Study: Buy MARICO 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 MARICO 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 MARICO 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
170956.2768373154.413748.5522285.31-2185.16-9648.471.722.050.051043.47
269163.95683434505320.0424698.37-3285.81-12640.241.621.620.0361017.12
363776.1568303844.126623.6422143.36-3550.87-15557.221.871.470.03937.88
475023.9168363252.946588.1524172.44-5067.17-16604.341.31.460.0311103.29
572262.368363252.947836.6831408.78-6558.07-26464.211.191.340.0251062.68
649170.0168353351.477583.8527171.15-6553.47-14864.861.161.230.018723.09
783170.0468363252.948586.2631795.55-7060.48-27364.861.221.370.0261223.09
858410.368353351.478407.7130467.97-7147.26-28885.141.181.250.019858.97
913544368353351.4710093.1639801.16-6600.53-27871.621.531.620.0381991.81
1014472868383055.889217.4842139.27-6851.19-29898.651.351.70.0392128.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.05. 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 54.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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.
MARICO Performance, X=1, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Mar 2019 (0.36%)
2018325 Jul 2018 (1.8%), 16 Oct 2018 (-1.01%), 13 Dec 2018 (-0.6%)
2017329 Mar 2017 (-0.74%), 26 Apr 2017 (-1.73%), 02 Jun 2017 (0.34%)
2016302 May 2016 (-4.82%), 24 Nov 2016 (1.96%), 28 Dec 2016 (0.52%)
2015615 Jan 2015 (-1.45%), 03 Mar 2015 (4.12%), 31 Mar 2015 (0.44%), 15 May 2015 (1.08%), 22 Jun 2015 (-1.01%), 14 Sep 2015 (-0.86%)
2014521 Mar 2014 (0.53%), 23 May 2014 (2.94%), 04 Sep 2014 (1.52%), 30 Sep 2014 (0.4%), 31 Oct 2014 (-0.26%)
2013304 Jan 2013 (1.18%), 01 Feb 2013 (-2.63%), 08 Jul 2013 (-0.1%)
2012206 Feb 2012 (2.29%), 21 Mar 2012 (-0.37%)
2011320 May 2011 (-1.8%), 16 Jun 2011 (1.4%), 01 Dec 2011 (-0.37%)
2010615 Jan 2010 (-1.42%), 06 Apr 2010 (-0.26%), 08 Sep 2010 (-1.19%), 01 Oct 2010 (1.24%), 27 Oct 2010 (2.9%), 21 Dec 2010 (0.08%)
2009528 May 2009 (-0.14%), 24 Aug 2009 (0.79%), 09 Sep 2009 (-3.15%), 25 Sep 2009 (0.0%), 07 Dec 2009 (0.75%)
2008302 Jan 2008 (11.14%), 18 Jul 2008 (0.09%), 29 Sep 2008 (-1.52%)
2007422 Mar 2007 (0.27%), 27 Sep 2007 (1.25%), 29 Oct 2007 (-0.54%), 07 Dec 2007 (3.26%)
2006208 Mar 2006 (4.61%), 19 Jun 2006 (1.09%)
2004409 Feb 2004 (-0.04%), 24 May 2004 (-0.84%), 11 Jun 2004 (0.93%), 02 Nov 2004 (2.62%)
2002406 Jun 2002 (-0.08%), 25 Jul 2002 (-2.37%), 14 Oct 2002 (-1.19%), 01 Nov 2002 (0.63%)
2001213 Jul 2001 (4.41%), 21 Nov 2001 (0.51%)
2000217 Feb 2000 (-0.61%), 14 Mar 2000 (3.16%)
1999301 Mar 1999 (6.05%), 24 Jun 1999 (0.3%), 13 Oct 1999 (-1.48%)
1998326 Jun 1998 (1.1%), 14 Oct 1998 (-0.51%), 21 Dec 1998 (1.28%)
1997103 Dec 1997 (-0.79%)

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
nilnil-1170956.2768373154.413748.5522285.31-2185.16-9648.471.722.050.051043.47
atrnil312.1327681368254336.7623310.4961032.93-7115.1-15409.773.281.90.0554070.78
atrnil27.1223015874353947.314682.3940688.62-7275.03-15409.772.021.810.0573110.24
atrtrail24.5413265380354543.7511150.4940688.62-5724.76-11157.481.951.510.0361658.16
atrtrail35.1176458.2379344543.049729.1930667.93-5651.87-11157.481.721.30.022967.83
atrtrail-15.6447092.9875324342.678954.4539577.43-5568.59-11157.481.611.20.014627.91

In the table above, row 1 shows the best exit criterion. Profit factor is 2.05. 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 54.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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