Study: Buy SHREECEM 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 SHREECEM 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 SHREECEM 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
134678.1475383750.674650.1823738.32-3838.61-13831.991.211.240.016462.38
216769775383750.678635.8632128.51-4336.91-17469.881.992.050.0522235.96
326019775413454.6711372.3738279.57-6060.89-20481.931.882.260.0593469.29
42511847542335612662.7657634.41-8504.59-36144.581.491.90.0473349.12
520936575433257.3311656.9661935.48-9121.4-41566.271.281.720.0412791.53
626401975443158.6712362.156774.19-9029.46-30120.481.371.940.0493520.26
730468375433257.3313719.2665806.45-8913.91-34337.351.542.070.0544062.44
835013275462961.3314315.4867096.77-10633.79-37349.41.352.140.0584668.43
942203675462961.3316448.288602.15-11537.29-34337.351.432.260.065627.14
104557757548276416580.5896344.09-12596.04-44323.161.322.340.0596077
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SHREECEM Performance, X=10, Profit Factor:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Mar 2019 (2.17%), 15 Apr 2019 (2.51%), 21 May 2019 (3.51%)
2018321 Feb 2018 (-5.33%), 13 Mar 2018 (-4.17%), 02 Nov 2018 (7.64%)
2017324 Apr 2017 (4.89%), 30 Aug 2017 (6.61%), 07 Dec 2017 (1.06%)
2016518 Apr 2016 (-4.1%), 03 Aug 2016 (1.64%), 06 Sep 2016 (-7.23%), 25 Nov 2016 (-1.39%), 30 Dec 2016 (1.52%)
2015210 Sep 2015 (0.83%), 16 Dec 2015 (5.97%)
2014226 Mar 2014 (4.89%), 13 May 2014 (12.57%)
2013313 Feb 2013 (-4.54%), 12 Mar 2013 (-6.82%), 03 Sep 2013 (11.13%)
2012519 Jan 2012 (5.74%), 30 Mar 2012 (-8.18%), 30 Jul 2012 (4.04%), 30 Nov 2012 (2.18%), 14 Dec 2012 (3.46%)
2011414 Feb 2011 (6.08%), 29 Jun 2011 (0.83%), 02 Sep 2011 (1.13%), 27 Dec 2011 (-1.37%)
2010604 Jan 2010 (11.64%), 20 May 2010 (-6.1%), 03 Jun 2010 (1.22%), 05 Aug 2010 (2.72%), 01 Nov 2010 (3.86%), 15 Dec 2010 (-1.09%)
2009504 Feb 2009 (4.71%), 04 Mar 2009 (4.8%), 18 May 2009 (13.76%), 17 Jul 2009 (25.0%), 18 Sep 2009 (-8.11%)
2008331 Mar 2008 (0.04%), 17 Jun 2008 (-22.16%), 10 Jul 2008 (6.31%)
2007222 Mar 2007 (-6.99%), 29 Aug 2007 (9.3%)
2006417 Feb 2006 (30.64%), 04 Apr 2006 (12.28%), 19 Jun 2006 (-0.35%), 06 Oct 2006 (1.38%)
2005105 Jan 2005 (1.0%)
2004130 Jul 2004 (0.57%)
2003327 Mar 2003 (3.56%), 09 Jun 2003 (10.69%), 15 Dec 2003 (18.11%)
2002507 Jan 2002 (-2.1%), 09 May 2002 (-8.3%), 02 Jul 2002 (-7.77%), 14 Aug 2002 (-2.09%), 04 Oct 2002 (5.93%)
2001128 Sep 2001 (11.41%)
1999304 Jun 1999 (48.17%), 06 Jul 1999 (8.47%), 03 Aug 1999 (35.54%)
1998315 Jan 1998 (-17.47%), 06 May 1998 (22.34%), 17 Nov 1998 (-6.72%)
1997317 Oct 1997 (-10.76%), 04 Nov 1997 (-14.29%), 21 Nov 1997 (4.78%)
1996502 Feb 1996 (9.35%), 03 Jun 1996 (-0.71%), 25 Jul 1996 (-4.79%), 11 Oct 1996 (-4.58%), 07 Nov 1996 (-2.54%)

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-15.8221684584354941.6715562.8469643.89-6690.9-17145.492.331.660.0332581.49
atrtrail35.1419373185364942.3514318.5544891.98-6566.05-17145.492.181.60.0352279.19
atrtrail24.3818001986374943.0213446.0629927.98-6479.3-17145.492.081.570.0382093.24
atrnil38.1327545983295434.9427147.8551978.31-9478.31-17145.492.861.540.0373318.78
atrnil26.2916036384364842.8617431.3534652.21-9732.62-17145.491.791.340.0281909.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
SHREECEM Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019429 Mar 2019 (-0.28%), 15 Apr 2019 (-0.61%), 26 Apr 2019 (-2.23%), 21 May 2019 (4.15%)
2018321 Feb 2018 (-1.93%), 13 Mar 2018 (-2.06%), 02 Nov 2018 (-0.0%)
2017324 Apr 2017 (1.4%), 30 Aug 2017 (4.41%), 07 Dec 2017 (0.21%)
2016518 Apr 2016 (-3.34%), 03 Aug 2016 (-0.51%), 06 Sep 2016 (-2.7%), 25 Nov 2016 (-4.17%), 30 Dec 2016 (-4.33%)
2015210 Sep 2015 (3.02%), 16 Dec 2015 (2.83%)
2014326 Mar 2014 (3.53%), 13 May 2014 (-2.6%), 14 May 2014 (-2.13%)
2013313 Feb 2013 (-3.91%), 12 Mar 2013 (-4.52%), 03 Sep 2013 (6.8%)
2012619 Jan 2012 (6.67%), 30 Mar 2012 (-1.88%), 30 Jul 2012 (-2.78%), 31 Jul 2012 (-1.54%), 30 Nov 2012 (-4.76%), 14 Dec 2012 (0.59%)
2011514 Feb 2011 (1.34%), 29 Jun 2011 (-3.21%), 02 Sep 2011 (-3.46%), 14 Sep 2011 (-2.07%), 27 Dec 2011 (-1.88%)
2010704 Jan 2010 (10.84%), 20 May 2010 (-3.86%), 02 Jun 2010 (0.41%), 05 Aug 2010 (1.35%), 01 Nov 2010 (5.57%), 15 Dec 2010 (-3.74%), 23 Dec 2010 (-3.15%)
2009604 Feb 2009 (3.4%), 04 Mar 2009 (4.77%), 18 May 2009 (-4.72%), 19 May 2009 (13.05%), 17 Jul 2009 (23.64%), 18 Sep 2009 (-4.19%)
2008331 Mar 2008 (-6.38%), 17 Jun 2008 (2.3%), 10 Jul 2008 (-8.57%)
2007222 Mar 2007 (-5.21%), 29 Aug 2007 (-5.18%)
2006417 Feb 2006 (33.49%), 04 Apr 2006 (6.2%), 19 Jun 2006 (0.58%), 06 Oct 2006 (-3.61%)
2005105 Jan 2005 (0.98%)
2004130 Jul 2004 (-2.09%)
2003327 Mar 2003 (1.71%), 09 Jun 2003 (-3.28%), 15 Dec 2003 (11.64%)
2002607 Jan 2002 (-8.4%), 15 Jan 2002 (-0.81%), 09 May 2002 (12.28%), 02 Jul 2002 (-3.79%), 14 Aug 2002 (-0.54%), 04 Oct 2002 (2.42%)
2001128 Sep 2001 (22.58%)
1999304 Jun 1999 (22.87%), 06 Jul 1999 (1.59%), 03 Aug 1999 (34.82%)
1998415 Jan 1998 (-5.52%), 06 May 1998 (-6.95%), 19 May 1998 (6.67%), 17 Nov 1998 (-4.14%)
1997317 Oct 1997 (-2.42%), 04 Nov 1997 (-5.15%), 21 Nov 1997 (2.6%)
1996602 Feb 1996 (11.62%), 03 Jun 1996 (-2.07%), 25 Jul 1996 (-5.85%), 11 Oct 1996 (-6.05%), 14 Oct 1996 (-0.68%), 07 Nov 1996 (-0.67%)



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