Study: Buy KSCL 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 KSCL 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 KSCL 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
1-17945944182640.915402.5915389.07-10642.53-1580600.510.35-0.05-4078.62
2-11915944192543.188411.6127454.49-11159.19-1574370.750.57-0.032-2708.16
3-165620442222506881.5815756.49-14409.76-1592330.480.48-0.044-3764.09
4-15401344232152.278890.0430156.06-17070.65-1603410.520.57-0.039-3500.29
5-15374544182640.9111023.5626612.67-13544.95-1589580.810.56-0.039-3494.2
6-10513044212347.7312763.3634712.18-16224.37-1535710.790.72-0.026-2389.32
7-38937.2244232152.2713390.0445820.08-16519.43-1534870.810.89-0.0094-884.94
8-66029.3844242054.5510306.5752704.66-15669.36-1519860.660.79-0.017-1500.67
9-46358.7944232152.2712817.0357101.53-16245.26-1510680.790.86-0.011-1053.61
1024230.8544261859.0913668.661614.12-18397.38-1510240.741.070.0057550.7
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
atrnil310.941996.4249123724.4937656.45103641-11077.86-29653.73.41.10.011857.07
atrtrail25.124869.7952232944.2312510.9525768.41-9754.55-29653.71.281.020.002193.65
atrnil28.67-4923.6152163630.7724478.3869094.3-11016.05-29653.72.220.99-0.0015-94.68
atrtrail35.82-4245.0651222943.1412236.6938652.62-9429.39-29653.71.30.98-0.0017-83.24
atrtrail-16.8-45297.325021294210435.8455038.42-9118.96-29653.71.140.83-0.02-905.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 24.49%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KSCL Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018321 Feb 2018 (-4.19%), 09 Aug 2018 (-3.23%), 30 Oct 2018 (18.79%)
2017425 Apr 2017 (-2.57%), 26 Apr 2017 (-2.7%), 01 Sep 2017 (-4.73%), 09 Oct 2017 (11.36%)
2016401 Jan 2016 (-6.57%), 01 Feb 2016 (-5.84%), 11 Aug 2016 (-3.6%), 28 Nov 2016 (-4.67%)
2015802 Jan 2015 (-3.38%), 07 Jan 2015 (-3.85%), 04 Feb 2015 (-3.82%), 10 Jul 2015 (-4.27%), 02 Sep 2015 (-8.5%), 03 Sep 2015 (-9.2%), 30 Nov 2015 (-5.22%), 18 Dec 2015 (-4.46%)
2014524 Jan 2014 (-3.51%), 14 Feb 2014 (51.82%), 22 Jul 2014 (-5.3%), 23 Jul 2014 (-5.87%), 22 Dec 2014 (-3.99%)
2013303 Apr 2013 (-4.61%), 12 Aug 2013 (-4.34%), 10 Dec 2013 (10.63%)
2012329 May 2012 (-4.62%), 23 Oct 2012 (-4.07%), 07 Nov 2012 (9.88%)
2011514 Feb 2011 (-5.58%), 15 Feb 2011 (18.65%), 31 Mar 2011 (19.18%), 14 Jun 2011 (-3.57%), 29 Jun 2011 (11.92%)
2010201 Feb 2010 (-5.94%), 04 Nov 2010 (-4.12%)
2009701 Jan 2009 (-7.36%), 31 Mar 2009 (16.84%), 06 Apr 2009 (-6.17%), 21 May 2009 (19.28%), 22 Jul 2009 (19.33%), 11 Sep 2009 (-4.55%), 01 Dec 2009 (18.26%)
2008521 Apr 2008 (-6.04%), 22 Jul 2008 (-7.57%), 21 Oct 2008 (-14.83%), 03 Nov 2008 (-13.73%), 08 Dec 2008 (-8.41%)



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