Study: Buy RELIANCE 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 RELIANCE 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 RELIANCE 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
137.5369313844.934246.9416001.66-3463.62-24734.11.2312e-050.54
222055.0869363352.176057.9933291.77-5940.38-30907.191.021.110.0074319.64
344696.7969353450.728060.5345877.14-6982.99-32533.891.151.190.012647.78
480834.6569353450.729107.5360653.02-6997.9-29793.891.31.340.0191171.52
592186.3669373253.629982.1463050.71-8661.02-28863.41.151.330.0191336.03
695589.0169363352.1710672.6873150.46-8746.29-31032.331.221.330.0191385.35
757764.4169363352.179685.3952130.6-8815.45-31574.561.11.20.013837.17
841478.5669363352.1710946.4954676.26-10684.7-35646.931.021.120.0082601.14
914547169373253.6212815.1771113.88-10271.58-33254.571.251.440.0262108.27
1022481669383155.0714287.2792809.64-10261.28-34032.51.391.710.0363258.21
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
atrnil25.6563979.1979314839.2413766.7728768.32-7558.14-18305.511.821.180.015809.86
atrnil38.2168103.3578245430.7719985.543152.48-7621.27-18305.512.621.170.013873.12
atrtrail24.19-6590.5279295036.719775.2128768.32-5801.43-13581.611.680.98-0.0019-83.42
atrtrail34.55-14003.9878285035.99859.5634222.53-5801.43-13581.611.70.95-0.0038-179.54
atrtrail-15.01-26416.0878285035.99416.2745623.27-5801.43-13581.611.620.91-0.0072-338.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 39.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
RELIANCE Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 Aug 2019 (-3.19%)
2018223 Aug 2018 (4.0%), 02 Nov 2018 (7.13%)
2017205 Apr 2017 (-2.32%), 23 Nov 2017 (-2.14%)
2016513 Apr 2016 (-1.96%), 27 May 2016 (-1.77%), 07 Oct 2016 (-2.15%), 23 Nov 2016 (-2.01%), 24 Nov 2016 (4.2%)
2015315 Jan 2015 (4.64%), 23 Jul 2015 (-2.03%), 09 Sep 2015 (-2.92%)
2014209 May 2014 (4.42%), 12 May 2014 (4.74%)
2013217 Jan 2013 (3.77%), 30 Aug 2013 (-3.63%)
2012205 Oct 2012 (-3.55%), 27 Nov 2012 (3.77%)
2011514 Feb 2011 (6.3%), 26 May 2011 (-2.19%), 29 Jun 2011 (-2.47%), 24 Aug 2011 (-2.9%), 30 Aug 2011 (6.6%)
2010617 Feb 2010 (-2.6%), 18 Feb 2010 (-2.81%), 03 Mar 2010 (-2.67%), 23 Aug 2010 (-1.85%), 08 Nov 2010 (-2.24%), 06 Dec 2010 (-2.73%)
2009305 May 2009 (7.55%), 18 May 2009 (-4.59%), 19 May 2009 (-5.48%)
2008815 Feb 2008 (-5.89%), 25 Mar 2008 (11.31%), 18 Jun 2008 (-4.32%), 27 Jun 2008 (-5.11%), 03 Jul 2008 (-5.78%), 09 Jul 2008 (-5.58%), 18 Jul 2008 (10.15%), 31 Oct 2008 (-9.15%)
2007321 Mar 2007 (6.11%), 17 May 2007 (5.16%), 29 Oct 2007 (-5.31%)
2006208 Feb 2006 (7.79%), 19 Jun 2006 (11.41%)
2005423 Feb 2005 (4.92%), 20 Jul 2005 (5.23%), 02 Sep 2005 (5.61%), 27 Sep 2005 (-3.12%)
2004606 Sep 2004 (4.99%), 30 Sep 2004 (4.08%), 19 Oct 2004 (-2.22%), 03 Dec 2004 (-3.28%), 24 Dec 2004 (-3.11%), 27 Dec 2004 (-3.48%)
2003529 Jul 2003 (-2.76%), 30 Jul 2003 (6.07%), 19 Aug 2003 (6.3%), 30 Sep 2003 (-4.23%), 04 Nov 2003 (-3.89%)
2002113 Aug 2002 (5.81%)
2001220 Apr 2001 (-6.23%), 01 Oct 2001 (-6.79%)
2000324 Mar 2000 (14.38%), 04 Jul 2000 (6.41%), 31 Oct 2000 (7.87%)
1999207 Jun 1999 (-5.19%), 21 Oct 1999 (-4.47%)
1998225 Jun 1998 (-5.09%), 04 Sep 1998 (9.33%)
1997201 Mar 1997 (-3.6%), 01 Dec 1997 (-4.89%)
1996230 Jan 1996 (11.06%), 16 Jul 1996 (12.27%)
1995430 Mar 1995 (-4.55%), 18 May 1995 (-3.74%), 19 May 1995 (-4.21%), 01 Dec 1995 (-5.19%)



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