Study: Buy TITAN 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 TITAN 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 TITAN 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
1-40151.2696465047.924515.8116248.92-4957.57-25740.070.910.84-0.013-418.24
214572.2496494751.045530.2721128.8-5455.55-28779.871.011.060.0042151.79
340604.1396494751.047342.2522449.35-6790.77-29574.081.081.130.0091422.96
490441.9896494751.048961.8839922.48-7418.94-36063.211.211.260.017942.1
513161496494751.0410614.551691.07-8265.89-41597.821.281.340.0211370.98
610895996445245.8312183.8875466.94-8214.08-41509.591.481.260.0161134.99
766140.7996445245.8312164.9272286.72-9021.45-37020.321.351.140.0094688.97
811429.4196445245.8312410.0250681.47-10280.99-43566.591.211.020.0016119.06
94812.2696445245.8313876.2754593.64-11648.92-50537.131.191.010.000650.13
1080216.9896474948.9613975.3562645.13-11767.85-61653.431.191.140.0095835.59
Although, strategy looks good but profit factor on day 1 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
atrnil39.22430143103396437.8626867.4363771.88-9651.35-21918.162.781.70.0444176.15
atrnil26.66136364108436539.8117642.7942514.59-9573.48-21918.161.841.220.0181262.63
atrtrail-15.912704.83107456242.0611266.7564296.92-7972.56-21918.161.411.030.0018118.74
atrtrail35.11-10515.27107456242.0610750.7538684.41-7972.56-21918.161.350.98-0.0017-98.27
atrtrail24.48-53961.31111466541.4410161.3325789.61-8021.27-21918.161.270.9-0.0092-486.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.7. 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 37.86%, which is not acceptable. Avoid this strategy. Average return per trade is 2.09%, which is very good. Sharpe Ratio is 0.044, 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.
TITAN Performance, Profit Factor:1.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019731 Jan 2019 (6.03%), 12 Mar 2019 (6.81%), 25 Apr 2019 (-2.01%), 14 May 2019 (7.35%), 27 Jun 2019 (-2.0%), 02 Aug 2019 (-3.06%), 08 Aug 2019 (10.39%)
2018412 Jun 2018 (-2.57%), 18 Jul 2018 (9.29%), 08 Oct 2018 (-3.95%), 12 Oct 2018 (-4.68%)
2017802 Feb 2017 (-2.92%), 03 Feb 2017 (9.01%), 16 Mar 2017 (-2.55%), 05 Apr 2017 (-2.53%), 12 May 2017 (-2.87%), 04 Jul 2017 (8.64%), 11 Oct 2017 (-2.72%), 20 Dec 2017 (8.51%)
2016130 Nov 2016 (-4.62%)
2015228 Sep 2015 (-2.99%), 01 Oct 2015 (9.84%)
2014401 Apr 2014 (-2.85%), 10 Jun 2014 (-3.67%), 26 Jun 2014 (-3.88%), 30 Sep 2014 (-3.18%)
2013325 Jan 2013 (-2.53%), 01 Jul 2013 (16.44%), 06 Sep 2013 (17.86%)
2012312 Mar 2012 (-4.21%), 15 Jun 2012 (11.68%), 05 Nov 2012 (-3.29%)
2011421 Feb 2011 (-4.18%), 18 May 2011 (9.59%), 02 Sep 2011 (11.83%), 22 Dec 2011 (16.47%)
2010901 Feb 2010 (12.23%), 14 May 2010 (-2.85%), 17 May 2010 (-2.91%), 16 Aug 2010 (-2.48%), 24 Aug 2010 (-2.99%), 16 Sep 2010 (7.75%), 27 Oct 2010 (-2.69%), 28 Oct 2010 (8.87%), 29 Dec 2010 (-3.75%)
2009116 Mar 2009 (16.47%)
2008505 Feb 2008 (-10.96%), 15 Feb 2008 (-10.25%), 14 Mar 2008 (-8.1%), 25 Mar 2008 (26.36%), 22 Oct 2008 (-10.87%)
2007520 Mar 2007 (17.42%), 15 May 2007 (11.2%), 20 Jun 2007 (11.56%), 28 Aug 2007 (16.19%), 23 Oct 2007 (-5.3%)
2006302 May 2006 (-4.51%), 31 May 2006 (-8.87%), 19 Jun 2006 (31.89%)
2005410 Mar 2005 (-5.37%), 04 Jul 2005 (11.1%), 19 Sep 2005 (-4.02%), 01 Nov 2005 (19.34%)
2004518 Feb 2004 (-6.04%), 08 Jun 2004 (17.45%), 06 Oct 2004 (-3.95%), 28 Oct 2004 (-4.79%), 17 Nov 2004 (-4.1%)
2003624 Feb 2003 (-4.44%), 21 Mar 2003 (-5.14%), 12 Jun 2003 (14.08%), 02 Jul 2003 (-4.63%), 31 Oct 2003 (-6.01%), 23 Dec 2003 (-4.92%)
2002504 Apr 2002 (17.38%), 24 Apr 2002 (-5.25%), 11 Jul 2002 (-5.72%), 13 Aug 2002 (-8.31%), 08 Oct 2002 (-4.79%)
2001623 Jan 2001 (-5.5%), 07 Feb 2001 (-5.4%), 29 Mar 2001 (-8.59%), 28 Sep 2001 (-5.66%), 08 Oct 2001 (18.66%), 11 Dec 2001 (-5.87%)
2000624 Feb 2000 (-6.5%), 25 Feb 2000 (-6.84%), 16 Mar 2000 (-7.62%), 18 May 2000 (-6.85%), 18 Aug 2000 (16.2%), 19 Oct 2000 (12.61%)
1999302 Jun 1999 (14.35%), 07 Jul 1999 (11.74%), 20 Jul 1999 (15.0%)
1998304 Mar 1998 (-6.46%), 25 Jun 1998 (-7.37%), 24 Aug 1998 (13.58%)
1997312 Feb 1997 (-4.01%), 03 Dec 1997 (-2.4%), 29 Dec 1997 (9.28%)
1996211 Oct 1996 (-3.95%), 10 Dec 1996 (13.47%)
1995108 Dec 1995 (-4.57%)



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