Study: Buy IDFC 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 IDFC 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 IDFC 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
1-12496.2354252946.34455.7614464.53-4272.08-122511.040.9-0.011-231.41
2-1918.8854262848.156445.1820305.98-6053.34-26699.031.060.99-0.0012-35.53
3-10754954243044.446064.0920083.68-8436.22-45954.690.720.58-0.05-1991.64
4-11399954203437.047556.1719414.23-7797.71-36245.950.970.57-0.055-2111.09
5-76047.3254252946.37958.220083.68-9482.84-31069.360.840.72-0.035-1408.28
6-10517254252946.38837.3723687.75-11245.04-36786.860.790.68-0.041-1947.63
7-70835.1354233142.599779.6723933.05-9540.89-26289.371.030.76-0.03-1311.76
8-15267.354252946.311052.3834534.02-10054.37-36199.421.10.95-0.0057-282.73
9-12328254223240.7413160.431542.29-12900.33-59252.671.020.7-0.036-2283
10-15805254213338.8913808.8833631.84-13576.93-57918.151.020.65-0.045-2926.89
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
atrnil25.32-10951.9765224333.8518094.0345876.46-9512.11-24176.561.90.97-0.0032-168.49
atrnil38.82-78009.1661164526.2323326.741366.28-10027.48-24176.562.330.83-0.022-1278.84
atrtrail23.63-81638.2765224333.8511056.5127577.52-7555.39-24176.561.460.75-0.032-1255.97
atrtrail34.38-92302.7263214233.3310791.9828241.83-7593.67-24176.561.420.71-0.037-1465.12
atrtrail-14.86-95801.0263214233.3310625.3951097.6-7593.67-24176.561.40.7-0.035-1520.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 33.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.084%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDFC Performance, Profit Factor:0.973

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Feb 2019 (8.9%), 23 May 2019 (10.29%)
2018720 Feb 2018 (-3.8%), 13 Mar 2018 (-3.18%), 11 Jun 2018 (-3.61%), 11 Jul 2018 (-3.41%), 18 Jul 2018 (7.8%), 16 Oct 2018 (-5.36%), 17 Oct 2018 (-5.75%)
2017426 Apr 2017 (4.81%), 27 Apr 2017 (-2.54%), 22 Jun 2017 (-2.36%), 06 Jul 2017 (-3.2%)
2016902 Mar 2016 (-5.01%), 21 Mar 2016 (7.31%), 09 May 2016 (8.25%), 30 May 2016 (-3.93%), 31 Aug 2016 (-3.48%), 01 Sep 2016 (7.56%), 28 Sep 2016 (-3.33%), 29 Sep 2016 (8.13%), 01 Dec 2016 (-4.51%)
2015429 May 2015 (-2.46%), 16 Jun 2015 (5.35%), 10 Sep 2015 (7.08%), 26 Oct 2015 (-7.71%)
2014407 Feb 2014 (-3.12%), 27 Mar 2014 (6.38%), 06 Jun 2014 (-4.14%), 03 Dec 2014 (-2.77%)
2013519 Feb 2013 (-3.12%), 07 Mar 2013 (-3.74%), 10 Jul 2013 (7.74%), 13 Aug 2013 (-4.9%), 06 Sep 2013 (13.79%)
2012405 Jan 2012 (9.41%), 16 Feb 2012 (8.45%), 17 Feb 2012 (-4.59%), 14 Mar 2012 (-4.53%)
2011715 Feb 2011 (-4.58%), 16 Feb 2011 (-4.74%), 20 May 2011 (-3.4%), 23 May 2011 (-3.65%), 28 Jun 2011 (7.23%), 30 Aug 2011 (-5.12%), 02 Dec 2011 (-4.69%)
2010516 Feb 2010 (6.35%), 07 Apr 2010 (-2.5%), 08 Sep 2010 (5.49%), 14 Oct 2010 (-3.11%), 21 Dec 2010 (-4.3%)
2008719 Feb 2008 (-7.03%), 27 Mar 2008 (17.08%), 17 Jun 2008 (-6.07%), 08 Jul 2008 (-8.92%), 18 Jul 2008 (-9.04%), 21 Jul 2008 (22.94%), 21 Oct 2008 (-12.09%)
2007321 Jun 2007 (7.79%), 25 Oct 2007 (-7.62%), 20 Nov 2007 (-6.83%)
2006315 Jun 2006 (-8.49%), 26 Jul 2006 (10.92%), 31 Oct 2006 (-3.77%)
2005101 Nov 2005 (-4.01%)



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