Study: Buy TATAGLOBAL 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 TATAGLOBAL 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 TATAGLOBAL 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
16204.0484384645.24374116004.45-2955.52-11241.391.271.050.003373.86
23754.49844242505246.8624137.93-5157.47-17221.141.021.020.001344.7
3-30803.5684414348.815406.1841937.98-5871.1-25943.530.920.88-0.0088-366.71
48240.5784364842.867233.9147751.94-5253.75-28487.561.381.030.002198.1
510225.2984404447.627710.2751860.47-6776.94-31451.611.141.030.0023121.73
6-32273.8784394546.438218.2949806.2-7839.71-32258.061.050.91-0.0067-384.21
7-70905.0984404447.628447.8940310.08-9291.38-32762.10.910.83-0.014-844.11
8-40158.56844242509183.9636602.01-10140.11-35534.270.910.91-0.0076-478.08
9-63886.6684473755.958080.2434985.63-11990.76-39818.550.670.86-0.012-760.56
10-51479.384434151.199701.6437906.98-11430.49-39264.110.850.89-0.0086-612.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.05. 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 45.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.037%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, 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-116204.0484384645.24374116004.45-2955.52-11241.391.271.050.003373.86
atrnil38.83-16148.798247424.4924559.3753001.1-8183.43-16729.1930.97-0.0022-164.78
atrnil26.39-80085.2310031693115888.9735334.07-8299.18-16729.191.910.86-0.014-800.85
atrtrail24.55-79165.06101317030.6911632.8935334.07-6282.64-16729.191.850.82-0.016-783.81
atrtrail35.23-89405.2699306930.311232.1726288.3-6179.28-16729.191.820.79-0.018-903.08
atrtrail-15.68-89441.5497306730.9310913.4642997.19-6221.57-16729.191.750.79-0.017-922.08

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 45.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.037%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, 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.
TATAGLOBAL Performance, X=1, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (-0.73%), 26 Jun 2019 (0.42%)
2018427 Feb 2018 (0.18%), 29 May 2018 (2.72%), 07 Aug 2018 (-0.53%), 14 Dec 2018 (-1.08%)
2017302 May 2017 (-0.95%), 16 Aug 2017 (-1.68%), 29 Dec 2017 (-1.11%)
2016324 Feb 2016 (-0.47%), 28 Nov 2016 (0.83%), 29 Dec 2016 (0.74%)
2015313 May 2015 (1.21%), 22 Jun 2015 (-0.85%), 07 Sep 2015 (0.42%)
2014305 Mar 2014 (1.17%), 27 Jun 2014 (0.96%), 31 Dec 2014 (-0.17%)
2013102 Dec 2013 (-1.67%)
2012325 May 2012 (2.92%), 07 Sep 2012 (0.04%), 08 Nov 2012 (0.93%)
2011604 Jan 2011 (-0.71%), 20 Jan 2011 (-0.8%), 16 Feb 2011 (7.62%), 03 Jun 2011 (-0.48%), 25 Jul 2011 (-0.43%), 11 Oct 2011 (1.67%)
2010605 Jan 2010 (1.56%), 16 Feb 2010 (-0.68%), 14 May 2010 (3.31%), 14 Jun 2010 (0.81%), 23 Aug 2010 (-0.21%), 13 Dec 2010 (1.15%)
2009625 Feb 2009 (3.26%), 08 May 2009 (-1.61%), 03 Jun 2009 (1.9%), 24 Aug 2009 (-1.41%), 05 Nov 2009 (3.93%), 24 Nov 2009 (-0.38%)
2008730 Jan 2008 (-1.96%), 15 Feb 2008 (-2.08%), 25 Jun 2008 (0.75%), 10 Jul 2008 (-2.98%), 13 Aug 2008 (0.13%), 05 Nov 2008 (-5.62%), 25 Nov 2008 (-0.75%)
2007213 Mar 2007 (-0.57%), 24 Aug 2007 (1.83%)
2006116 Jun 2006 (5.11%)
2005604 Jan 2005 (-2.76%), 31 Jan 2005 (-0.87%), 04 Apr 2005 (-0.4%), 22 Apr 2005 (-0.36%), 24 Jun 2005 (2.29%), 18 Jul 2005 (-2.31%)
2004209 Feb 2004 (-1.26%), 30 Mar 2004 (1.24%)
2003423 Jan 2003 (-1.91%), 10 Feb 2003 (-0.76%), 15 Apr 2003 (-0.17%), 09 Jun 2003 (-3.66%)
2001508 Feb 2001 (2.83%), 21 Mar 2001 (-1.57%), 12 Jul 2001 (0.35%), 27 Sep 2001 (2.25%), 11 Dec 2001 (-3.68%)
2000427 Mar 2000 (-2.05%), 10 Apr 2000 (-1.28%), 09 Aug 2000 (0.11%), 21 Dec 2000 (-1.8%)
1999411 Feb 1999 (-2.67%), 01 Mar 1999 (-2.52%), 18 Mar 1999 (0.27%), 01 Oct 1999 (-4.19%)
1997204 Aug 1997 (-0.91%), 26 Nov 1997 (8.0%)
1996330 Jan 1996 (0.39%), 27 Aug 1996 (1.21%), 18 Oct 1996 (0.75%)
1995430 Mar 1995 (-1.39%), 19 May 1995 (-1.53%), 13 Jul 1995 (4.08%), 31 Oct 1995 (1.76%)



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