Study: Buy GODFRYPHLP 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 GODFRYPHLP 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 GODFRYPHLP 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
162743.4763243938.17034.8935294.12-2720.36-10857.142.591.590.029995.93
211668663263741.2710928.9849911.92-4526.14-15895.972.411.70.0341852.16
320209763273642.8615692.0696550.21-6155.23-20288.232.551.910.0363207.9
423755963263741.271901171432.77-6938.57-28748.22.741.930.0433770.78
535882163303347.6221206.7191077.44-8405.48-28910.12.522.290.0525695.56
633922163293446.0321795.0992742.24-8612.85-25762.882.532.160.0495384.46
730946063303347.6221498.0482017.03-10166.1-33550.112.111.920.0434912.06
832198863263741.2724618.9395847.36-8597.42-33651.512.862.010.0445110.92
928616063313249.2120563.0876842.5-10977.99-37332.341.871.810.0414542.22
1020857063333052.3818581.1679962.87-13486.95-38629.981.381.520.0293310.63

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 2.29. 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 47.62%, which is not acceptable. Avoid this strategy. Average return per trade is 2.85%, which is very good. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GODFRYPHLP Performance, X=5, Profit Factor:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-10.48%)
2018311 Jun 2018 (-2.29%), 30 Aug 2018 (2.32%), 16 Oct 2018 (-3.31%)
2017118 Aug 2017 (-3.31%)
2016117 May 2016 (-4.19%)
2015429 Jan 2015 (-3.16%), 04 Mar 2015 (-0.5%), 14 Oct 2015 (42.17%), 16 Nov 2015 (19.44%)
2014201 Jul 2014 (-4.39%), 21 Jul 2014 (-1.17%)
2013307 Mar 2013 (-0.33%), 30 Apr 2013 (19.99%), 24 Jun 2013 (-1.16%)
2012113 Aug 2012 (2.3%)
2011518 Jul 2011 (-2.95%), 06 Sep 2011 (-1.85%), 21 Sep 2011 (-3.81%), 05 Dec 2011 (-4.06%), 28 Dec 2011 (-4.24%)
2010520 Jan 2010 (-5.03%), 27 May 2010 (1.27%), 24 Aug 2010 (-2.66%), 01 Nov 2010 (14.2%), 06 Dec 2010 (-3.35%)
2009418 Feb 2009 (-14.46%), 20 May 2009 (4.98%), 07 Jul 2009 (1.44%), 23 Nov 2009 (1.38%)
2008410 Jun 2008 (-1.37%), 11 Jul 2008 (0.61%), 28 Oct 2008 (6.07%), 02 Dec 2008 (0.41%)
2007419 Mar 2007 (0.41%), 14 Aug 2007 (-2.66%), 16 Nov 2007 (-0.19%), 31 Dec 2007 (31.71%)
2006103 Oct 2006 (4.98%)
2005220 Jan 2005 (4.34%), 26 Nov 2005 (26.07%)
2004413 Jan 2004 (-2.41%), 16 Aug 2004 (1.75%), 17 Nov 2004 (9.49%), 22 Dec 2004 (-2.9%)
2003507 Apr 2003 (-4.16%), 10 Jun 2003 (-2.12%), 24 Jun 2003 (4.96%), 07 Aug 2003 (14.87%), 09 Oct 2003 (3.22%)
2002108 Feb 2002 (-6.62%)
2001215 Mar 2001 (-12.06%), 06 Dec 2001 (4.68%)
2000217 Feb 2000 (-0.17%), 05 Apr 2000 (4.18%)
1999302 Jul 1999 (45.54%), 27 Oct 1999 (-13.37%), 19 Nov 1999 (13.28%)
1998222 Apr 1998 (-9.7%), 26 Jun 1998 (9.91%)
1996202 Feb 1996 (18.79%), 22 Jul 1996 (-4.26%)
1995117 May 1995 (3.33%)

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-1535882163303347.6221206.7191077.44-8405.48-28910.12.522.290.0525695.56
atrtrail-15.4624596870254535.7122092.5981777.38-6807.7-16209.13.251.80.0363513.84
atrnil36.6821499173244932.8825916.4238036.55-8306.19-16209.13.121.530.0362945.08
atrtrail34.4316971774274736.4918368.3638036.55-6941.03-16209.12.651.520.0342293.47
atrtrail24.0586573.7274274736.4915288.9825357.7-6941.03-16209.12.21.270.0211169.92
atrnil24.919515974284637.8417070.8525357.7-8322.28-16209.12.051.250.0211285.93

In the table above, row 1 shows the best exit criterion. Profit factor is 2.29. 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 47.62%, which is not acceptable. Avoid this strategy. Average return per trade is 2.85%, which is very good. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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