Study: Buy TATAELXSI 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 TATAELXSI 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 TATAELXSI 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
173335.0881414050.626039.8116024.65-4357.43-11099.211.391.420.027905.37
272844.4581364544.449872.937176.33-6279.56-24285.711.571.260.016899.31
312053381374445.6811914.7743155.58-7279.86-38285.711.641.380.0231488.06
438744.9781394248.1511050.9543870.26-9339.1-42857.141.181.10.0067478.33
5-95943.0981324939.5111662.2737390.86-9574.2-41904.761.220.8-0.017-1184.48
6-13794981354643.2111089.3946022.26-11436.47-42380.950.970.74-0.024-1703.07
7-86892.8781354643.2113209.5760685.28-11939.73-46285.711.110.84-0.013-1072.75
8-13808981374445.6812474.1861632.16-13628.04-42702.920.920.77-0.02-1704.8
929461.3981423951.8513885.3268047.1-14198-41183.530.981.050.0039363.72
103008.3981364544.4416684.3768777.91-13280.64-54906.991.261.010.0003837.14

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. 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 50.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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-1173335.0881414050.626039.8116024.65-4357.43-11099.211.391.420.027905.37
atrnil37.9322784088266229.5530969.3159405.48-9312.29-23695.643.331.390.0272589.09
atrtrail-15.2414544490296132.2220486.97119942-7355.37-23695.642.791.320.0151616.05
atrnil25.3612952392335935.8720409.5839603.65-9220.22-23695.642.211.240.0191407.86
atrtrail23.9617824.9394326234.0414818.5336140.17-7360.77-23695.642.011.040.0032189.63
atrtrail34.5110289.4890296132.2215826.4654210.25-7355.37-23695.642.151.020.0017114.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 50.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
TATAELXSI Performance, X=1, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Feb 2019 (-1.99%), 21 Feb 2019 (0.51%), 22 May 2019 (-0.32%), 08 Aug 2019 (0.01%)
2018123 Oct 2018 (0.15%)
2017417 May 2017 (-0.48%), 06 Jun 2017 (0.25%), 01 Aug 2017 (-1.48%), 22 Nov 2017 (-0.02%)
2016628 Jan 2016 (4.63%), 04 Jul 2016 (-1.59%), 27 Jul 2016 (-1.7%), 19 Sep 2016 (-0.25%), 20 Oct 2016 (-0.81%), 24 Nov 2016 (7.36%)
2015312 Feb 2015 (1.9%), 07 Apr 2015 (4.21%), 18 Aug 2015 (2.78%)
2014103 Feb 2014 (1.36%)
2013227 Sep 2013 (-2.33%), 25 Nov 2013 (3.76%)
2012320 Jun 2012 (0.64%), 01 Oct 2012 (0.95%), 16 Oct 2012 (-2.24%)
2011215 Feb 2011 (1.1%), 29 Aug 2011 (1.16%)
2010314 Jan 2010 (6.74%), 31 May 2010 (-2.99%), 02 Nov 2010 (-1.87%)
2009209 Sep 2009 (-1.72%), 17 Oct 2009 (1.44%)
2008406 Feb 2008 (-1.01%), 01 Apr 2008 (1.27%), 23 May 2008 (-0.37%), 16 Jun 2008 (-0.37%)
2007629 May 2007 (-5.36%), 09 Aug 2007 (0.43%), 28 Aug 2007 (-1.0%), 03 Oct 2007 (-1.48%), 29 Oct 2007 (-5.12%), 20 Nov 2007 (-1.82%)
2006520 Jun 2006 (5.44%), 27 Jul 2006 (1.74%), 08 Sep 2006 (-5.55%), 27 Oct 2006 (-0.49%), 05 Dec 2006 (0.45%)
2005409 May 2005 (-1.13%), 17 Aug 2005 (-0.67%), 20 Oct 2005 (-2.77%), 07 Nov 2005 (0.38%)
2004429 Mar 2004 (2.03%), 24 Aug 2004 (-5.52%), 09 Oct 2004 (0.0%), 03 Nov 2004 (-3.39%)
2003407 Feb 2003 (-2.91%), 19 Mar 2003 (3.31%), 27 Jun 2003 (7.56%), 28 Aug 2003 (1.58%)
2002304 Jan 2002 (1.05%), 04 Apr 2002 (-2.93%), 05 Jun 2002 (-4.66%)
2001328 Mar 2001 (-4.43%), 07 Aug 2001 (-2.61%), 27 Sep 2001 (2.48%)
2000110 Apr 2000 (3.8%)
1999517 Feb 1999 (-5.24%), 17 Jun 1999 (-4.34%), 17 Aug 1999 (8.01%), 08 Sep 1999 (8.0%), 08 Oct 1999 (5.8%)
1998225 Jun 1998 (2.26%), 22 Sep 1998 (7.08%)
1997421 Apr 1997 (0.62%), 14 May 1997 (7.01%), 10 Sep 1997 (7.06%), 27 Nov 1997 (-2.24%)
1996312 Feb 1996 (2.32%), 11 Oct 1996 (-1.66%), 11 Dec 1996 (-0.31%)
1995226 Jun 1995 (1.03%), 01 Dec 1995 (4.19%)



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