Study: Buy IDEA 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 IDEA 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 IDEA 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
1-12313.2543212248.844274.9411670.02-4640.32-15321.480.920.88-0.014-286.35
2-1520.6143212248.846392.3922937.63-6170.94-26949.381.040.99-0.0011-35.36
354501.2443202346.5110377.9441448.69-6654.67-30642.951.561.360.0291267.47
42393.743241955.818403.137961.1-10488.45-52393.980.81.010.001155.67
5-36585.6343212248.849467.2444802.15-10699.89-70041.040.880.84-0.015-850.83
6-22179.4243222151.1611589.4563313.21-13197.49-87140.90.880.92-0.0073-515.8
7-50956.6243212248.8411199.3464252.18-13006.49-99179.210.860.82-0.016-1185.04
8-90261.543202346.5110680.5265727.7-13211.82-92065.660.810.7-0.028-2099.1
9-16685743192444.199393.4359423.21-14388.83-84952.120.650.52-0.056-3880.39
10-18000443202346.519644.4149496.98-16212.72-94391.240.590.52-0.058-4186.15
Although, strategy looks good but profit factor on day 1 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
atrnil39.08-13253.8948143429.1724654.9335007.44-10541.85-25854.692.340.96-0.0047-276.12
atrnil26.49-75043.0449163332.6516908.3225693.55-10472-25854.691.610.78-0.032-1531.49
atrtrail-15.48-59565.214812362517344.4353918.98-7436.07-22986.982.330.78-0.026-1240.94
atrtrail34.81-86055.84812362515136.8827708.5-7436.07-22986.982.040.68-0.045-1792.83
atrtrail24.49-10343049133626.5312636.0119558.74-7436.07-22986.981.70.61-0.06-2110.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 29.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDEA Performance, Profit Factor:0.963

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Feb 2019 (-6.01%), 18 Apr 2019 (-8.91%), 16 Aug 2019 (-11.49%)
2018523 Feb 2018 (-4.12%), 24 Apr 2018 (-3.16%), 23 May 2018 (13.85%), 24 Jul 2018 (-5.37%), 15 Oct 2018 (-6.53%)
2017413 Apr 2017 (-4.45%), 12 Jun 2017 (-3.46%), 19 Jun 2017 (10.21%), 12 Oct 2017 (10.72%)
2016509 Feb 2016 (-4.58%), 10 Feb 2016 (14.67%), 19 Sep 2016 (-3.19%), 20 Oct 2016 (-3.57%), 21 Nov 2016 (11.67%)
2015631 Aug 2015 (-3.58%), 03 Sep 2015 (-3.94%), 09 Sep 2015 (-3.94%), 01 Oct 2015 (-3.61%), 20 Nov 2015 (9.71%), 21 Dec 2015 (-3.12%)
2014406 Feb 2014 (-4.28%), 19 Feb 2014 (-4.48%), 02 Sep 2014 (-3.03%), 23 Dec 2014 (10.47%)
2013201 Jul 2013 (-3.99%), 13 Aug 2013 (-5.16%)
2012410 May 2012 (-5.18%), 29 Jun 2012 (10.29%), 30 Aug 2012 (9.23%), 26 Dec 2012 (8.92%)
2011508 Mar 2011 (16.3%), 07 Jul 2011 (-3.29%), 25 Jul 2011 (-3.27%), 02 Sep 2011 (-4.04%), 30 Dec 2011 (14.57%)
2010108 Sep 2010 (-3.48%)
2009211 Jun 2009 (-6.61%), 12 Nov 2009 (17.5%)
2008622 Feb 2008 (-7.54%), 25 Mar 2008 (-6.42%), 22 Jul 2008 (-6.31%), 15 Oct 2008 (-7.65%), 16 Oct 2008 (-8.51%), 05 Nov 2008 (-12.93%)
2007129 Aug 2007 (14.46%)



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