Study: Buy HDFCBANK 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 HDFCBANK 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 HDFCBANK 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
1-1944.9780354543.754318.1340823.33-3401.76-16162.281.270.99-0.00075-24.31
212007.4280384247.55510.3936706.69-4699.7-16909.621.171.060.0039150.09
332493.27803248408316.3854545.45-4867.31-23615.161.711.140.0079406.17
419368.2480314938.759254.5252830.19-5459.63-21574.341.71.070.0046242.1
5-26994.6980314938.758485.2752723.89-5919.14-22991.351.430.91-0.0063-337.43
6-22872.2680374346.257844.6956125.43-7281.99-23032.071.080.93-0.0051-285.9
7-277.5180374346.258494.6459367.53-7315.79-23615.161.161-6.1e-05-3.47
8-35039.8280374346.258562.6540180.71-8182.74-31672.131.050.9-0.0078-438
935799.9380433753.758714.3543369.65-9159.92-35509.820.951.110.0074447.5
1089703.628044365510150.8562237.58-9914.83-41001.211.021.250.0161121.3
Although, strategy looks good but profit factor on day 8 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
atrtrail24.0449952.2493355837.639881.837468.15-5101.91-16579.311.941.170.012537.12
atrnil26.9325252.1892316133.713528.9537468.15-6461.4-16579.312.091.060.0054274.48
atrtrail34.6714959.5190335736.679352.9533828.3-5152.42-16579.311.821.050.0038166.22
atrtrail-14.96-777.4189335637.088593.5846030.93-5077.96-16579.311.691-0.0002-8.73
atrnil310.16-65759.7288206822.7319323.9637180.17-6650.57-18734.082.910.85-0.013-747.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 37.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
HDFCBANK Performance, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 May 2019 (-1.01%), 09 Aug 2019 (-1.9%), 13 Aug 2019 (-1.59%)
2018328 Sep 2018 (-0.35%), 15 Oct 2018 (-2.13%), 18 Dec 2018 (-1.6%)
2017621 Mar 2017 (-1.26%), 21 Apr 2017 (2.65%), 24 Apr 2017 (-1.11%), 25 May 2017 (2.8%), 20 Jul 2017 (2.53%), 11 Sep 2017 (0.79%)
2016929 Jan 2016 (-1.04%), 01 Mar 2016 (0.96%), 26 May 2016 (-1.29%), 11 Jul 2016 (2.95%), 25 Aug 2016 (-1.27%), 31 Aug 2016 (-0.62%), 22 Sep 2016 (-0.84%), 06 Dec 2016 (-1.89%), 07 Dec 2016 (-0.5%)
2015111 Sep 2015 (4.6%)
2014303 Jun 2014 (-0.01%), 30 Sep 2014 (-1.82%), 20 Oct 2014 (0.39%)
2013602 Apr 2013 (-2.47%), 16 May 2013 (-2.06%), 01 Jul 2013 (-2.56%), 26 Aug 2013 (-3.54%), 02 Sep 2013 (-4.27%), 05 Sep 2013 (9.19%)
2012403 May 2012 (-2.03%), 29 May 2012 (-2.26%), 29 Oct 2012 (-2.03%), 12 Nov 2012 (-1.68%)
2011509 Feb 2011 (6.7%), 18 Jul 2011 (-1.88%), 30 Aug 2011 (0.12%), 02 Dec 2011 (-2.98%), 23 Dec 2011 (-2.23%)
2009418 May 2009 (-5.2%), 19 May 2009 (-3.03%), 11 Jun 2009 (-4.14%), 11 Nov 2009 (1.1%)
2008425 Mar 2008 (-4.02%), 07 Jul 2008 (0.28%), 04 Nov 2008 (-8.29%), 01 Dec 2008 (18.73%)
2007412 Mar 2007 (-3.65%), 16 Oct 2007 (-3.27%), 25 Oct 2007 (9.46%), 12 Dec 2007 (-4.51%)
2006319 Jun 2006 (3.91%), 30 Oct 2006 (-3.21%), 13 Nov 2006 (5.44%)
2005707 Mar 2005 (1.03%), 07 Apr 2005 (-3.6%), 17 May 2005 (-0.85%), 30 Jun 2005 (-2.93%), 01 Jul 2005 (-0.79%), 09 Sep 2005 (6.39%), 09 Nov 2005 (7.03%)
2004516 Jan 2004 (-3.75%), 25 May 2004 (-4.73%), 07 Jun 2004 (0.61%), 04 Oct 2004 (-2.43%), 24 Dec 2004 (1.85%)
2003320 Jan 2003 (4.86%), 03 Feb 2003 (7.39%), 03 Nov 2003 (-3.23%)
2002107 Nov 2002 (-0.55%)
2001509 Apr 2001 (8.5%), 07 May 2001 (-3.64%), 02 Jul 2001 (-3.64%), 11 Jul 2001 (6.46%), 28 Sep 2001 (-5.05%)
2000121 Jan 2000 (11.28%)
1999108 Sep 1999 (7.88%)
1998321 Jan 1998 (-4.36%), 25 Jun 1998 (0.74%), 10 Nov 1998 (-0.75%)
1997728 Jan 1997 (-4.35%), 01 Mar 1997 (6.66%), 03 Mar 1997 (7.03%), 04 Jun 1997 (-0.77%), 08 Jul 1997 (5.06%), 09 Jul 1997 (5.33%), 05 Sep 1997 (-2.19%)
1996202 Feb 1996 (7.44%), 12 Feb 1996 (-4.66%)
1995328 Sep 1995 (4.77%), 01 Nov 1995 (-2.97%), 27 Nov 1995 (-3.14%)



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