Study: Buy KOTAKBANK 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 KOTAKBANK 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 KOTAKBANK 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
118705779463358.236556.5426802.37-3471.01-13293.721.892.630.0692367.81
218349779423753.168865.6853471.5-5104.37-12248.61.741.970.0452322.75
321826779413851.911670.4758963.73-6847.95-21124.871.71.840.0392762.87
430690179433654.4314154.0172977.1-8381.14-28336.921.692.020.0443884.83
542989679413851.918966.5494961.83-9150.86-28694.982.072.240.055441.72
637716979403950.6318811.95117791-9623.31-24315.981.9520.0454774.29
746463479463358.2317741.01143329-10650.06-28444.441.672.320.0515881.45
854811179463358.2320779.87170875-12356.46-40501.241.682.340.0516938.11
959418379483160.7621515.53200574-14147.18-54001.661.522.350.0497521.3
1067615679502963.2922950.01232712-16253.26-60361.741.412.430.058558.93

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.63. 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 58.23%, which is not acceptable. Avoid this strategy. Average return per trade is 1.18%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
KOTAKBANK Performance, X=1, Profit Factor:2.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Apr 2019 (0.91%), 20 May 2019 (-0.98%)
2018404 Jul 2018 (-0.02%), 28 Aug 2018 (0.27%), 11 Oct 2018 (4.63%), 09 Nov 2018 (1.6%)
2017505 Apr 2017 (0.51%), 27 Apr 2017 (-1.6%), 12 May 2017 (1.95%), 29 May 2017 (-0.68%), 22 Jun 2017 (-1.27%)
2016201 Mar 2016 (2.8%), 27 Dec 2016 (0.13%)
2015208 Jan 2015 (1.51%), 11 Sep 2015 (2.3%)
2014617 Feb 2014 (4.54%), 11 Apr 2014 (-1.84%), 09 May 2014 (-0.01%), 11 Jun 2014 (0.55%), 12 Aug 2014 (-0.79%), 21 Nov 2014 (0.05%)
2013114 Aug 2013 (-4.39%)
2011503 Jan 2011 (0.74%), 24 Jan 2011 (-2.19%), 11 Feb 2011 (5.3%), 25 Apr 2011 (-1.19%), 25 May 2011 (1.52%)
2010313 Sep 2010 (4.61%), 04 Oct 2010 (0.82%), 02 Dec 2010 (-0.55%)
2009309 Feb 2009 (2.76%), 13 Mar 2009 (2.61%), 05 May 2009 (-6.65%)
2008518 Feb 2008 (-0.73%), 25 Mar 2008 (8.49%), 09 Jul 2008 (-0.44%), 04 Nov 2008 (1.24%), 28 Nov 2008 (-4.74%)
2007422 Mar 2007 (5.1%), 17 May 2007 (-1.57%), 21 Jun 2007 (-2.2%), 16 Jul 2007 (-1.52%)
2006420 Mar 2006 (2.25%), 20 Apr 2006 (5.43%), 28 Sep 2006 (-1.67%), 02 Nov 2006 (0.61%)
2005308 Jul 2005 (2.64%), 25 Jul 2005 (0.41%), 15 Sep 2005 (0.49%)
2004425 May 2004 (-0.54%), 09 Jun 2004 (-1.11%), 05 Aug 2004 (-0.86%), 28 Dec 2004 (-1.15%)
2003320 Aug 2003 (-5.29%), 11 Sep 2003 (-2.28%), 29 Sep 2003 (2.49%)
2002507 Jan 2002 (13.4%), 14 Feb 2002 (7.4%), 05 Jun 2002 (1.98%), 03 Oct 2002 (1.05%), 14 Nov 2002 (-0.71%)
2001124 Sep 2001 (0.0%)
2000128 Jan 2000 (8.0%)
1999418 Mar 1999 (-2.56%), 11 Aug 1999 (8.09%), 28 Sep 1999 (4.7%), 26 Nov 1999 (8.03%)
1998309 Apr 1998 (5.61%), 14 Aug 1998 (-1.71%), 26 Oct 1998 (4.89%)
1997202 Jun 1997 (-1.7%), 03 Dec 1997 (1.01%)
1996431 Jan 1996 (11.4%), 19 Jul 1996 (2.66%), 14 Nov 1996 (1.54%), 12 Dec 1996 (-2.61%)
1995330 Mar 1995 (-1.74%), 09 May 1995 (0.9%), 27 Sep 1995 (0.88%)

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
atrtrail-15.8895428284374744.0534791.44631356-7085.13-19324.484.913.870.03311360.5
nilnil-1118705779463358.236556.5426802.37-3471.01-13293.721.892.630.0692367.81
atrnil38.4660115484384645.2427579.5464513.04-9714.53-23483.512.842.350.0737156.6
atrtrail34.6628639087404745.9815484.7647599.77-7085.13-19324.482.191.860.0453291.83
atrnil25.8931759890434747.7817850.7943008.69-9574.16-23483.511.861.710.0483528.87
atrtrail23.8223350090424846.6713851.7332461.27-7255.67-19324.481.911.670.0422594.45

In the table above, row 1 shows the best exit criterion. Profit factor is 3.87. Strategy is very good and impressively bullish. Percentage of profitable trades is 44.05%, which is not acceptable. Avoid this strategy. Average return per trade is 5.68%, which is very good. Sharpe Ratio is 0.033, 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.
KOTAKBANK Performance, Profit Factor:3.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Apr 2019 (-0.88%), 30 Apr 2019 (0.19%), 20 May 2019 (-0.05%)
2018404 Jul 2018 (1.47%), 28 Aug 2018 (-1.65%), 11 Oct 2018 (3.88%), 09 Nov 2018 (-0.24%)
2017405 Apr 2017 (-1.25%), 27 Apr 2017 (4.29%), 29 May 2017 (0.29%), 22 Jun 2017 (-1.38%)
2016201 Mar 2016 (1.08%), 27 Dec 2016 (-0.66%)
2015208 Jan 2015 (1.86%), 11 Sep 2015 (1.96%)
2014717 Feb 2014 (2.53%), 11 Apr 2014 (-2.46%), 15 Apr 2014 (1.44%), 09 May 2014 (4.78%), 11 Jun 2014 (-2.24%), 12 Aug 2014 (9.34%), 21 Nov 2014 (-3.14%)
2013214 Aug 2013 (-3.75%), 23 Aug 2013 (-4.32%)
2011603 Jan 2011 (-2.19%), 24 Jan 2011 (-3.87%), 11 Feb 2011 (4.27%), 25 Apr 2011 (-2.76%), 26 Apr 2011 (-2.85%), 25 May 2011 (3.43%)
2010313 Sep 2010 (4.75%), 04 Oct 2010 (-1.15%), 02 Dec 2010 (-3.64%)
2009409 Feb 2009 (-4.69%), 13 Mar 2009 (16.91%), 05 May 2009 (-7.14%), 06 May 2009 (46.26%)
2008518 Feb 2008 (-9.66%), 25 Mar 2008 (-2.0%), 09 Jul 2008 (-8.33%), 04 Nov 2008 (-8.18%), 28 Nov 2008 (6.06%)
2007522 Mar 2007 (4.41%), 17 May 2007 (2.58%), 21 Jun 2007 (-3.72%), 16 Jul 2007 (-3.27%), 17 Jul 2007 (4.79%)
2006420 Mar 2006 (5.65%), 20 Apr 2006 (0.68%), 28 Sep 2006 (-3.89%), 02 Nov 2006 (-2.49%)
2005308 Jul 2005 (-0.26%), 25 Jul 2005 (12.39%), 15 Sep 2005 (-6.61%)
2004425 May 2004 (-8.08%), 09 Jun 2004 (-6.69%), 05 Aug 2004 (-3.12%), 28 Dec 2004 (-1.73%)
2003320 Aug 2003 (-5.95%), 11 Sep 2003 (-5.45%), 29 Sep 2003 (36.74%)
2002507 Jan 2002 (27.08%), 14 Feb 2002 (-0.32%), 05 Jun 2002 (3.47%), 03 Oct 2002 (-1.91%), 14 Nov 2002 (11.78%)
2001124 Sep 2001 (-3.84%)
2000128 Jan 2000 (0.82%)
1999418 Mar 1999 (-7.66%), 11 Aug 1999 (41.23%), 28 Sep 1999 (-1.48%), 26 Nov 1999 (315.68%)
1998309 Apr 1998 (0.34%), 14 Aug 1998 (-6.18%), 26 Oct 1998 (-1.21%)
1997202 Jun 1997 (-4.86%), 03 Dec 1997 (-4.38%)
1996431 Jan 1996 (28.67%), 19 Jul 1996 (-1.82%), 14 Nov 1996 (1.48%), 12 Dec 1996 (18.81%)
1995330 Mar 1995 (1.08%), 09 May 1995 (-3.07%), 27 Sep 1995 (11.15%)



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