Study: Buy FEDERALBNK 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 FEDERALBNK 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 FEDERALBNK 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
146698.4472373551.394097.731914.89-2997.61-11098.781.371.450.024648.59
233056.372333945.836312.9727845.42-4494.15-16684.361.41.190.013459.12
346997.1372333945.839396.3838221.28-6745.73-25632.691.391.180.013652.74
44338.2272304241.6710752.437268.4-7576.99-31855.121.421.010.001160.25
555168.5572353748.6111122.2538327.16-9030.01-32505.221.231.170.012766.23
640141.9472324044.4413291.2950027.86-9629.48-36905.871.381.10.0075557.53
777427.6772324044.4415175.8451032.29-10204.98-42497.671.491.190.0131075.38
872650.5972333945.8315142.9153292.81-10950.39-40260.951.381.170.0121009.04
92226.5172343847.2214536.748067.76-12947.93-37314.251.1210.0003630.92
10-68615.4471343747.8913959.8946908.08-14682.48-40118.580.950.87-0.011-966.41

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 51.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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
nilnil-1146698.4472373551.394097.731914.89-2997.61-11098.781.371.450.024648.59
atrnil38.3274678.6481225927.1627047.2949722.73-8819.69-22246.973.071.140.011921.96
atrtrail34.8436592.9582255730.4915423.549722.73-6122.71-12368.812.521.10.0076446.26
atrtrail-15.3929610.2882255730.4915144.1943539.17-6122.71-12368.812.471.080.0063361.1
atrtrail24.15-4180.6884265830.9513867.3633148.49-6288.48-15737.632.210.99-0.00097-49.77
atrnil26.49-42264.184275732.1417530.2533148.49-9045.28-22246.971.940.92-0.0079-503.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 51.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
FEDERALBNK Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Feb 2019 (-0.31%), 21 May 2019 (0.1%), 01 Jul 2019 (-0.5%), 20 Aug 2019 (-3.01%), 01 Nov 2019 (2.73%)
2018516 Feb 2018 (-2.6%), 07 May 2018 (2.22%), 30 May 2018 (-1.51%), 09 Oct 2018 (4.03%), 30 Nov 2018 (-1.06%)
2017426 Apr 2017 (-0.11%), 30 Aug 2017 (-0.32%), 28 Nov 2017 (-0.62%), 18 Dec 2017 (1.34%)
2016105 Feb 2016 (0.66%)
2015329 Apr 2015 (0.5%), 18 Aug 2015 (-0.22%), 16 Nov 2015 (0.09%)
2014622 Jan 2014 (-0.06%), 26 Feb 2014 (2.26%), 10 Apr 2014 (-0.92%), 14 May 2014 (-1.78%), 06 Jun 2014 (0.63%), 30 Jun 2014 (-1.8%)
2013322 Apr 2013 (-2.98%), 11 Jul 2013 (-1.22%), 05 Aug 2013 (-4.91%)
2012325 May 2012 (0.42%), 07 Aug 2012 (1.77%), 03 Dec 2012 (-0.02%)
2011411 Feb 2011 (2.88%), 03 Mar 2011 (2.63%), 30 Aug 2011 (-1.24%), 02 Dec 2011 (0.04%)
2010131 Dec 2010 (1.74%)
2009216 Mar 2009 (0.08%), 18 May 2009 (4.85%)
2008422 Feb 2008 (0.46%), 02 Apr 2008 (1.59%), 18 Jun 2008 (-3.46%), 05 Nov 2008 (-2.47%)
2006221 Jun 2006 (3.53%), 15 Sep 2006 (-2.69%)
2005208 Mar 2005 (-0.35%), 09 Nov 2005 (0.03%)
2004511 Feb 2004 (-1.11%), 15 Apr 2004 (2.83%), 27 May 2004 (-1.41%), 20 Jul 2004 (-0.43%), 20 Dec 2004 (-0.44%)
2003313 Jan 2003 (0.05%), 21 Feb 2003 (0.74%), 17 Jul 2003 (-1.43%)
2002205 Mar 2002 (15.96%), 07 Aug 2002 (-1.57%)
2001313 Jul 2001 (1.16%), 28 Sep 2001 (-2.57%), 06 Dec 2001 (3.05%)
1999224 Aug 1999 (-5.55%), 06 Oct 1999 (5.07%)
1998426 May 1998 (0.11%), 26 Oct 1998 (-0.56%), 10 Nov 1998 (-0.63%), 03 Dec 1998 (4.01%)
1997226 Sep 1997 (-1.52%), 26 Nov 1997 (2.13%)
1996418 Jul 1996 (0.98%), 27 Aug 1996 (-1.08%), 15 Oct 1996 (1.02%), 20 Dec 1996 (2.79%)
1995225 Sep 1995 (0.38%), 14 Dec 1995 (0.93%)



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