Study: Buy GODREJCP 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 GODREJCP 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 GODREJCP 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
1-19743.362293346.772723.858665.89-2991.97-7929.420.910.8-0.021-318.44
2-10092.9762273543.554704.1711827.07-3917.3-9857.331.20.93-0.0074-162.79
310655.8862303248.395979.6220417.63-5272.9-17889.911.131.060.0055171.87
438395.362283445.16757134802.7-5105.67-28440.371.481.220.016619.28
567697.2662323051.617229.5441166.01-5454.94-31559.631.331.410.0261091.89
618042.5262283445.167890.5338747.1-5967.42-25963.31.321.090.0067291.01
768171.9962342854.848281.0260324.83-7620.81-30825.691.091.320.0211099.55
894060.9862303248.399729.5355626.45-6182.03-32844.041.571.480.0291517.11
914588662323051.6110961.8149825.99-6829.73-30458.721.611.710.0442353
1017485962342854.8410765.3149129.93-6827.2-31559.631.581.910.0532820.31
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
atrnil26.6911861767264138.8116803.6332375.12-7762.87-12244.212.161.370.0331770.4
atrtrail24.9386065.567274040.31245023318.25-6252.11-12244.211.991.340.0281284.56
atrtrail35.6483509.9667264138.8112904.6234977.38-6146.59-12244.212.11.330.0251246.42
atrnil312.1379441.7463184528.5724462.2435171.91-8019.52-16187.563.051.220.021260.98
atrtrail-16.131602.6367254237.3110315.8246859.34-6102.21-12244.211.691.010.0005323.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 38.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
GODREJCP Performance, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019716 Apr 2019 (-2.09%), 15 May 2019 (4.52%), 06 Aug 2019 (5.96%), 09 Sep 2019 (6.41%), 11 Oct 2019 (5.88%), 30 Oct 2019 (-2.68%), 07 Nov 2019 (-2.84%)
2018220 Aug 2018 (-2.48%), 16 Oct 2018 (-5.28%)
2017203 Jul 2017 (-2.59%), 29 Aug 2017 (7.25%)
2016122 Jun 2016 (-2.6%)
2014105 Feb 2014 (7.94%)
2013517 Jan 2013 (-2.81%), 04 Feb 2013 (-2.93%), 25 Apr 2013 (-4.44%), 15 May 2013 (-3.53%), 04 Jun 2013 (-3.27%)
2012420 Mar 2012 (-2.93%), 20 Jul 2012 (5.85%), 21 Aug 2012 (-3.11%), 19 Dec 2012 (6.39%)
2011515 Feb 2011 (-5.56%), 03 May 2011 (-3.74%), 30 Aug 2011 (-3.77%), 14 Oct 2011 (7.17%), 01 Dec 2011 (-3.68%)
2010513 May 2010 (-4.92%), 04 Jun 2010 (11.72%), 03 Sep 2010 (7.72%), 26 Oct 2010 (7.86%), 27 Dec 2010 (9.13%)
2009516 Jul 2009 (11.66%), 28 Aug 2009 (10.16%), 17 Sep 2009 (-4.66%), 07 Oct 2009 (-4.6%), 27 Oct 2009 (11.56%)
2008524 Jul 2008 (-4.52%), 14 Oct 2008 (-5.25%), 21 Oct 2008 (-5.54%), 22 Oct 2008 (-5.86%), 05 Nov 2008 (11.44%)
2007405 Jan 2007 (-3.5%), 15 Mar 2007 (-4.09%), 17 May 2007 (7.82%), 29 Oct 2007 (8.39%)
2006619 Jan 2006 (8.49%), 13 Feb 2006 (7.42%), 27 Feb 2006 (7.63%), 31 Mar 2006 (-4.62%), 19 Jun 2006 (16.19%), 26 Dec 2006 (-3.48%)
2005305 May 2005 (7.94%), 26 Oct 2005 (-3.9%), 27 Oct 2005 (8.04%)
2004201 Apr 2004 (-4.99%), 20 May 2004 (-4.59%)
2003704 Feb 2003 (-2.76%), 02 Apr 2003 (-2.37%), 07 May 2003 (-3.25%), 23 May 2003 (-2.98%), 16 Jul 2003 (-3.77%), 03 Nov 2003 (-3.76%), 24 Nov 2003 (7.9%)
2002308 Feb 2002 (-4.58%), 09 Jul 2002 (-4.67%), 23 Jul 2002 (-6.12%)



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