Study: Buy HINDUNILVR 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 HINDUNILVR 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 HINDUNILVR 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
137632.9984513360.712831.1712029.01-3235.05-13163.520.881.350.023448.01
269549.6683513261.454239.2819472.49-4582.93-15020.920.931.470.031837.95
35099883503360.244602.7616522.86-5428.48-20048.260.851.280.02614.43
492436.6783523162.654628.126191.79-4781.44-27219.690.971.620.0341113.69
510683183493459.045482.0525579.83-4758.52-19877.221.151.660.0371287.12
612452883572668.675490.4730353.1-7247.26-34206.90.761.660.0351500.34
711819783533063.865464.118481.12-5713.36-21241.380.961.690.0381424.05
815042583493459.046467.0624846.15-4895.91-17702.571.321.90.051812.35
916337083493459.047160.1330573.4-5514.02-16786.291.31.870.0461968.31
1022882583552866.277159.8941638.92-5891.74-12856.811.222.390.0612756.93
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
HINDUNILVR Performance, X=10, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Feb 2019 (-1.47%), 20 Sep 2019 (-1.51%)
2018630 Jan 2018 (-3.63%), 16 May 2018 (0.74%), 04 Jul 2018 (-1.92%), 01 Aug 2018 (0.18%), 01 Oct 2018 (-5.85%), 17 Oct 2018 (2.92%)
2017627 Feb 2017 (5.46%), 29 Mar 2017 (1.24%), 27 Apr 2017 (3.47%), 13 Jul 2017 (3.28%), 04 Aug 2017 (-0.05%), 31 Aug 2017 (2.3%)
2016302 Feb 2016 (0.39%), 30 Oct 2016 (-4.02%), 23 Nov 2016 (0.24%)
2015308 Jan 2015 (15.62%), 28 Sep 2015 (2.81%), 23 Oct 2015 (-0.14%)
2014320 Jan 2014 (2.64%), 15 May 2014 (-5.52%), 28 Aug 2014 (2.03%)
2013412 Feb 2013 (-1.72%), 12 Mar 2013 (6.36%), 30 Apr 2013 (0.01%), 05 Jul 2013 (12.6%)
2012511 Apr 2012 (0.6%), 03 May 2012 (-1.1%), 14 Sep 2012 (-0.95%), 04 Oct 2012 (3.62%), 26 Nov 2012 (1.4%)
2011302 Jun 2011 (0.05%), 17 Jun 2011 (4.94%), 22 Dec 2011 (-3.69%)
2010416 Feb 2010 (0.82%), 25 Mar 2010 (-4.59%), 20 Apr 2010 (2.0%), 29 Dec 2010 (0.07%)
2009223 Mar 2009 (1.13%), 24 Jul 2009 (-4.62%)
2008404 Feb 2008 (1.81%), 09 Jul 2008 (6.65%), 04 Nov 2008 (-5.26%), 28 Nov 2008 (3.19%)
2007311 Jan 2007 (-0.73%), 09 Mar 2007 (8.05%), 16 Nov 2007 (2.68%)
2006431 Jan 2006 (20.82%), 30 Mar 2006 (2.38%), 19 Jun 2006 (2.83%), 01 Nov 2006 (2.72%)
2005304 Apr 2005 (-3.5%), 27 May 2005 (6.95%), 19 Dec 2005 (-3.79%)
2004407 May 2004 (-4.93%), 24 May 2004 (-1.12%), 24 Aug 2004 (4.41%), 29 Nov 2004 (2.49%)
2003219 Feb 2003 (-2.06%), 30 Apr 2003 (0.83%)
2002307 May 2002 (-5.4%), 28 May 2002 (1.63%), 13 Aug 2002 (3.58%)
2001409 May 2001 (-6.43%), 13 Jun 2001 (2.2%), 20 Aug 2001 (0.3%), 01 Oct 2001 (8.21%)
2000226 May 2000 (4.08%), 25 Jul 2000 (4.45%)
1999104 Mar 1999 (4.24%)
1998217 Jun 1998 (-1.44%), 01 Jul 1998 (0.58%)
1997301 Mar 1997 (0.13%), 07 Apr 1997 (3.77%), 25 Nov 1997 (-4.5%)
1996317 Apr 1996 (2.16%), 03 Jun 1996 (10.7%), 17 Oct 1996 (-1.75%)
1995403 Apr 1995 (-0.79%), 05 May 1995 (0.4%), 21 Sep 1995 (5.65%), 08 Dec 1995 (2.12%)

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
atrtrail25.1457729.3397415642.277456.2820112.55-4428.18-13515.241.681.230.017595.15
atrtrail35.9647661.494405442.557064.3126320.56-4350.2-13515.241.621.20.013507.04
atrnil324.0810888.8273254834.2515658.5730168.83-7928.66-93800.021.971.030.0019149.16
atrtrail-16.276580.1894405442.556037.2823323.56-4350.2-13515.241.391.030.002170
atrnil218.82-39799.5782334940.2410253.4420112.55-7717.62-93800.021.330.89-0.0074-485.36

In the table above, row 1 shows the best exit criterion. 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 42.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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.
HINDUNILVR Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (0.45%), 20 Sep 2019 (4.62%), 23 Sep 2019 (-1.97%)
2018630 Jan 2018 (-1.78%), 16 May 2018 (-0.06%), 04 Jul 2018 (3.78%), 01 Aug 2018 (-0.46%), 01 Oct 2018 (-2.68%), 17 Oct 2018 (-1.36%)
2017827 Feb 2017 (-0.37%), 29 Mar 2017 (-0.85%), 27 Apr 2017 (-1.58%), 28 Apr 2017 (3.21%), 13 Jul 2017 (4.07%), 04 Aug 2017 (-2.01%), 31 Aug 2017 (-1.94%), 12 Sep 2017 (0.52%)
2016302 Feb 2016 (5.04%), 30 Oct 2016 (-0.89%), 23 Nov 2016 (-0.09%)
2015308 Jan 2015 (4.02%), 28 Sep 2015 (4.84%), 23 Oct 2015 (0.16%)
2014420 Jan 2014 (0.31%), 15 May 2014 (-2.09%), 16 May 2014 (-2.38%), 28 Aug 2014 (0.26%)
2013512 Feb 2013 (1.44%), 12 Mar 2013 (4.93%), 30 Apr 2013 (1.25%), 05 Jul 2013 (-1.41%), 08 Jul 2013 (-1.47%)
2012611 Apr 2012 (0.22%), 03 May 2012 (-1.85%), 14 Sep 2012 (-1.84%), 04 Oct 2012 (-2.13%), 05 Oct 2012 (-0.51%), 26 Nov 2012 (0.15%)
2011302 Jun 2011 (-2.66%), 17 Jun 2011 (-1.9%), 22 Dec 2011 (0.31%)
2010416 Feb 2010 (1.08%), 25 Mar 2010 (1.82%), 20 Apr 2010 (4.33%), 29 Dec 2010 (4.2%)
2009323 Mar 2009 (-2.72%), 24 Jul 2009 (6.27%), 27 Jul 2009 (-3.32%)
2008404 Feb 2008 (-6.64%), 09 Jul 2008 (-3.22%), 04 Nov 2008 (-6.49%), 28 Nov 2008 (8.77%)
2007311 Jan 2007 (0.42%), 09 Mar 2007 (-3.84%), 16 Nov 2007 (-1.48%)
2006431 Jan 2006 (-2.86%), 30 Mar 2006 (6.05%), 19 Jun 2006 (-6.76%), 01 Nov 2006 (5.22%)
2005304 Apr 2005 (-0.2%), 27 May 2005 (5.97%), 19 Dec 2005 (-2.84%)
2004507 May 2004 (-2.95%), 13 May 2004 (-3.0%), 24 May 2004 (-2.19%), 24 Aug 2004 (7.35%), 29 Nov 2004 (0.54%)
2003419 Feb 2003 (4.31%), 20 Feb 2003 (-2.02%), 30 Apr 2003 (-3.19%), 02 May 2003 (7.0%)
2002407 May 2002 (-0.66%), 28 May 2002 (-3.05%), 05 Jun 2002 (-1.79%), 13 Aug 2002 (6.04%)
2001509 May 2001 (-3.48%), 13 Jun 2001 (-2.74%), 14 Jun 2001 (5.67%), 20 Aug 2001 (-0.79%), 01 Oct 2001 (-3.25%)
2000226 May 2000 (-0.77%), 25 Jul 2000 (-1.27%)
1999104 Mar 1999 (6.34%)
1998417 Jun 1998 (-3.86%), 18 Jun 1998 (-4.1%), 01 Jul 1998 (-4.5%), 02 Jul 1998 (10.06%)
1997301 Mar 1997 (4.6%), 07 Apr 1997 (-0.58%), 25 Nov 1997 (-0.23%)
1996317 Apr 1996 (-2.13%), 03 Jun 1996 (4.42%), 17 Oct 1996 (4.31%)
1995403 Apr 1995 (-0.75%), 05 May 1995 (5.3%), 21 Sep 1995 (3.21%), 08 Dec 1995 (-2.02%)



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