Study: Buy SRF 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 SRF 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 SRF 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
1136175104515349.046722.7731443.21-3899.73-17260.791.721.660.0351309.38
2270187104535150.9611338.4951821.02-6485.34-26355.471.751.820.0412597.95
3227092104485646.1514495.1160770.03-8369.16-36171.41.731.480.0282183.58
4380640104564853.8514577.0272036.47-9076.52-26599.891.611.870.0463660
5329010104564853.8515898.4959729.45-11693.86-29885.061.361.590.0353163.55
6319286104545051.9216770.0469631.51-11725.92-31051.751.431.540.0323070.06
7391402104594556.7316322.891232.53-12703.19-34942.531.281.680.0383763.48
8289340104545051.9217474.6399872.94-13085.79-464001.341.440.0272782.12
9215747104554952.8816958.3878780.18-14631.92-560001.161.30.022074.49
10342429104515349.0420375.9776899.7-13146.15-440001.551.490.033292.58
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
atrnil37.08459727119417834.4530403.5544971.3-10087.41-24175.473.011.580.0393863.25
atrtrail34.49266109121427934.7121082.5344971.3-7839.96-20531.082.691.430.0272199.25
atrtrail-15.41195120116407634.4819463.7274025.72-7676.69-20531.082.541.330.021682.07
atrtrail23.94185894124448035.4818517.2940359.77-7860.83-20531.082.361.30.0221499.15
atrnil24.97196363124477737.920454.8540359.77-9935.26-24175.472.061.260.0211583.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 34.45%, which is not acceptable. Avoid this strategy. Average return per trade is 1.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
SRF Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019514 Jan 2019 (-2.74%), 21 Jun 2019 (-2.69%), 31 Jul 2019 (-3.28%), 06 Aug 2019 (-4.0%), 07 Aug 2019 (-4.25%)
2018712 Feb 2018 (-3.74%), 08 Jun 2018 (-3.89%), 09 Jul 2018 (-3.53%), 24 Jul 2018 (11.8%), 16 Oct 2018 (-4.89%), 24 Oct 2018 (14.86%), 18 Dec 2018 (-2.84%)
2017216 May 2017 (-2.48%), 17 Nov 2017 (10.52%)
2016609 Feb 2016 (-4.45%), 22 Feb 2016 (-4.85%), 01 Mar 2016 (13.07%), 10 May 2016 (-3.07%), 26 Sep 2016 (-2.91%), 30 Nov 2016 (-4.49%)
2015304 Aug 2015 (-3.33%), 14 Sep 2015 (-5.54%), 18 Dec 2015 (9.82%)
2014805 Feb 2014 (11.06%), 06 Mar 2014 (-3.93%), 10 Apr 2014 (-4.53%), 11 Apr 2014 (-5.0%), 19 May 2014 (12.64%), 27 Jun 2014 (-3.95%), 01 Sep 2014 (-4.55%), 30 Oct 2014 (-4.55%)
2013902 Jan 2013 (-2.23%), 07 Feb 2013 (-2.81%), 15 Feb 2013 (-2.96%), 02 Jul 2013 (-4.04%), 12 Aug 2013 (10.36%), 13 Aug 2013 (-4.41%), 27 Sep 2013 (10.32%), 29 Nov 2013 (10.52%), 02 Dec 2013 (-4.05%)
2012416 Feb 2012 (-3.31%), 20 Apr 2012 (-3.08%), 23 May 2012 (-2.95%), 03 Oct 2012 (-3.22%)
2011131 May 2011 (-2.76%)
2010418 Jan 2010 (-3.58%), 02 Mar 2010 (10.14%), 21 Apr 2010 (10.31%), 20 Dec 2010 (-7.17%)
2009423 Mar 2009 (14.85%), 04 May 2009 (20.0%), 19 May 2009 (19.63%), 23 Sep 2009 (13.32%)
2008403 Jan 2008 (-5.26%), 06 Feb 2008 (-10.27%), 22 Oct 2008 (-7.8%), 04 Nov 2008 (-9.49%)
2007420 Mar 2007 (21.95%), 22 May 2007 (-4.86%), 07 Jun 2007 (-4.47%), 28 Aug 2007 (14.36%)
2006429 Mar 2006 (10.49%), 30 Mar 2006 (12.38%), 19 Jun 2006 (-12.09%), 27 Jul 2006 (19.91%)
2005903 Mar 2005 (12.68%), 04 Apr 2005 (16.35%), 13 May 2005 (-5.92%), 08 Jun 2005 (15.49%), 04 Jul 2005 (15.99%), 05 Aug 2005 (-5.46%), 20 Sep 2005 (-3.61%), 21 Sep 2005 (-4.13%), 07 Nov 2005 (-6.36%)
2004308 Mar 2004 (-7.83%), 24 Mar 2004 (21.99%), 04 Nov 2004 (-5.1%)
2003601 Apr 2003 (10.49%), 30 May 2003 (-3.15%), 27 Jun 2003 (-6.95%), 18 Aug 2003 (-6.87%), 07 Oct 2003 (-9.43%), 04 Nov 2003 (22.36%)
2002715 Feb 2002 (-4.79%), 18 Feb 2002 (-5.48%), 19 Mar 2002 (-5.63%), 08 Apr 2002 (-5.44%), 04 Jun 2002 (17.4%), 05 Jun 2002 (-6.07%), 04 Nov 2002 (-4.37%)
2001302 Feb 2001 (12.45%), 07 May 2001 (16.82%), 15 Jun 2001 (14.46%)
2000423 Mar 2000 (-8.15%), 24 May 2000 (15.9%), 20 Oct 2000 (-5.76%), 27 Oct 2000 (-6.09%)
1999704 Jan 1999 (21.29%), 01 Feb 1999 (22.2%), 02 Feb 1999 (-8.34%), 20 Apr 1999 (-8.77%), 05 Jul 1999 (18.75%), 06 Aug 1999 (20.2%), 16 Sep 1999 (22.49%)
1998320 Jan 1998 (-5.25%), 20 Mar 1998 (-5.45%), 10 Apr 1998 (-10.09%)
1996812 Feb 1996 (-3.79%), 11 Apr 1996 (-4.37%), 30 Apr 1996 (-4.59%), 27 May 1996 (-4.64%), 28 May 1996 (-5.27%), 22 Aug 1996 (20.71%), 10 Oct 1996 (-4.54%), 10 Dec 1996 (11.12%)
1995423 May 1995 (-4.65%), 14 Jul 1995 (11.82%), 20 Oct 1995 (-6.33%), 01 Nov 1995 (-6.46%)



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