Study: Buy SUNPHARMA 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 SUNPHARMA 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 SUNPHARMA 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
18179.37753936523483.7816003.51-3546.89-27175.250.981.060.0042109.06
2-36619.29753639484854.6423622.64-5420.16-35803.910.90.83-0.012-488.26
3-9487.23753936525969.2536122.93-6730.22-40495.580.890.96-0.0026-126.5
4-47317.4175344145.337254.5740189.13-7170.07-37665.481.010.84-0.012-630.9
5-40153.5575344145.338037.5649078.01-7644.65-34401.431.050.87-0.0096-535.38
6-3060.84753639488846.6250212.77-8244.59-35432.851.070.99-0.00067-40.81
721018.22753639489757.7960189.13-8468.26-33684.481.151.060.0045280.24
8-23254.1375344145.3310627.5260094.56-9380.24-33929.751.130.94-0.0046-310.06
931007.2375403553.3310577.1564539.01-11202.25-47331.840.941.080.0057413.43
10-16096.4275383750.6711448.964822.7-12193.37-46935.630.940.96-0.0026-214.62
Although, strategy looks good but profit factor on day 2 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
atrnil39.53-49721.1479235629.1118307.8835264.98-8407.19-43276.252.180.89-0.0097-629.38
atrnil27.31-79240.9280295136.2512341.2423509.99-8571.31-43276.251.440.82-0.018-990.51
atrtrail35.28-92008.8581235828.411146.1635264.98-6006.39-35812.461.860.74-0.023-1135.91
atrtrail24.83-10670981235828.410507.0323509.99-6006.39-35812.461.750.69-0.029-1317.39
atrtrail-15.7-11186681235828.410282.7959167.64-6006.39-35812.461.710.68-0.026-1381.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 29.11%, which is not acceptable. Avoid this strategy. Average return per trade is -0.31%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:0.894

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Jan 2019 (-4.1%), 29 Mar 2019 (-2.7%), 28 May 2019 (-4.06%), 10 Jul 2019 (11.1%)
2018412 Feb 2018 (-3.49%), 28 May 2018 (-3.56%), 06 Nov 2018 (-3.35%), 17 Dec 2018 (-4.62%)
2017402 Jan 2017 (8.5%), 10 May 2017 (-2.07%), 12 Jun 2017 (10.09%), 24 Aug 2017 (10.69%)
2016327 May 2016 (-2.04%), 15 Jun 2016 (-2.32%), 18 Nov 2016 (-3.88%)
2015506 Apr 2015 (-3.28%), 13 May 2015 (-3.35%), 18 Jun 2015 (9.09%), 07 Aug 2015 (7.67%), 30 Nov 2015 (8.66%)
2014403 Apr 2014 (7.48%), 25 Jul 2014 (-2.39%), 18 Aug 2014 (6.81%), 30 Sep 2014 (-3.11%)
2013609 Jan 2013 (-2.12%), 11 Mar 2013 (-2.03%), 04 Apr 2013 (6.21%), 29 May 2013 (-3.2%), 29 Jul 2013 (-5.14%), 30 Sep 2013 (-3.57%)
2012123 Nov 2012 (6.91%)
2011518 Feb 2011 (-4.25%), 25 Jul 2011 (-2.4%), 26 Jul 2011 (-2.68%), 30 Aug 2011 (-3.34%), 11 Oct 2011 (9.63%)
2010414 May 2010 (-3.08%), 23 Aug 2010 (-2.38%), 15 Sep 2010 (6.91%), 02 Nov 2010 (7.23%)
2009618 May 2009 (-4.64%), 19 May 2009 (-6.27%), 11 Jun 2009 (-5.3%), 01 Dec 2009 (-3.45%), 02 Dec 2009 (-4.02%), 22 Dec 2009 (-3.12%)
2008430 Jan 2008 (-7.05%), 02 Sep 2008 (-3.46%), 10 Nov 2008 (-8.12%), 10 Dec 2008 (-6.88%)
2007121 May 2007 (-4.53%)
2006220 Mar 2006 (9.3%), 19 Apr 2006 (-4.07%)
2005831 Jan 2005 (-4.81%), 19 Apr 2005 (9.52%), 16 Jun 2005 (-2.84%), 27 Jun 2005 (-3.26%), 30 Jun 2005 (10.74%), 20 Jul 2005 (-3.58%), 29 Aug 2005 (-3.42%), 09 Nov 2005 (13.14%)
2004330 Apr 2004 (-4.56%), 26 May 2004 (-5.15%), 17 Dec 2004 (-3.61%)
2003318 Feb 2003 (-3.85%), 04 Jul 2003 (-4.08%), 08 Sep 2003 (-5.53%)
2002420 Feb 2002 (7.92%), 21 May 2002 (-3.14%), 22 May 2002 (-3.56%), 13 Jun 2002 (-5.4%)
2000318 Feb 2000 (17.63%), 31 Mar 2000 (-21.64%), 06 Oct 2000 (-5.9%)
1999109 Sep 1999 (-4.61%)
1997131 Dec 1997 (8.96%)
1996230 Jan 1996 (9.34%), 14 Oct 1996 (-3.04%)
1995105 May 1995 (6.99%)



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