Study: Buy NIFTY 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 NIFTY 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 NIFTY 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
115564.2335191654.291688.134058.26-1031.9-4565.21.641.940.079444.69
218840.4635201557.142200.037014.39-1677.34-4764.431.311.750.071538.3
311602.9635181751.432333.177284.38-1787.89-5334.81.31.380.041331.51
430371.96352114602714.757283-1902.69-6379.681.432.140.093867.77
525624.0935201557.1433368570.68-2739.73-7629.371.221.620.059732.12
614259.7835171848.573875.0515532.37-2867.56-6046.781.351.280.03407.42
74844.6635191654.293684.7116131.8-4072.8-10257.510.91.070.0087138.42
813762.2535201557.14396313849.19-4366.52-9937.50.911.210.024393.21
92251.2435201557.143937.4813845.54-5099.89-15527.10.771.030.003464.32
1032913.9435231265.714356.1313478.2-5606.43-15405.460.781.490.051940.4
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
NIFTY Performance, X=4, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 May 2019 (0.13%), 14 Aug 2019 (-1.0%), 23 Sep 2019 (-0.76%)
2018313 Mar 2018 (-3.19%), 21 Aug 2018 (1.45%), 29 Oct 2018 (2.95%)
2017522 Feb 2017 (0.21%), 05 Apr 2017 (-0.3%), 26 Apr 2017 (-0.43%), 11 May 2017 (1.1%), 26 May 2017 (0.22%)
2016429 Jan 2016 (-2.11%), 01 Mar 2016 (3.64%), 29 Nov 2016 (-0.16%), 29 Dec 2016 (1.07%)
2015226 Nov 2015 (0.6%), 17 Dec 2015 (0.28%)
2014417 Feb 2014 (1.35%), 12 May 2014 (2.69%), 05 Jun 2014 (2.04%), 22 Jul 2014 (-0.25%)
2013403 Jan 2013 (-0.63%), 07 Mar 2013 (-0.21%), 16 Apr 2013 (2.6%), 30 Aug 2013 (2.21%)
2012325 May 2012 (0.08%), 08 Nov 2012 (-1.88%), 19 Dec 2012 (-0.4%)
2011315 Feb 2011 (0.69%), 30 May 2011 (0.8%), 30 Aug 2011 (2.47%)
2010405 Apr 2010 (-0.12%), 31 May 2010 (0.97%), 05 Nov 2010 (-1.87%), 14 Dec 2010 (0.95%)

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
atrtrail24.1816793.0738162242.113650.917612.68-1891.89-3709.871.931.40.043441.92
atrtrail-15.6616194.738162242.113613.5112254.97-1891.89-3709.871.911.390.039426.18
atrtrail3512972.0338162242.113412.18731.99-1891.89-3709.871.81.310.034341.37
atrnil37.95284.413892923.688493.9611661.66-2626.25-4647.213.2310.000497.48
atrnil26.03-3051.2338122631.585477.327774.44-2645.35-4647.212.070.96-0.0065-80.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
NIFTY Performance, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 May 2019 (-1.29%), 14 Aug 2019 (-1.2%), 23 Sep 2019 (-1.73%)
2018313 Mar 2018 (-1.22%), 21 Aug 2018 (1.42%), 29 Oct 2018 (3.57%)
2017522 Feb 2017 (-0.6%), 05 Apr 2017 (-0.72%), 26 Apr 2017 (-0.76%), 11 May 2017 (0.42%), 26 May 2017 (0.09%)
2016429 Jan 2016 (-1.49%), 01 Mar 2016 (3.81%), 29 Nov 2016 (-0.41%), 29 Dec 2016 (2.25%)
2015326 Nov 2015 (-0.16%), 17 Dec 2015 (-1.14%), 18 Dec 2015 (2.3%)
2014417 Feb 2014 (0.26%), 12 May 2014 (2.35%), 05 Jun 2014 (2.86%), 22 Jul 2014 (-0.38%)
2013503 Jan 2013 (-0.76%), 15 Jan 2013 (-0.94%), 07 Mar 2013 (0.26%), 16 Apr 2013 (2.91%), 30 Aug 2013 (-0.84%)
2012325 May 2012 (-0.15%), 08 Nov 2012 (-1.01%), 19 Dec 2012 (-0.98%)
2011315 Feb 2011 (-0.73%), 30 May 2011 (0.73%), 30 Aug 2011 (0.87%)
2010505 Apr 2010 (-1.04%), 31 May 2010 (-1.85%), 01 Jun 2010 (1.47%), 05 Nov 2010 (-1.41%), 14 Dec 2010 (3.66%)



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