Study: Buy STAR 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 STAR 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 STAR 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
155108.0456302653.575840.3521704.84-4619.32-14285.711.261.460.033984.07
262687.5756243242.8610677.6237445.02-6049.23-28571.431.771.320.0241119.42
3-11029.0655253045.4510636.9443641.23-9231.75-44468.551.150.96-0.0035-200.53
4-88703.2955253045.4510355.235417.86-11586.11-46926.970.890.74-0.026-1612.79
5-76579.3955292652.7310264.4630728.65-14394.18-48514.850.710.8-0.021-1392.35
6-79378.1955262947.2712318.5335303.12-13781.38-49746.930.890.8-0.02-1443.24
7-90037.255272849.0912037.3635838.59-14823.06-51771.510.810.78-0.023-1637.04
8-248.355262947.2713307.7533811.44-11939.65-56471.441.111-6.6e-05-4.51
94355.3955262947.2715540.3233505.45-13782.52-62689.81.131.010.00179.19
1016368.2455253045.4517465.4339539.01-14008.92-67100.511.251.040.0035297.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, 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.

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
nilnil-1155108.0456302653.575840.3521704.84-4619.32-14285.711.261.460.033984.07
atrtrail24.6625131.8664244037.515316.6130534.55-8561.67-21691.691.791.070.0071392.69
atrnil26.9724139.5164244037.520206.0636955.92-11520.15-26148.191.751.050.0055377.18
atrnil39.837976.458164227.5930802.1655433.88-11544.24-26148.192.671.020.0016137.52
atrtrail35.56-44803.0861233837.712578.0136167.21-8792.04-21691.691.430.87-0.014-734.48
atrtrail-16.1-87987.1761233837.710700.4431403.47-8792.04-21691.691.220.74-0.03-1442.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, 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.
STAR Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Feb 2019 (-0.08%), 02 Jul 2019 (-0.57%), 30 Jul 2019 (3.85%), 14 Oct 2019 (5.05%)
2018516 Feb 2018 (1.03%), 14 Mar 2018 (2.84%), 24 Apr 2018 (-1.43%), 26 Jul 2018 (1.2%), 31 Oct 2018 (0.27%)
2017202 Jun 2017 (0.1%), 20 Nov 2017 (1.06%)
2016327 Jan 2016 (-1.97%), 01 Mar 2016 (10.85%), 08 Sep 2016 (1.2%)
2015231 Mar 2015 (1.51%), 16 Sep 2015 (0.38%)
2014305 Jun 2014 (9.42%), 03 Jul 2014 (-0.94%), 04 Sep 2014 (0.48%)
2013107 Aug 2013 (-2.11%)
2012414 Mar 2012 (2.5%), 04 Apr 2012 (-2.1%), 07 Jun 2012 (-1.56%), 13 Jul 2012 (1.25%)
2011417 Feb 2011 (-0.87%), 04 Mar 2011 (-3.4%), 04 Jul 2011 (-0.78%), 05 Sep 2011 (-1.57%)
2010508 Jan 2010 (-1.35%), 10 Feb 2010 (1.29%), 03 Mar 2010 (0.59%), 19 Mar 2010 (-1.81%), 22 Apr 2010 (-2.31%)
2009419 May 2009 (0.77%), 11 Aug 2009 (3.35%), 02 Sep 2009 (0.22%), 01 Oct 2009 (-5.54%)
2008507 Feb 2008 (2.42%), 06 May 2008 (-1.65%), 19 Aug 2008 (-2.24%), 03 Nov 2008 (-2.6%), 20 Nov 2008 (0.75%)
2007204 Jul 2007 (-3.54%), 21 Aug 2007 (-1.46%)
2006209 Jun 2006 (6.06%), 29 Sep 2006 (-2.36%)
2005204 Jan 2005 (-6.19%), 02 Aug 2005 (1.99%)
2004324 May 2004 (-4.46%), 29 Sep 2004 (1.69%), 03 Nov 2004 (6.03%)
2002125 Jan 2002 (-7.14%)
2001221 Mar 2001 (0.0%), 25 Sep 2001 (3.46%)
2000227 Apr 2000 (8.0%), 08 Jun 2000 (8.01%)



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