Study: Buy NMDC 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 NMDC 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 NMDC 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
110799.4147182938.36176.0439944.48-3461.01-10003.991.781.110.0091229.77
222748.6947212644.688178.456322-5730.68-19489.841.431.150.013484.01
3-42248.6447192840.437784.0642165.16-6790.92-25587.881.150.78-0.026-898.91
4-27111.7147242351.067486.3641748.79-8990.63-20372.340.830.87-0.015-576.84
5-3482.3947232448.9410254.4241498.96-9972.25-22080.511.030.99-0.0016-74.09
6-1407.6747222546.8110285.2245791.92-9107.3-23563.831.130.99-0.00066-29.95
720370.8647232448.9410874.9736752.26-9573.06-30425.531.141.090.0097433.42
844044.5447242351.0611932.9241559.03-10536.76-36382.981.131.180.019937.12
950776.7647252253.1912079.1734896.9-11418.29-46063.831.061.20.0211080.36
1042745.8947212644.6815855.0950532.52-11161.96-54308.511.421.150.015909.49
Although, strategy looks good but profit factor on day 3 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
atrtrail-15.1197274.6353173632.0818609.28131728-6085.64-14636.263.061.440.0261835.37
atrnil37.8779127.7753143926.4226232.5247219.14-7387.89-14636.263.551.270.0281492.98
atrnil26.2149997.1253183533.9617057.1531479.42-7343.76-14636.262.321.190.023943.34
atrtrail34.6729081.2754183633.3313786.9147219.14-6085.64-14636.262.271.130.013538.54
atrtrail24.0417440.0554183633.3313140.1831479.42-6085.64-14636.262.161.080.0091322.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 32.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
NMDC Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Jan 2019 (-2.75%), 22 May 2019 (5.43%), 06 Sep 2019 (-1.57%)
2018614 Mar 2018 (-1.87%), 22 Mar 2018 (-3.46%), 23 Mar 2018 (-1.82%), 06 Apr 2018 (2.56%), 25 Jul 2018 (8.68%), 12 Dec 2018 (0.96%)
2017307 Jun 2017 (-2.98%), 03 Jul 2017 (6.65%), 31 Aug 2017 (5.61%)
2016405 Feb 2016 (-3.17%), 08 Apr 2016 (-2.33%), 18 Aug 2016 (-0.26%), 07 Sep 2016 (-2.62%)
2015520 Jan 2015 (-2.59%), 22 Jun 2015 (-3.02%), 13 Jul 2015 (-2.56%), 11 Aug 2015 (-2.43%), 27 Aug 2015 (2.3%)
2014619 Mar 2014 (-2.13%), 14 May 2014 (-2.56%), 15 May 2014 (11.43%), 03 Jun 2014 (2.59%), 21 Oct 2014 (1.81%), 08 Dec 2014 (-2.74%)
2013718 Feb 2013 (-0.77%), 07 Mar 2013 (-2.56%), 02 Apr 2013 (-3.41%), 16 Apr 2013 (-3.27%), 10 Jun 2013 (-2.75%), 01 Jul 2013 (-3.3%), 12 Aug 2013 (1.28%)
2012206 Dec 2012 (-3.16%), 14 Dec 2012 (2.38%)
2011427 May 2011 (3.63%), 02 Sep 2011 (1.12%), 05 Dec 2011 (-4.66%), 26 Dec 2011 (-4.06%)
2010607 Apr 2010 (-5.74%), 31 May 2010 (-3.16%), 15 Jun 2010 (-0.13%), 04 Oct 2010 (-1.37%), 05 Nov 2010 (-3.03%), 03 Dec 2010 (-4.25%)
2009506 May 2009 (-2.38%), 18 May 2009 (-6.39%), 19 May 2009 (65.86%), 17 Jul 2009 (-6.95%), 09 Nov 2009 (21.83%)
2008214 Jul 2008 (-7.32%), 03 Nov 2008 (14.05%)



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