Study: Buy INDUSINDBK 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 INDUSINDBK 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 INDUSINDBK 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
1-60804.1569333647.833293.8410514.19-4708.35-13730.360.70.64-0.039-881.22
2-35077.6169353450.725013.0517117.65-6192.19-27791.560.810.83-0.015-508.37
3-61682.0469323746.387152.7137606.84-7853.21-37882.550.910.79-0.019-893.94
4-33319.669303943.4810886.1546581.2-9228.31-35070.311.180.91-0.0077-482.89
5-7272.9969323746.3812200.7254878.05-10748.54-37607.611.140.98-0.0015-105.41
6-8196.6769323746.3811989.5143495.93-10590.84-38241.961.130.98-0.0018-118.79
746177.0269343549.2812696.8844748.86-11014.77-31542.71.151.120.0094669.23
811186669353450.7213950.3163410.14-11070.45-36088.151.261.30.0211621.24
919847269393056.5214049.5987741.94-11648.73-48484.851.211.570.0342876.4
1015018269393056.5214395.5976129.03-13708.21-51101.931.051.370.0242176.55
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
atrtrail34.719831.5182305236.5914392.1656939.97-7921.8-21853.291.821.050.0037241.85
atrtrail-15.2615955.8482305236.5914262.9768332.16-7921.8-21853.291.81.040.0029194.58
atrnil38.6920654.8277225528.5726626.7163392.52-10275.14-26568.982.591.040.0032268.24
atrtrail24.32-35880.2982305236.5912535.137959.98-7921.8-21853.291.580.91-0.0081-437.56
atrnil26.41-80018.2681275433.3317530.5942261.68-10247.12-26568.981.710.86-0.015-987.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 36.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0037, 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.
INDUSINDBK Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 May 2019 (4.08%), 03 Jul 2019 (0.56%), 30 Aug 2019 (-4.05%), 03 Sep 2019 (0.42%)
2018312 Oct 2018 (-3.26%), 15 Oct 2018 (-3.43%), 02 Nov 2018 (-4.55%)
2017516 Mar 2017 (1.63%), 27 Apr 2017 (-1.6%), 27 Jul 2017 (1.95%), 01 Sep 2017 (-1.69%), 04 Sep 2017 (5.21%)
2016202 Jun 2016 (-1.62%), 05 Dec 2016 (-0.14%)
2015501 Jan 2015 (-1.16%), 13 Jan 2015 (3.74%), 28 Feb 2015 (0.17%), 15 May 2015 (3.38%), 10 Sep 2015 (2.69%)
2014518 Feb 2014 (0.62%), 12 May 2014 (8.86%), 22 Sep 2014 (-2.34%), 14 Oct 2014 (7.9%), 01 Dec 2014 (-0.61%)
2013122 Aug 2013 (-4.6%)
2012429 May 2012 (-3.84%), 16 Aug 2012 (-1.25%), 26 Nov 2012 (7.09%), 18 Dec 2012 (-1.85%)
2011520 Jan 2011 (-5.12%), 03 Feb 2011 (-5.34%), 14 Feb 2011 (1.51%), 26 May 2011 (1.87%), 02 Sep 2011 (2.12%)
2010720 Jan 2010 (-3.77%), 21 Jan 2010 (-2.02%), 21 Apr 2010 (-3.73%), 10 Aug 2010 (1.85%), 27 Aug 2010 (-3.04%), 03 Sep 2010 (9.96%), 30 Dec 2010 (-3.31%)
2009813 Mar 2009 (17.6%), 05 May 2009 (-6.66%), 19 May 2009 (22.74%), 19 Jun 2009 (1.13%), 20 Jul 2009 (-7.84%), 21 Jul 2009 (-6.42%), 08 Oct 2009 (13.05%), 11 Nov 2009 (-5.64%)
2008705 Feb 2008 (-10.52%), 06 Feb 2008 (-10.93%), 14 Feb 2008 (-10.47%), 16 Jun 2008 (-3.85%), 10 Jul 2008 (-8.08%), 03 Nov 2008 (-2.35%), 08 Dec 2008 (28.47%)
2007308 Feb 2007 (-5.2%), 09 Feb 2007 (-5.86%), 13 Jul 2007 (-3.8%)
2006513 Feb 2006 (-4.01%), 24 Feb 2006 (-3.03%), 10 Mar 2006 (-3.69%), 31 Mar 2006 (13.79%), 22 Jun 2006 (-2.76%)
2005606 Jul 2005 (-4.58%), 07 Jul 2005 (-0.61%), 29 Jul 2005 (-3.81%), 05 Aug 2005 (-3.82%), 08 Aug 2005 (0.84%), 07 Nov 2005 (5.21%)
2004214 Jan 2004 (-2.71%), 30 Aug 2004 (-1.15%)
2003322 Mar 2003 (-3.79%), 05 May 2003 (-0.77%), 21 Aug 2003 (-3.09%)
2002207 Mar 2002 (-7.27%), 28 Oct 2002 (-0.95%)
2001219 Jul 2001 (-3.6%), 20 Sep 2001 (-6.39%)
1999129 Nov 1999 (19.51%)
1998209 Sep 1998 (13.44%), 30 Dec 1998 (14.49%)



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