Study: Buy CONCOR 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 CONCOR 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 CONCOR 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
154134.4264333151.564863.0613026.32-3430.53-14250.211.421.510.035845.85
256472.3564362856.256142.1517730.26-5880.17-56393.261.041.340.02882.38
351581.7764362856.256873.7322105.26-6995.45-59210.160.981.260.017805.97
463326.21643232509470.9426094.51-7492-56338.031.261.260.019989.47
590085.264352954.6910212.3128631.18-9218.81-50593.761.111.340.0241407.58
676648.5864343053.1211194.3126343.54-10131.94-49599.561.11.250.0191197.63
761483.0364333151.5610928.0730099.2-9649.78-53189.731.131.210.016960.67
8992.3664303446.8810674.4331084.02-9389.43-49875.721.1410.0002715.51
9-3219.2264333151.5610518.5134934.21-11300.97-54073.460.930.99-0.00078-50.3
103439.3964352954.6910102.7130263.16-12074.33-51035.630.841.010.0008553.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.51. 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 51.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil38.9722296471274438.0322626.0141337.61-8816.79-18084.832.571.570.0453140.33
nilnil-1154134.4264333151.564863.0613026.32-3430.53-14250.211.421.510.035845.85
atrtrail34.7213552072314143.0613954.138894.01-7245.29-18084.831.931.460.0341882.23
atrnil25.6613559974334144.5915119.7927558.41-8862.3-18084.831.711.370.0331832.41
atrtrail24.0982874.9776344244.7411484.1425929.34-7323.47-18084.831.571.270.0231090.46
atrtrail-15.59-37887.1270304042.868360.2125997.58-7217.34-18084.831.160.87-0.014-541.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. 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 38.03%, which is not acceptable. Avoid this strategy. Average return per trade is 1.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
CONCOR Performance, Profit Factor:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (9.39%), 20 Jun 2019 (-2.52%), 23 Aug 2019 (9.28%)
2018327 Mar 2018 (8.16%), 02 Jul 2018 (-3.85%), 29 Oct 2018 (-4.76%)
2017103 Feb 2017 (8.18%)
2016301 Jan 2016 (-2.96%), 15 Feb 2016 (-4.22%), 12 Dec 2016 (-3.35%)
2015509 Apr 2015 (-3.66%), 01 Jul 2015 (10.19%), 10 Sep 2015 (-4.9%), 30 Sep 2015 (-4.88%), 31 Dec 2015 (8.17%)
2014524 Mar 2014 (9.76%), 25 Apr 2014 (-4.02%), 09 May 2014 (12.63%), 17 Jul 2014 (-5.08%), 23 Sep 2014 (10.99%)
2013703 Apr 2013 (-3.85%), 04 Apr 2013 (13.09%), 26 Apr 2013 (-3.57%), 16 May 2013 (-3.14%), 03 Jun 2013 (-4.12%), 14 Oct 2013 (-3.17%), 15 Oct 2013 (9.89%)
2012317 Feb 2012 (-3.45%), 28 Mar 2012 (10.86%), 14 Dec 2012 (8.2%)
2011219 Jan 2011 (-3.22%), 22 Feb 2011 (10.19%)
2010315 Jan 2010 (-3.54%), 21 Apr 2010 (-3.25%), 31 Dec 2010 (-3.27%)
2009407 May 2009 (-3.46%), 08 May 2009 (-3.67%), 21 Jul 2009 (11.72%), 20 Aug 2009 (-3.76%)
2008419 Jun 2008 (-5.62%), 05 Sep 2008 (-3.11%), 06 Nov 2008 (-7.39%), 02 Dec 2008 (20.67%)
2007222 Jun 2007 (12.45%), 16 Nov 2007 (-4.73%)
2005315 Jun 2005 (-2.63%), 06 Sep 2005 (11.22%), 22 Nov 2005 (11.03%)
2004404 Jun 2004 (-8.91%), 30 Aug 2004 (11.0%), 29 Sep 2004 (9.32%), 30 Sep 2004 (-4.33%)
2003517 Jun 2003 (10.81%), 30 Jul 2003 (-3.64%), 31 Jul 2003 (-3.76%), 25 Sep 2003 (-4.27%), 05 Nov 2003 (-5.12%)
2002602 Apr 2002 (16.06%), 02 May 2002 (-5.36%), 09 Aug 2002 (-3.75%), 26 Aug 2002 (-3.63%), 04 Oct 2002 (12.12%), 02 Dec 2002 (8.33%)
2000303 Jan 2000 (-5.13%), 13 Jan 2000 (19.45%), 16 Mar 2000 (-9.04%)
1999503 Feb 1999 (-8.08%), 20 Apr 1999 (-6.69%), 13 Aug 1999 (12.28%), 11 Oct 1999 (-4.31%), 12 Oct 1999 (-4.83%)



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