Study: Buy GSFC 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 GSFC 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 GSFC 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
13921677334442.866245.8527395.32-3793.11-11927.271.651.230.016509.3
223096.2977344344.167622.0755000-5489.63-17441.861.391.10.0063299.95
3-59883.8477304738.969159.2636000-7120.46-22868.221.290.82-0.016-777.71
4-8502.2977294837.6612638.249000-7812.71-29515.941.620.98-0.0017-110.42
5-22072.9377314640.2612959.5980000-9213.48-26839.831.410.95-0.0038-286.66
6-20668.1977314640.2613069.8577500-9257.25-28941.941.410.95-0.0035-268.42
7-32773.9977314640.2614623.9958000-10567.77-29472.441.380.93-0.0053-425.64
8-8606.6677334442.8615574.4862000-11876.46-49454.551.310.98-0.0012-111.77
9-12699.6877354245.4516827.2282500-14325.06-52363.641.170.98-0.0016-164.93
1027438.3677334442.8619221.1171000-13792.24-42322.431.391.050.0035356.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.23. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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
atrtrail-15.2684269786246227.9156047.54918930-8103.93-17400.396.922.680.029798.81
nilnil-113921677334442.866245.8527395.32-3793.11-11927.271.651.230.016509.3
atrnil37.4-13042.6785216424.7131096.3357773.04-10407.27-21763.692.990.98-0.0017-153.44
atrnil25.2-53949.9487276031.0321052.7143527.37-10372.89-17572.872.030.91-0.0083-620.11
atrtrail23.85-50496.8288276130.6816480.2438515.36-8122.35-17400.392.030.9-0.0093-573.83
atrtrail34.59-88980.686246227.9117227.6357773.04-8103.93-17400.392.130.82-0.015-1034.66

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. 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 27.91%, which is not acceptable. Avoid this strategy. Average return per trade is 4.9%, which is very good. Sharpe Ratio is 0.02, 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.
GSFC Performance, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018613 Mar 2018 (-1.95%), 03 Apr 2018 (4.3%), 08 Jun 2018 (-1.99%), 09 Jul 2018 (0.01%), 24 Jul 2018 (4.07%), 15 Oct 2018 (-3.35%)
2017103 Apr 2017 (-3.42%)
2016423 Feb 2016 (3.24%), 01 Nov 2016 (-4.4%), 02 Nov 2016 (-4.82%), 30 Nov 2016 (2.55%)
2015226 Oct 2015 (-3.31%), 27 Oct 2015 (-1.38%)
2014614 Feb 2014 (2.31%), 10 Apr 2014 (-0.64%), 23 Apr 2014 (-4.26%), 13 May 2014 (17.64%), 01 Jul 2014 (-3.63%), 22 Dec 2014 (-0.98%)
2013130 Aug 2013 (-5.47%)
2012405 Jan 2012 (13.89%), 31 May 2012 (-2.87%), 02 Aug 2012 (3.7%), 30 Aug 2012 (459.46%)
2011102 Jun 2011 (-4.19%)
2010107 Sep 2010 (-0.93%)
2009504 May 2009 (-3.18%), 18 May 2009 (-5.33%), 19 May 2009 (33.79%), 25 Aug 2009 (20.02%), 30 Sep 2009 (-4.43%)
2008302 Apr 2008 (18.1%), 01 Sep 2008 (-2.12%), 27 Oct 2008 (4.98%)
2007408 Feb 2007 (1.6%), 02 Jul 2007 (-3.17%), 03 Sep 2007 (-3.49%), 28 Sep 2007 (-2.17%)
2006327 Feb 2006 (-4.77%), 22 Jun 2006 (-7.1%), 01 Aug 2006 (-5.17%)
2005403 Jan 2005 (-3.2%), 28 Jan 2005 (11.69%), 05 Apr 2005 (-4.92%), 16 Aug 2005 (-0.86%)
2004702 Jan 2004 (-6.16%), 05 Jan 2004 (-6.73%), 09 Jan 2004 (-7.47%), 10 Jun 2004 (-8.35%), 27 Sep 2004 (-5.47%), 05 Oct 2004 (-2.9%), 14 Dec 2004 (-4.47%)
2003702 May 2003 (0.21%), 09 Jun 2003 (-5.02%), 04 Jul 2003 (-1.89%), 11 Aug 2003 (5.08%), 03 Sep 2003 (-5.1%), 06 Oct 2003 (1.34%), 22 Dec 2003 (-5.55%)
2002421 Mar 2002 (18.76%), 14 Aug 2002 (-6.14%), 16 Sep 2002 (-8.7%), 04 Nov 2002 (-6.18%)
2001429 Mar 2001 (-7.67%), 16 Jul 2001 (-4.63%), 17 Aug 2001 (-2.39%), 25 Sep 2001 (-2.8%)
2000504 May 2000 (-1.73%), 25 May 2000 (4.61%), 23 Aug 2000 (-5.89%), 03 Oct 2000 (-4.26%), 20 Oct 2000 (-0.52%)
1999317 Feb 1999 (-6.16%), 07 Jun 1999 (-4.68%), 23 Jun 1999 (2.57%)
1998230 Jun 1998 (-5.41%), 14 Sep 1998 (-3.82%)
1997130 Sep 1997 (-4.25%)
1996603 Apr 1996 (-1.49%), 20 Jun 1996 (-3.54%), 12 Jul 1996 (-4.15%), 18 Jul 1996 (-3.85%), 29 Aug 1996 (-3.49%), 19 Dec 1996 (38.35%)
1995208 Dec 1995 (-2.89%), 11 Dec 1995 (0.3%)



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