Study: Buy TORNTPHARM 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 TORNTPHARM 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 TORNTPHARM 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
110289184453953.574659.6136818.07-2738.25-8938.551.71.960.0421224.89
214289884434151.196690.8233349.4-3531.88-9845.751.891.990.0461701.17
313703184444052.387871.1452048.19-5232.47-15971.991.51.650.0331631.33
487344.584335139.2911364.6172289.16-5640.93-21885.632.011.30.0181039.82
512411384384645.2411621.588096.39-6902.26-28995.361.681.390.0221477.54
619181884404447.6213094.69111229-7544.76-36846.991.741.580.0282283.55
727778584384645.2416136.09136193-7291-33384.852.211.830.0363306.97
83670488442425017384.95163084-8645.71-31962.912.012.010.044369.62
938698484453953.5717208.3154410-9933.07-34312.211.7320.0424606.95
1046058484444052.3819125.69171566-9523.66-31591.962.012.210.0465483.14
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
TORNTPHARM Performance, X=10, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jun 2019 (-1.71%)
2018422 Jan 2018 (-8.1%), 02 Apr 2018 (6.41%), 26 Jul 2018 (13.77%), 24 Oct 2018 (4.17%)
2016927 Jan 2016 (-5.46%), 18 Feb 2016 (-1.02%), 03 Mar 2016 (-0.25%), 21 Mar 2016 (2.44%), 06 Jun 2016 (-2.28%), 29 Jun 2016 (6.59%), 08 Sep 2016 (-2.45%), 21 Nov 2016 (2.35%), 21 Dec 2016 (1.65%)
2015121 Dec 2015 (-2.32%)
2014713 Feb 2014 (-0.65%), 22 Mar 2014 (0.73%), 04 Apr 2014 (-0.5%), 25 Apr 2014 (14.88%), 09 Jun 2014 (4.18%), 30 Jul 2014 (0.77%), 29 Oct 2014 (8.0%)
2013208 Jul 2013 (-0.09%), 05 Aug 2013 (-13.61%)
2012324 Apr 2012 (2.86%), 09 May 2012 (-6.5%), 29 Jun 2012 (6.63%)
2011416 Mar 2011 (12.67%), 06 May 2011 (1.79%), 15 Jun 2011 (-0.69%), 07 Sep 2011 (-3.54%)
2010304 Oct 2010 (-6.56%), 03 Nov 2010 (-0.86%), 20 Dec 2010 (1.77%)
2009826 Feb 2009 (-2.47%), 19 Mar 2009 (3.76%), 07 May 2009 (10.52%), 21 Aug 2009 (17.66%), 29 Sep 2009 (6.85%), 15 Oct 2009 (-4.06%), 06 Nov 2009 (-0.81%), 04 Dec 2009 (-8.08%)
2008515 Feb 2008 (5.19%), 15 May 2008 (-7.89%), 26 Aug 2008 (-0.85%), 29 Oct 2008 (-2.02%), 04 Dec 2008 (13.85%)
2007106 Feb 2007 (-8.81%)
2006431 Jan 2006 (7.42%), 21 Apr 2006 (12.9%), 23 Jun 2006 (1.16%), 28 Jul 2006 (3.14%)
2005415 Feb 2005 (-6.28%), 03 Mar 2005 (-5.02%), 10 May 2005 (-0.47%), 18 Jul 2005 (3.11%)
2004411 Feb 2004 (2.47%), 29 Oct 2004 (1.11%), 18 Nov 2004 (0.47%), 13 Dec 2004 (6.16%)
2003524 Feb 2003 (-6.74%), 02 Jun 2003 (-4.06%), 31 Jul 2003 (12.23%), 27 Aug 2003 (11.68%), 04 Nov 2003 (-10.91%)
2002322 Feb 2002 (19.27%), 09 Apr 2002 (-6.03%), 08 Oct 2002 (-1.75%)
2001309 Jul 2001 (-14.69%), 28 Nov 2001 (12.95%), 13 Dec 2001 (-15.8%)
1999206 Aug 1999 (85.78%), 10 Sep 1999 (33.59%)
1998123 Apr 1998 (-11.29%)
1997413 Jun 1997 (23.13%), 29 Sep 1997 (11.07%), 30 Oct 1997 (-10.78%), 28 Nov 1997 (-5.04%)
1996405 Jun 1996 (0.58%), 11 Oct 1996 (5.03%), 02 Dec 1996 (-0.06%), 20 Dec 1996 (9.05%)
1995209 May 1995 (0.0%), 13 Jul 1995 (8.96%)

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
atrnil39.0332100787325536.7825076.2743148.91-8753.34-21067.852.861.670.0453689.73
atrnil26.1124108893415244.0916750.2729535.41-8570.64-21067.851.951.540.0412592.34
atrtrail-16.1514283591345737.3615000.83148405-6441.99-21067.852.331.390.0181569.61
atrtrail24.8212997995395641.0512964.7829535.41-6707.99-21067.851.931.350.0261368.2
atrtrail35.5279042.1293365738.7112520.8235630.09-6521.18-21067.851.921.210.016849.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 36.78%, which is not acceptable. Avoid this strategy. Average return per trade is 1.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
TORNTPHARM Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jun 2019 (-3.09%)
2018422 Jan 2018 (-2.57%), 02 Apr 2018 (8.4%), 26 Jul 2018 (7.9%), 24 Oct 2018 (11.72%)
2016727 Jan 2016 (-3.54%), 18 Feb 2016 (-4.22%), 02 Mar 2016 (11.88%), 06 Jun 2016 (-3.17%), 29 Jun 2016 (7.28%), 08 Sep 2016 (-3.28%), 21 Nov 2016 (-4.46%)
2015121 Dec 2015 (-2.82%)
2014713 Feb 2014 (-3.73%), 22 Mar 2014 (-3.1%), 04 Apr 2014 (9.59%), 25 Apr 2014 (10.28%), 09 Jun 2014 (12.1%), 30 Jul 2014 (9.43%), 29 Oct 2014 (8.14%)
2013208 Jul 2013 (-2.72%), 05 Aug 2013 (-3.64%)
2012224 Apr 2012 (-2.85%), 29 Jun 2012 (7.94%)
2011416 Mar 2011 (10.29%), 06 May 2011 (-3.15%), 15 Jun 2011 (-3.74%), 07 Sep 2011 (-3.76%)
2010404 Oct 2010 (-3.41%), 03 Nov 2010 (-3.38%), 12 Nov 2010 (-3.14%), 20 Dec 2010 (-3.57%)
20091026 Feb 2009 (-5.23%), 05 Mar 2009 (-5.26%), 06 Mar 2009 (17.81%), 07 May 2009 (-5.08%), 20 May 2009 (17.82%), 21 Aug 2009 (13.3%), 29 Sep 2009 (-4.89%), 15 Oct 2009 (-4.44%), 06 Nov 2009 (14.31%), 04 Dec 2009 (-4.46%)
2008515 Feb 2008 (-7.38%), 15 May 2008 (-4.62%), 26 Aug 2008 (-4.07%), 29 Oct 2008 (-9.14%), 04 Dec 2008 (21.57%)
2007106 Feb 2007 (-4.01%)
2006531 Jan 2006 (9.0%), 01 Feb 2006 (9.76%), 21 Apr 2006 (-5.03%), 23 Jun 2006 (-8.05%), 28 Jul 2006 (16.38%)
2005515 Feb 2005 (-4.32%), 24 Feb 2005 (-3.89%), 03 Mar 2005 (-4.47%), 10 May 2005 (-3.68%), 18 Jul 2005 (11.37%)
2004311 Feb 2004 (14.11%), 29 Oct 2004 (8.7%), 13 Dec 2004 (-2.98%)
2003524 Feb 2003 (-3.69%), 02 Jun 2003 (-3.88%), 31 Jul 2003 (14.97%), 27 Aug 2003 (16.27%), 04 Nov 2003 (-5.53%)
2002422 Feb 2002 (15.7%), 25 Feb 2002 (-5.31%), 09 Apr 2002 (-5.28%), 08 Oct 2002 (-3.92%)
2001309 Jul 2001 (-10.53%), 28 Nov 2001 (-4.14%), 12 Dec 2001 (-4.65%)
1999206 Aug 1999 (12.99%), 10 Sep 1999 (17.63%)
1998123 Apr 1998 (-6.17%)
1997513 Jun 1997 (-2.89%), 29 Sep 1997 (11.22%), 30 Oct 1997 (-4.02%), 03 Nov 1997 (-4.24%), 28 Nov 1997 (-3.5%)
1996405 Jun 1996 (-6.49%), 11 Oct 1996 (-4.75%), 14 Oct 1996 (16.22%), 02 Dec 1996 (19.49%)
1995209 May 1995 (-3.37%), 13 Jul 1995 (7.62%)



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