Study: Buy JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
1-66318.1365254038.464285.0717097.27-4336.12-16470.590.990.62-0.043-1020.28
2-48463.3165273841.545826.1215126.77-5414.96-26565.461.080.76-0.025-745.59
3-4228.3665333250.777572.5623793.1-7941.34-24440.230.950.98-0.0016-65.05
4-65339.8665333250.777880.0424380.95-10168.16-44098.670.770.8-0.022-1005.23
5-14822565303546.157716.1318974.66-10848.83-42504.740.710.61-0.047-2280.38
6-11605565283743.089004.3820634.92-9950.75-39089.180.90.68-0.035-1785.46
7-71319.1565293644.629944.8125714.29-9992.19-36053.1310.8-0.021-1097.22
8-17358.5265343152.319426.629212.73-10898.8-43133.20.860.95-0.0048-267.05
9-42278.6965313447.6911883.6134472.36-12078.54-45617.670.980.9-0.01-650.44
1073242.6265323349.2315100.0243459.34-12422.97-41269.841.221.180.0161126.81
Although, strategy looks good but profit factor on day 5 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
atrnil27.4368131.4774264835.1421554.6734200.13-10256.04-20123.42.11.140.014920.7
atrnil311.936855.1271185325.3532592.6351300.19-10373.82-20123.43.141.070.0065519.09
atrtrail25.3915385.6274254933.7814778.4734200.13-7226.05-13381.422.051.040.0042207.91
atrtrail36.01-22442.3774254933.7813265.3651300.19-7226.05-13381.421.840.94-0.006-303.28
atrtrail-16.34-56410.674254933.7811906.6340447.82-7226.05-13381.421.650.84-0.017-762.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 35.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
JISLJALEQS Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Feb 2019 (12.27%), 20 May 2019 (-4.87%)
2018924 Jan 2018 (-4.62%), 27 Feb 2018 (-5.74%), 14 Mar 2018 (-5.29%), 29 May 2018 (-4.2%), 07 Jun 2018 (-4.1%), 10 Jul 2018 (-4.84%), 25 Jul 2018 (11.88%), 16 Oct 2018 (13.16%), 14 Dec 2018 (-4.3%)
2017230 May 2017 (9.92%), 20 Dec 2017 (9.46%)
2016324 Feb 2016 (11.82%), 05 Dec 2016 (-5.05%), 28 Dec 2016 (8.08%)
2015219 May 2015 (-4.63%), 09 Sep 2015 (11.45%)
2014728 Feb 2014 (7.55%), 05 Jun 2014 (-5.84%), 07 Jul 2014 (-4.39%), 08 Jul 2014 (-5.3%), 01 Sep 2014 (-4.91%), 17 Oct 2014 (10.46%), 31 Dec 2014 (-4.72%)
2013604 Jan 2013 (6.37%), 21 Feb 2013 (-4.7%), 04 Mar 2013 (10.98%), 16 Apr 2013 (9.3%), 09 Jul 2013 (11.24%), 31 Oct 2013 (-4.83%)
2012117 Sep 2012 (10.61%)
20111014 Feb 2011 (-7.17%), 24 Mar 2011 (-4.7%), 04 Apr 2011 (-3.96%), 20 Apr 2011 (-3.61%), 02 Jun 2011 (-3.93%), 23 Jun 2011 (9.04%), 01 Nov 2011 (-5.33%), 02 Nov 2011 (-5.64%), 08 Nov 2011 (-6.21%), 29 Dec 2011 (16.31%)
2010606 Apr 2010 (-3.84%), 07 Apr 2010 (8.12%), 20 Apr 2010 (9.35%), 27 May 2010 (11.48%), 02 Aug 2010 (-3.21%), 23 Nov 2010 (-4.72%)
2009419 May 2009 (12.51%), 03 Jul 2009 (-4.96%), 08 Jul 2009 (-5.98%), 17 Dec 2009 (-4.13%)
2008715 Jan 2008 (-6.2%), 16 Jan 2008 (-6.69%), 03 Apr 2008 (-7.25%), 07 Jul 2008 (14.45%), 19 Sep 2008 (-6.5%), 23 Oct 2008 (-10.06%), 12 Dec 2008 (17.1%)
2007119 Jan 2007 (-3.59%)
2006516 Jan 2006 (8.64%), 02 Feb 2006 (-4.83%), 22 Jun 2006 (-8.74%), 22 Sep 2006 (-3.52%), 14 Dec 2006 (-4.15%)
2005216 Sep 2005 (-5.1%), 08 Nov 2005 (10.56%)
2004428 Sep 2004 (8.11%), 02 Dec 2004 (-4.06%), 15 Dec 2004 (-4.09%), 29 Dec 2004 (-4.22%)
2003207 Feb 2003 (-5.92%), 26 Jun 2003 (-5.83%)
2002106 May 2002 (-5.65%)



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