Study: Buy SYNDIBANK 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 SYNDIBANK 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 SYNDIBANK 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
1-34408.2464283643.753091.758980.21-3360.48-14405.990.920.72-0.03-537.63
2-97427.1864204431.255890.6720145.85-4891.83-28880.871.20.55-0.048-1522.3
3-80557.964283643.756311.8318687.33-7146.92-22480.620.880.69-0.034-1258.72
4-43221.9764273742.197818.4223648.65-6873.5-31564.011.140.83-0.016-675.34
5-10377864273742.197419.2724864.86-8218.87-34573.640.90.66-0.036-1621.53
6-80868.3464244037.510746.0435135.14-8469.33-39000.851.270.76-0.023-1263.57
7-60549.1964303446.889595.5343918.92-10247.5-37829.460.940.83-0.016-946.08
8-10252064244037.512783.5836216.22-10233.14-41550.391.250.75-0.025-1601.87
9-99934.5764273742.1912747.8850140.32-12003.44-49922.481.060.77-0.021-1561.48
10-46880.0964293545.3113262.2753695.04-12328.17-40775.191.080.89-0.0097-732.5
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
atrnil38.2915160069224731.8826596.6840258.81-9223.97-21037.522.881.350.0292197.11
atrnil25.7883893.7773294439.7317187.226839.21-9421.25-21037.521.821.20.0191149.23
atrtrail24.5513432.7973294439.7311985.3624947.98-7594.15-16592.681.581.040.0039184.01
atrtrail-15.9310324.1370244634.2914547.5164953.78-7365.57-16592.681.981.030.0024147.49
atrtrail35.33-20381.3470244634.2913268.1137421.98-7365.57-16592.681.80.94-0.0056-291.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 31.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
SYNDIBANK Performance, Profit Factor:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018519 Jan 2018 (-4.13%), 22 Jan 2018 (-4.24%), 26 Feb 2018 (-5.03%), 11 Jul 2018 (-4.46%), 12 Oct 2018 (17.56%)
2017403 Jan 2017 (8.5%), 24 Apr 2017 (8.27%), 28 Aug 2017 (-3.35%), 27 Nov 2017 (-4.31%)
2016219 Feb 2016 (20.13%), 21 Apr 2016 (-3.96%)
2015308 Apr 2015 (-3.77%), 04 May 2015 (-3.57%), 15 Sep 2015 (14.73%)
2014606 May 2014 (-3.62%), 14 May 2014 (12.8%), 03 Jul 2014 (-5.02%), 22 Aug 2014 (-5.07%), 02 Sep 2014 (-4.71%), 13 Oct 2014 (14.97%)
2013708 Mar 2013 (-3.51%), 03 Apr 2013 (-4.34%), 15 Apr 2013 (13.13%), 09 Jul 2013 (-4.04%), 19 Nov 2013 (-4.69%), 03 Dec 2013 (-3.82%), 26 Dec 2013 (-3.53%)
2012505 Jan 2012 (14.67%), 13 Mar 2012 (-4.39%), 25 May 2012 (13.02%), 16 Aug 2012 (-3.21%), 04 Sep 2012 (-2.91%)
2011324 Jan 2011 (-4.61%), 27 May 2011 (-3.23%), 02 Sep 2011 (-4.5%)
2010310 Feb 2010 (-3.85%), 13 Aug 2010 (7.8%), 23 Dec 2010 (-5.17%)
2009118 Mar 2009 (18.6%)
2008615 Feb 2008 (-8.34%), 26 Mar 2008 (-7.07%), 18 Jun 2008 (-4.56%), 09 Jul 2008 (18.34%), 10 Nov 2008 (-6.89%), 24 Nov 2008 (18.71%)
2007120 Mar 2007 (-4.75%)
2006221 Jun 2006 (-10.52%), 15 Nov 2006 (-3.51%)
2005409 May 2005 (-4.64%), 11 Jul 2005 (11.89%), 05 Sep 2005 (13.1%), 10 Nov 2005 (15.74%)
2004409 Jun 2004 (-8.3%), 28 Jun 2004 (-6.36%), 05 Nov 2004 (9.59%), 23 Dec 2004 (10.76%)
2003514 Jan 2003 (-3.5%), 06 May 2003 (-5.06%), 12 May 2003 (-5.11%), 29 May 2003 (-5.13%), 22 Aug 2003 (-4.38%)
2002201 Jan 2002 (8.16%), 08 Apr 2002 (11.24%)
2001505 Jan 2001 (-4.24%), 19 Jan 2001 (10.87%), 29 Mar 2001 (-3.8%), 09 Jul 2001 (-3.26%), 26 Nov 2001 (-2.82%)
2000126 Oct 2000 (-3.5%)



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