Study: Buy INDIACEM 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 INDIACEM 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 INDIACEM 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
125015.6772324044.445993.923414.63-4169.73-13858.141.441.150.011347.44
260172.0972383452.787078.0137560.98-6140.95-18382.681.151.290.019835.72
370319.8872353748.6110326.0138853.5-7867.31-26269.821.311.240.017976.67
430703.7472333945.8310450.3831974.52-8055.36-22720.761.31.10.0075426.44
514042772393354.1710689.9135933.5-8378.18-23780.241.281.510.0321950.37
617975272393354.1713144.9655986.51-10087.93-31947.481.31.540.0312496.55
725388972373551.3915441.986340.64-9070.31-35010.941.71.80.0393526.24
816702472304241.6718099.4575548.06-8951.41-42888.42.021.440.0262319.78
921983172343847.2217013.0763406.41-9437.19-36323.851.81.610.0353053.21
1031998372393354.1717511.6980607.08-10999.19-30750.311.591.880.0464444.21
Although, strategy looks good but profit factor on day 4 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
atrnil39.3230214985256029.4135192.2674734.69-9627.63-19410.663.661.520.0343554.69
atrnil26.6716607587325536.7821995.6749823.13-9777.93-19410.662.251.310.0241908.91
atrtrail24.8411614387325536.7815622.6239934.91-6977.84-19410.662.241.30.0211334.97
atrtrail35.2111169085315436.4715943.8359902.36-7084.62-19410.662.251.290.0191314
atrtrail-15.6564313.2685315436.4714415.5670859.79-7084.62-19410.662.031.170.011756.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. 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 29.41%, which is not acceptable. Avoid this strategy. Average return per trade is 1.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
INDIACEM Performance, Profit Factor:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Mar 2019 (-3.87%)
2018920 Feb 2018 (-4.76%), 13 Mar 2018 (-4.28%), 27 Mar 2018 (-4.04%), 28 May 2018 (-4.21%), 26 Jun 2018 (-4.07%), 27 Jun 2018 (-4.35%), 05 Jul 2018 (-4.31%), 23 Jul 2018 (14.93%), 30 Oct 2018 (-5.79%)
2017205 Jun 2017 (-4.66%), 01 Sep 2017 (-4.08%)
2016402 Mar 2016 (17.69%), 29 Jun 2016 (11.53%), 01 Dec 2016 (-5.83%), 02 Dec 2016 (18.75%)
2015118 Jun 2015 (13.84%)
2014405 Feb 2014 (-4.65%), 14 May 2014 (-4.26%), 15 May 2014 (13.39%), 24 Dec 2014 (18.53%)
2013722 Feb 2013 (-3.67%), 01 Apr 2013 (-3.67%), 11 Apr 2013 (-3.7%), 18 Jun 2013 (-5.08%), 01 Jul 2013 (-5.23%), 16 Aug 2013 (-6.96%), 27 Dec 2013 (-3.81%)
2012321 Mar 2012 (-4.8%), 25 May 2012 (-5.43%), 03 Dec 2012 (-3.46%)
2011414 Feb 2011 (-4.38%), 03 Mar 2011 (13.1%), 31 May 2011 (-3.4%), 05 Jul 2011 (-3.78%)
2010303 Jun 2010 (-3.68%), 09 Jul 2010 (-2.54%), 15 Dec 2010 (-4.76%)
2009416 Mar 2009 (-5.76%), 17 Mar 2009 (18.58%), 19 May 2009 (18.86%), 16 Nov 2009 (-4.53%)
2008106 Feb 2008 (-9.71%)
2007315 Mar 2007 (-8.86%), 16 Oct 2007 (-4.6%), 17 Oct 2007 (-5.33%)
2006401 Mar 2006 (-4.39%), 02 Mar 2006 (15.07%), 05 Apr 2006 (11.94%), 19 Jun 2006 (37.37%)
2005304 Feb 2005 (-5.94%), 10 May 2005 (-4.29%), 07 Nov 2005 (17.37%)
2004128 Jun 2004 (-6.39%)
2003403 Apr 2003 (13.98%), 27 Jun 2003 (-5.5%), 03 Nov 2003 (15.81%), 26 Dec 2003 (-4.79%)
2002216 Aug 2002 (-4.87%), 03 Sep 2002 (-5.67%)
2001601 Jan 2001 (-6.12%), 24 Jan 2001 (-4.58%), 06 Apr 2001 (29.95%), 09 Jul 2001 (16.08%), 28 Sep 2001 (16.11%), 20 Nov 2001 (12.85%)
2000224 Mar 2000 (19.77%), 24 May 2000 (29.53%)
1999307 Jun 1999 (-6.62%), 08 Jun 1999 (-6.75%), 04 Aug 1999 (17.52%)
1998420 Feb 1998 (13.37%), 21 Aug 1998 (-4.2%), 31 Oct 1998 (-6.48%), 10 Nov 1998 (-5.76%)
1997406 Aug 1997 (-3.68%), 07 Aug 1997 (-4.2%), 10 Dec 1997 (-4.16%), 11 Dec 1997 (-4.59%)
1996415 Feb 1996 (-8.04%), 22 Aug 1996 (-3.12%), 15 Oct 1996 (-4.1%), 11 Dec 1996 (13.97%)
1995225 Jul 1995 (-2.17%), 18 Aug 1995 (-2.1%)



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