Study: Buy GRASIM 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 GRASIM 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 GRASIM 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
112578786473954.655212.1924020.18-3056.05-14267.41.712.060.0531462.64
217056386483855.817349.8832966.1-4795.57-18492.821.531.940.0461983.29
320138686473954.658403.951610.17-4964.03-18523.321.692.040.0442341.7
428868186513559.39427.3171779.66-5488.91-20012.951.722.50.0513356.75
535259586533361.6310572.8978813.56-6296.01-20272.021.682.70.0594099.94
624282986483855.8111163.4271101.69-7710.94-33674.631.451.830.0412823.59
732686986513559.312689.0492796.61-9150.64-33054.091.392.020.0473800.8
837127186513559.313428.26116271-8959.16-39776.611.52.180.0484317.1
938670586513559.314080.9392881.36-9469.22-39436.621.492.170.0514496.57
1045031086563065.1213554.6692711.86-10291.69-42569.041.322.460.0585236.16

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 2.7. 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 61.63%, which is good. Average return per trade is 2.05%, which is very good. Sharpe Ratio is 0.059, 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.
GRASIM Performance, X=5, Profit Factor:2.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019513 Feb 2019 (4.27%), 01 Apr 2019 (-1.97%), 16 Apr 2019 (4.67%), 24 May 2019 (-2.63%), 26 Aug 2019 (-5.57%)
2018217 Apr 2018 (-1.31%), 01 Nov 2018 (2.67%)
2017420 Mar 2017 (-0.0%), 20 Apr 2017 (0.41%), 07 Aug 2017 (-1.46%), 18 Dec 2017 (1.36%)
2016512 May 2016 (-0.16%), 02 Aug 2016 (3.9%), 06 Sep 2016 (0.33%), 29 Nov 2016 (2.91%), 29 Dec 2016 (2.64%)
2015204 Aug 2015 (-1.19%), 10 Sep 2015 (0.9%)
2014222 Jul 2014 (-3.88%), 22 Sep 2014 (-3.69%)
2013431 Jan 2013 (1.77%), 15 Apr 2013 (2.59%), 21 Jun 2013 (-0.83%), 30 Aug 2013 (4.49%)
2012406 Jun 2012 (1.75%), 30 Jul 2012 (5.32%), 14 Sep 2012 (2.96%), 30 Nov 2012 (-3.34%)
2011431 May 2011 (-0.66%), 30 Jun 2011 (6.92%), 12 Oct 2011 (-1.7%), 26 Oct 2011 (0.48%)
2010411 Jun 2010 (-3.3%), 03 Sep 2010 (3.16%), 04 Nov 2010 (0.48%), 02 Dec 2010 (-0.41%)
2009516 Mar 2009 (3.42%), 23 Apr 2009 (5.7%), 18 May 2009 (-3.31%), 03 Jun 2009 (5.81%), 05 Nov 2009 (3.84%)
2008404 Feb 2008 (-9.99%), 21 May 2008 (-3.14%), 16 Jul 2008 (7.69%), 04 Nov 2008 (-6.64%)
2007219 Mar 2007 (1.45%), 11 Oct 2007 (-6.08%)
2006728 Feb 2006 (5.2%), 03 Apr 2006 (1.55%), 02 May 2006 (-1.41%), 15 Jun 2006 (2.04%), 14 Sep 2006 (3.35%), 12 Oct 2006 (-0.27%), 30 Oct 2006 (2.66%)
2005513 Apr 2005 (-0.02%), 09 Jun 2005 (0.27%), 11 Jul 2005 (4.54%), 14 Sep 2005 (1.69%), 02 Nov 2005 (5.23%)
2004128 Jun 2004 (4.9%)
2003520 May 2003 (3.39%), 18 Jun 2003 (7.34%), 31 Jul 2003 (4.29%), 29 Oct 2003 (15.11%), 15 Dec 2003 (4.25%)
2002126 Dec 2002 (6.35%)
2001203 Jan 2001 (-1.17%), 09 Apr 2001 (-2.82%)
2000225 May 2000 (1.51%), 19 Oct 2000 (9.65%)
1999404 May 1999 (39.41%), 07 Jun 1999 (27.53%), 07 Jul 1999 (24.92%), 17 Sep 1999 (-9.64%)
1998423 Feb 1998 (4.27%), 14 Aug 1998 (-6.46%), 04 Sep 1998 (-4.41%), 26 Oct 1998 (-10.14%)
1997315 Apr 1997 (4.05%), 10 Oct 1997 (-2.18%), 11 Nov 1997 (-2.64%)
1996323 Aug 1996 (-1.45%), 11 Oct 1996 (4.05%), 09 Dec 1996 (7.06%)
1995205 May 1995 (0.62%), 01 Dec 1995 (3.05%)

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-1535259586533361.6310572.8978813.56-6296.01-20272.021.682.70.0594099.94
atrnil39.5446968795395641.0522287.1853419.05-7134.16-20459.193.122.180.0634944.08
atrnil26.8834873195464948.4215043.1535612.7-7005.18-20459.192.152.020.0613670.85
atrtrail-15.9325401395445146.3212302.5598998.99-5633.32-20459.192.181.880.0362673.82
atrtrail35.1924996695445146.3212210.5841481.33-5633.32-20459.192.171.870.0432631.22
atrtrail24.3121304795445146.3211371.5233536.29-5633.32-20459.192.021.740.0432242.6

In the table above, row 1 shows the best exit criterion. Profit factor is 2.7. 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 61.63%, which is good. Average return per trade is 2.05%, which is very good. Sharpe Ratio is 0.059, 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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