Study: Buy HDIL 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 HDIL 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 HDIL 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
110797844271761.367607.737348.7-5731.16-13580.251.332.110.0762454.05
210075444281663.648144.3936363.64-7955.58-21339.951.021.790.0672289.86
319792544261859.091310935444.02-7939.38-25226.591.652.380.0994498.3
418052544251956.8216415.8860936.5-12098.52-27222.661.361.790.0694102.84
517142844212347.7320296.5673380.37-11078.27-31353.271.831.670.0613896.08
614732344232152.2719387.7379538.17-14218.78-35562.551.361.490.0483348.26
712420144212347.7323414.08126106-15978.05-52416.181.471.340.0312822.74
819386644232152.2723673.55170494-16696.44-47905.981.421.550.0414406.06
927062844212347.7328879.05176652-14601.4-37763.991.981.810.0556150.63
1034579944251956.8225117.13194099-14848.91-33232.631.692.230.0677859.07

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.38. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 2.25%, which is very good. Sharpe Ratio is 0.099, 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.
HDIL Performance, X=3, Profit Factor:2.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018120 Mar 2018 (-6.16%)
2017412 May 2017 (-0.05%), 24 Aug 2017 (1.06%), 06 Oct 2017 (-2.65%), 22 Dec 2017 (2.16%)
2016618 May 2016 (2.73%), 20 Jun 2016 (-1.01%), 08 Sep 2016 (-9.48%), 05 Oct 2016 (-4.09%), 28 Nov 2016 (3.99%), 30 Dec 2016 (4.84%)
2015506 Apr 2015 (3.96%), 22 Jun 2015 (-2.67%), 03 Aug 2015 (3.35%), 09 Sep 2015 (0.74%), 24 Nov 2015 (6.18%)
2014618 Feb 2014 (-0.6%), 14 May 2014 (6.78%), 04 Jun 2014 (11.29%), 02 Jul 2014 (-1.83%), 28 Oct 2014 (10.19%), 26 Dec 2014 (0.74%)
2013418 Feb 2013 (-2.23%), 03 Apr 2013 (-7.55%), 27 Jun 2013 (16.34%), 14 Aug 2013 (-3.59%)
2012224 May 2012 (7.56%), 12 Sep 2012 (17.69%)
2011408 Feb 2011 (-0.18%), 29 Aug 2011 (7.64%), 12 Oct 2011 (-0.1%), 07 Dec 2011 (-12.61%)
2010314 May 2010 (-9.17%), 31 May 2010 (2.17%), 13 Dec 2010 (0.24%)
2009411 Feb 2009 (-4.14%), 13 Mar 2009 (9.98%), 17 Sep 2009 (-3.35%), 07 Oct 2009 (8.25%)
2008526 Feb 2008 (2.2%), 27 Mar 2008 (7.57%), 08 Jul 2008 (0.56%), 16 Oct 2008 (17.72%), 03 Dec 2008 (14.5%)

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-16.2831338247232448.9422760.91191765-8754.97-16440.412.62.490.0626667.69
nilnil-1319792544261859.091310935444.02-7939.38-25226.591.652.380.0994498.3
atrtrail24.8718684947232448.9417259.4765200.29-8754.97-16440.411.971.890.0713975.5
atrnil26.7828209546222447.8327312.9565200.29-13282.9-35500.452.061.880.0856132.5
atrtrail35.4717819647232448.9416883.2997800.44-8754.97-16440.411.931.850.0583791.41
atrnil39.9330921346172936.9640960.897800.44-13348.99-35500.453.071.80.0726722.02

In the table above, row 1 shows the best exit criterion. Profit factor is 2.49. 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 48.94%, which is not acceptable. Avoid this strategy. Average return per trade is 3.33%, which is very good. Sharpe Ratio is 0.062, 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.
HDIL Performance, Profit Factor:2.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018220 Mar 2018 (-6.08%), 02 Apr 2018 (2.2%)
2017412 May 2017 (-0.37%), 24 Aug 2017 (1.27%), 06 Oct 2017 (-3.26%), 22 Dec 2017 (8.4%)
2016718 May 2016 (4.6%), 20 Jun 2016 (-1.59%), 08 Sep 2016 (-3.41%), 05 Oct 2016 (-4.62%), 18 Oct 2016 (0.31%), 28 Nov 2016 (2.3%), 30 Dec 2016 (4.21%)
2015506 Apr 2015 (2.09%), 22 Jun 2015 (-6.43%), 03 Aug 2015 (-1.42%), 09 Sep 2015 (0.42%), 24 Nov 2015 (1.95%)
2014618 Feb 2014 (-3.45%), 14 May 2014 (16.07%), 04 Jun 2014 (5.49%), 02 Jul 2014 (-2.94%), 28 Oct 2014 (14.77%), 26 Dec 2014 (0.75%)
2013418 Feb 2013 (-4.29%), 03 Apr 2013 (-8.22%), 27 Jun 2013 (10.1%), 14 Aug 2013 (-7.97%)
2012224 May 2012 (2.14%), 12 Sep 2012 (47.18%)
2011508 Feb 2011 (-6.53%), 11 Feb 2011 (3.41%), 29 Aug 2011 (0.83%), 12 Oct 2011 (-4.58%), 07 Dec 2011 (-7.96%)
2010314 May 2010 (-4.4%), 31 May 2010 (-2.36%), 13 Dec 2010 (-2.07%)
2009411 Feb 2009 (-8.2%), 13 Mar 2009 (19.14%), 17 Sep 2009 (-3.66%), 07 Oct 2009 (12.81%)
2008526 Feb 2008 (-6.77%), 27 Mar 2008 (5.43%), 08 Jul 2008 (-3.95%), 16 Oct 2008 (-0.52%), 03 Dec 2008 (95.88%)



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