Study: Buy TATASTEEL 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 TATASTEEL 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 TATASTEEL 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
149092.3295514453.683851.116224.86-3348.04-10980.451.151.330.022516.76
261503.995544156.845493.6428557.81-5735.44-17473.960.961.260.017647.41
359365.795504552.636775.9328610.6-6209.58-19024.791.091.210.016624.9
427685.7695544156.847259.0725777.28-8885.46-24897.010.821.080.0058291.43
543215.2395514453.689061.9525639.85-9521.46-26171.880.951.10.008454.9
613314595534255.7910375.6241831.54-9922.94-24193.261.051.320.0231401.52
720300595563958.9511517.4153250.42-11332.56-23276.321.021.460.0312136.9
820422795563958.951221251188.5-12298.59-28245.190.991.430.0282149.76
928400495583761.0513545.4958111.93-13557.7-36090.5811.570.0342989.51
1032937495544156.8416244.3570209.16-13361.5-41430.271.221.60.0363467.09
Although, strategy looks good but profit factor on day 4 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
atrtrail-16.85496259110525847.2716619.3389683.1-6343.9-14676.012.622.350.0554511.45
atrtrail35.59356280112526046.4313984.9241769.07-6182.26-14676.012.261.960.0513181.07
atrtrail24.64225415113526146.0211552.7327846.05-6152.9-14676.011.881.60.0391994.82
atrnil26.68244374111476442.3416445.9135697.1-8259.12-30397.011.991.460.0342201.57
atrnil39.36159621108347431.4823284.3941769.07-8541.19-30397.012.731.250.0191477.98

In the table above, row 1 shows the best exit criterion. Profit factor is 2.35. 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 47.27%, which is not acceptable. Avoid this strategy. Average return per trade is 2.26%, which is very good. Sharpe Ratio is 0.055, 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.
TATASTEEL Performance, Profit Factor:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019330 Jan 2019 (-0.76%), 27 Aug 2019 (-4.93%), 28 Aug 2019 (-2.6%)
2018327 Feb 2018 (-3.12%), 02 Apr 2018 (-3.65%), 29 Oct 2018 (-3.55%)
2017623 Feb 2017 (0.46%), 09 Jun 2017 (0.67%), 29 Jun 2017 (4.9%), 07 Aug 2017 (0.48%), 04 Sep 2017 (4.36%), 09 Oct 2017 (-2.21%)
2016231 Mar 2016 (-3.18%), 20 Apr 2016 (-3.4%)
20151019 Feb 2015 (-3.11%), 19 Mar 2015 (-3.13%), 31 Mar 2015 (5.9%), 19 Jun 2015 (-0.44%), 20 Jul 2015 (-2.77%), 05 Aug 2015 (-3.31%), 17 Aug 2015 (-1.8%), 03 Sep 2015 (-5.25%), 04 Sep 2015 (4.92%), 05 Oct 2015 (8.92%)
2014407 Feb 2014 (-2.01%), 14 May 2014 (-1.27%), 20 Oct 2014 (5.53%), 30 Dec 2014 (2.15%)
2013608 Mar 2013 (-2.89%), 16 Apr 2013 (1.76%), 01 Jul 2013 (-3.06%), 12 Jul 2013 (-3.37%), 15 Jul 2013 (-3.49%), 08 Aug 2013 (8.87%)
2012503 Jan 2012 (17.83%), 13 Feb 2012 (-1.75%), 28 May 2012 (-2.23%), 10 Sep 2012 (4.97%), 30 Nov 2012 (1.32%)
2011302 Sep 2011 (-2.11%), 10 Oct 2011 (0.46%), 02 Dec 2011 (-4.23%)
2010418 Feb 2010 (5.52%), 03 Jun 2010 (-4.46%), 10 Jun 2010 (0.37%), 01 Sep 2010 (23.1%)
2009307 May 2009 (-7.17%), 18 May 2009 (44.84%), 08 Oct 2009 (4.17%)
2008501 Feb 2008 (-2.15%), 01 Apr 2008 (14.18%), 23 Jul 2008 (-6.77%), 24 Jul 2008 (-7.34%), 31 Oct 2008 (-0.48%)
2007314 May 2007 (7.53%), 29 Aug 2007 (24.53%), 25 Oct 2007 (-5.4%)
2006722 Feb 2006 (11.56%), 23 Mar 2006 (15.17%), 19 Jun 2006 (3.71%), 01 Aug 2006 (2.96%), 26 Sep 2006 (1.81%), 29 Nov 2006 (0.51%), 20 Dec 2006 (0.19%)
2005328 Jan 2005 (12.29%), 14 Mar 2005 (-1.03%), 30 Nov 2005 (5.23%)
2004501 Apr 2004 (-0.76%), 21 May 2004 (-5.27%), 17 Jun 2004 (-5.68%), 25 Jun 2004 (2.5%), 03 Sep 2004 (12.4%)
20031121 Jan 2003 (-0.9%), 22 Mar 2003 (-2.68%), 24 Mar 2003 (-2.91%), 02 Apr 2003 (2.53%), 02 May 2003 (-0.4%), 24 Jun 2003 (20.66%), 28 Jul 2003 (23.24%), 30 Sep 2003 (21.19%), 03 Nov 2003 (-4.05%), 04 Dec 2003 (-3.44%), 12 Dec 2003 (12.12%)
2002325 Feb 2002 (-3.97%), 21 Aug 2002 (0.91%), 24 Dec 2002 (2.23%)
2001510 Apr 2001 (-6.17%), 17 Apr 2001 (9.26%), 05 Sep 2001 (-2.3%), 03 Oct 2001 (10.66%), 11 Dec 2001 (-3.55%)
2000416 Mar 2000 (-7.03%), 22 Aug 2000 (-1.73%), 05 Oct 2000 (-3.58%), 19 Oct 2000 (0.82%)
1999230 Apr 1999 (20.51%), 05 Jul 1999 (3.41%)
1998219 Aug 1998 (-1.06%), 28 Oct 1998 (18.49%)
1997727 Jan 1997 (-1.81%), 01 Mar 1997 (-3.51%), 03 Mar 1997 (-2.3%), 17 Apr 1997 (5.58%), 06 Aug 1997 (-3.0%), 07 Aug 1997 (-3.29%), 12 Dec 1997 (12.29%)
1996107 Aug 1996 (-4.8%)
1995304 Apr 1995 (0.97%), 17 May 1995 (1.16%), 21 Dec 1995 (-1.38%)



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