Study: Buy HCLTECH 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 HCLTECH 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 HCLTECH 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
154723.1855282750.915530.5521104.29-3708.6-14901.441.491.550.034994.97
211233755312456.367906.3728875.26-5531.68-13091.621.431.850.0512042.49
312061855292652.739824.1926229.51-6318.61-28511.221.551.730.0472193.05
414621655322358.1810387.0135623.16-8094.29-29553.481.281.790.0492658.47
583739.3455342161.829554.8743885.62-11482.21-38671.80.831.350.0251522.53
662174.0955312456.3610738.9835474.45-11280.59-39358.50.951.230.0181130.44
772507.875533226011184.8129820.45-13481.41-39558.970.831.240.021318.32
816545755302554.5515079.9134582.36-11477.6-41563.651.311.580.0413008.32
916057055322358.1813906.4134190.97-12366.73-43701.971.121.560.0392919.46
1016544955312456.3615339.0939344.26-12919.28-41229.541.191.530.0383008.17

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.85. 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 56.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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
atrtrail36.3433317961303149.1817830.4890857.73-6507.58-22973.042.742.650.0645461.96
atrtrail-17.2128489561303149.1816221.01134951-6507.58-22973.042.492.410.0494670.41
atrtrail25.4325085461303149.1815086.360571.82-6507.58-22973.042.322.240.0644112.36
nilnil-1211233755312456.367906.3728875.26-5531.68-13091.621.431.850.0512042.49
atrnil27.0823055561253640.9822734.3560571.82-9383.44-22973.042.421.680.0473779.59
atrnil311.9126059258193932.7634012.8790857.73-9888.52-27507.173.441.680.0434492.97

In the table above, row 1 shows the best exit criterion. Profit factor is 2.65. 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 49.18%, which is not acceptable. Avoid this strategy. Average return per trade is 2.73%, which is very good. Sharpe Ratio is 0.064, 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.
HCLTECH Performance, Profit Factor:2.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 Apr 2019 (1.36%), 24 Jul 2019 (-2.22%), 30 Jul 2019 (-1.16%)
2018430 May 2018 (-2.25%), 25 Sep 2018 (-1.82%), 31 Oct 2018 (-3.44%), 01 Nov 2018 (-0.55%)
2017203 May 2017 (-2.05%), 04 May 2017 (3.76%)
2016118 May 2016 (-0.05%)
2015213 Jan 2015 (8.77%), 10 Apr 2015 (-5.28%)
2014414 Feb 2014 (2.61%), 22 Sep 2014 (0.3%), 13 Oct 2014 (-2.38%), 05 Nov 2014 (1.72%)
2013128 Aug 2013 (2.82%)
2012313 Mar 2012 (-2.58%), 04 Oct 2012 (-2.44%), 23 Nov 2012 (0.96%)
2011229 Jun 2011 (1.73%), 30 Aug 2011 (-4.91%)
2010215 Feb 2010 (-1.8%), 30 Nov 2010 (4.66%)
2009516 Mar 2009 (-2.19%), 12 Aug 2009 (1.58%), 24 Aug 2009 (1.7%), 17 Sep 2009 (-3.99%), 23 Oct 2009 (-3.53%)
2008501 Feb 2008 (-3.23%), 30 Jul 2008 (20.95%), 31 Oct 2008 (-9.82%), 24 Nov 2008 (-11.49%), 17 Dec 2008 (3.84%)
2007310 Apr 2007 (16.63%), 31 Oct 2007 (-5.14%), 26 Nov 2007 (-0.38%)
2006416 Jan 2006 (3.42%), 31 Mar 2006 (-2.68%), 20 Jun 2006 (25.61%), 08 Aug 2006 (2.84%)
2005124 Jan 2005 (11.75%)
2004609 Jan 2004 (-3.52%), 04 Mar 2004 (-4.94%), 29 Mar 2004 (-5.78%), 01 Oct 2004 (-2.77%), 04 Oct 2004 (9.05%), 25 Nov 2004 (-1.38%)
2003403 Feb 2003 (-3.56%), 03 Jun 2003 (14.49%), 24 Nov 2003 (4.43%), 31 Dec 2003 (1.63%)
2002303 Jan 2002 (3.34%), 13 Aug 2002 (5.46%), 12 Nov 2002 (17.29%)
2001419 Apr 2001 (-1.98%), 10 Jul 2001 (0.24%), 02 Aug 2001 (-1.56%), 05 Oct 2001 (45.43%)
2000209 Aug 2000 (24.02%), 20 Oct 2000 (25.05%)



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