Study: Buy TVSMOTOR 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 TVSMOTOR 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 TVSMOTOR 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
13934.0682344841.465075.7619917.01-3513.37-18074.071.441.020.001947.98
2-10971082325039.026853.9624256.13-6580.75-34666.671.040.67-0.033-1337.93
3-77753.3882325039.028576.2830596.37-7043.89-32888.891.220.78-0.021-948.21
4-16946982315137.89860.826826.95-9316.73-26355.531.060.64-0.041-2066.69
5-24018482325039.029888.6726017.61-11132.43-34349.920.890.57-0.051-2929.07
6-16987382315137.812479.0742744.32-10916.17-36276.081.140.69-0.032-2071.63
7-12571082325039.0214502.1473293-11795.57-32584.271.230.79-0.021-1533.05
8-86658.4182354742.6815214.462575.63-13173.67-35473.521.150.86-0.013-1056.81
9-37662.8282364643.915983.5462225.53-13327.61-40288.921.20.94-0.0055-459.3
10-42022.1782364643.916240.6870008.64-13623.62-50882.831.190.93-0.0058-512.47

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.02. 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 41.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.024%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0019, 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
atrnil37.5588970.1287266129.8926169.6948632.69-9695.77-22519.862.71.150.0131022.65
nilnil-113934.0682344841.465075.7619917.01-3513.37-18074.071.441.020.001947.98
atrnil25.45-45744.9291316034.0717352.8132421.79-9728.03-22519.861.780.92-0.0084-502.69
atrtrail34.97-60318.6490306033.3314068.1648632.69-8039.39-22519.861.750.87-0.012-670.21
atrtrail24.18-65101.3193316233.3313868.3932421.79-7984.22-22519.861.740.87-0.014-700.01
atrtrail-15.31-18073888286031.8210863.528196.88-8081.93-22519.861.340.63-0.045-2053.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 29.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
TVSMOTOR Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jul 2019 (-3.47%), 05 Aug 2019 (-4.86%)
2018523 Feb 2018 (-3.4%), 02 Apr 2018 (-3.59%), 30 May 2018 (-3.83%), 07 Aug 2018 (-3.44%), 08 Aug 2018 (10.69%)
2017907 Feb 2017 (8.04%), 17 Mar 2017 (-2.16%), 05 Apr 2017 (6.42%), 15 May 2017 (7.05%), 07 Jul 2017 (6.17%), 10 Jul 2017 (-2.76%), 28 Aug 2017 (8.39%), 09 Oct 2017 (6.87%), 26 Oct 2017 (-2.0%)
2016518 Apr 2016 (-2.63%), 26 May 2016 (-2.92%), 02 Jun 2016 (-2.9%), 19 Sep 2016 (8.46%), 01 Dec 2016 (-3.79%)
2015630 Apr 2015 (-4.47%), 14 May 2015 (14.77%), 20 Aug 2015 (-3.22%), 21 Aug 2015 (-3.3%), 27 Aug 2015 (-4.19%), 03 Sep 2015 (13.7%)
2014403 Feb 2014 (14.11%), 20 Mar 2014 (-3.6%), 02 May 2014 (11.39%), 18 Jul 2014 (-5.39%)
2013420 Feb 2013 (-4.75%), 05 Apr 2013 (-5.78%), 26 Nov 2013 (12.67%), 19 Dec 2013 (10.17%)
2012310 Jan 2012 (-5.19%), 02 Apr 2012 (-5.31%), 14 Aug 2012 (-4.05%)
2011403 Jan 2011 (-4.68%), 24 Jan 2011 (-4.86%), 14 Feb 2011 (-6.62%), 26 Dec 2011 (-5.42%)
2010502 Mar 2010 (-5.95%), 23 Apr 2010 (12.46%), 01 Jun 2010 (17.8%), 21 Jul 2010 (13.4%), 08 Sep 2010 (-3.85%)
2009429 Jan 2009 (24.32%), 27 Mar 2009 (19.28%), 11 Jun 2009 (-9.0%), 20 Oct 2009 (-4.73%)
2008601 Apr 2008 (-8.36%), 10 Apr 2008 (22.15%), 21 May 2008 (-5.55%), 09 Jul 2008 (-7.51%), 01 Oct 2008 (-5.63%), 22 Oct 2008 (-8.04%)
2007512 Jan 2007 (-4.12%), 13 Mar 2007 (-5.86%), 10 Apr 2007 (-5.73%), 21 Aug 2007 (12.89%), 31 Oct 2007 (-5.98%)
2006607 Mar 2006 (-4.19%), 23 Mar 2006 (-3.76%), 21 Jun 2006 (-10.56%), 26 Jul 2006 (20.26%), 24 Nov 2006 (-5.05%), 27 Dec 2006 (-4.99%)
2005317 Feb 2005 (-4.15%), 01 Jun 2005 (-2.88%), 24 Jun 2005 (-4.28%)
2004103 Nov 2004 (-4.52%)
2003517 Jan 2003 (-2.89%), 20 Feb 2003 (-2.25%), 22 Apr 2003 (11.5%), 18 Jun 2003 (-3.29%), 31 Jul 2003 (12.28%)
2002820 Feb 2002 (-5.17%), 28 Mar 2002 (-5.43%), 18 Apr 2002 (15.19%), 07 Jun 2002 (19.81%), 16 Aug 2002 (-7.16%), 04 Sep 2002 (-5.38%), 13 Sep 2002 (-5.53%), 27 Sep 2002 (-4.73%)
2001220 Apr 2001 (-11.26%), 24 Sep 2001 (-5.36%)



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