 12 Dec 2018 (1.62%)
2017225 Apr 2017 (-1.91%), 03 Jul 2017 (-2.12%)
2016610 Feb 2016 (-2.58%), 15 Feb 2016 (-2.67%), 21 Jul 2016 (-0.87%), 08 Aug 2016 (-2.52%), 09 Aug 2016 (-2.84%), 08 Sep 2016 (-2.05%)
2015301 Jan 2015 (7.0%), 17 Jun 2015 (0.34%), 15 Sep 2015 (-0.56%)
2014302 Jul 2014 (0.47%), 17 Jul 2014 (-2.28%), 10 Nov 2014 (6.84%)
2013319 Feb 2013 (-1.87%), 28 Jun 2013 (-2.99%), 05 Sep 2013 (-2.38%)
2012309 Mar 2012 (1.06%), 28 Mar 2012 (0.32%), 21 Dec 2012 (3.27%)
2011405 Apr 2011 (-2.26%), 11 May 2011 (-2.94%), 16 Jun 2011 (10.67%), 25 Aug 2011 (4.0%)
2010404 Jan 2010 (-1.33%), 31 May 2010 (8.76%), 08 Sep 2010 (1.72%), 21 Sep 2010 (6.69%)
2009223 Mar 2009 (-0.98%), 23 Apr 2009 (0.22%)
2008103 Jul 2008 (-3.29%)



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