Study: Buy TECHM 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 TECHM 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 TECHM 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
130380.91522626504459.9721976.4-3291.48-10305.341.361.360.03584.25
2-11840.76522626504838.9923732.9-5294.4-21854.460.910.91-0.009-227.71
3-25087.7152223042.317252.3631791.72-6154.65-17699.531.180.86-0.015-482.46
4-38626.5252223042.318347.7338292.37-7409.22-24318.061.130.83-0.02-742.82
5-71629.3552203238.467802.1426908.15-7114.75-27328.871.10.69-0.04-1377.49
6-30800.4152232944.237691.8923833.47-7162.55-26839.941.070.85-0.017-592.32
773014.9852272551.929110.6933249.37-6918.95-26711.271.321.420.0361404.13
894752.1552242846.1511314.5165715.09-6314.14-26260.941.791.540.0381822.16
910918652272551.9211550.4569941.23-8107.03-28924.341.421.540.0392099.74
1013329852282453.8512333.4146011.75-8834.87-27367.471.41.630.0492563.43
Although, strategy looks good but profit factor on day 5 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
atrnil37.158395.1659164327.1223474.6840078.66-7376.74-29339.343.181.180.019989.75
atrnil25.47-29775.5262194330.6514972.1726719.1-7308.06-29339.342.050.91-0.012-480.25
atrtrail34.64-74450.3361184329.519576.8132545.9-5740.3-19917.741.670.7-0.037-1220.5
atrtrail-15.25-80057.3361184329.519265.3153718.41-5740.3-19917.741.610.68-0.036-1312.42
atrtrail24.13-93226.0662194330.658084.5821697.27-5740.3-19917.741.410.62-0.054-1503.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 27.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
TECHM Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jun 2019 (-2.41%), 17 Jul 2019 (-2.29%), 06 Aug 2019 (-2.85%)
2018405 Mar 2018 (-3.05%), 14 Mar 2018 (-2.91%), 31 Oct 2018 (-3.93%), 01 Nov 2018 (-4.09%)
20171125 Apr 2017 (-2.41%), 26 Apr 2017 (-2.6%), 25 May 2017 (-2.43%), 14 Jun 2017 (-3.25%), 29 Jun 2017 (-2.72%), 07 Jul 2017 (7.32%), 12 Sep 2017 (7.27%), 30 Oct 2017 (-2.27%), 09 Nov 2017 (-2.74%), 28 Nov 2017 (-2.65%), 11 Dec 2017 (-2.76%)
2016306 Jan 2016 (-1.94%), 15 Jan 2016 (-2.5%), 01 Sep 2016 (-2.49%)
2015306 May 2015 (-3.54%), 15 Jun 2015 (-3.46%), 13 Jul 2015 (9.33%)
2014506 Feb 2014 (-2.79%), 27 Jun 2014 (-2.26%), 24 Jul 2014 (-2.07%), 25 Jul 2014 (-2.09%), 30 Oct 2014 (8.17%)
2013528 Jan 2013 (-2.76%), 02 May 2013 (-3.12%), 13 Aug 2013 (-3.39%), 26 Aug 2013 (-3.65%), 19 Dec 2013 (-2.38%)
2012412 Mar 2012 (-3.54%), 03 Aug 2012 (8.51%), 11 Sep 2012 (8.14%), 12 Dec 2012 (8.39%)
2011416 Feb 2011 (16.06%), 24 May 2011 (10.64%), 27 Jun 2011 (10.09%), 06 Sep 2011 (-4.98%)
2010604 Jan 2010 (10.38%), 18 Feb 2010 (-3.92%), 05 Mar 2010 (-3.3%), 18 May 2010 (-3.59%), 02 Jun 2010 (12.28%), 03 Dec 2010 (-4.14%)
2009306 Apr 2009 (17.08%), 12 May 2009 (20.04%), 21 Jul 2009 (-6.53%)
2008305 Feb 2008 (-8.38%), 30 Apr 2008 (-5.59%), 31 Oct 2008 (-14.67%)
2007214 Mar 2007 (-7.25%), 23 Nov 2007 (17.83%)
2006316 Nov 2006 (-4.31%), 17 Nov 2006 (-4.65%), 21 Dec 2006 (16.27%)



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