Study: Buy TVSMOTOR when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy TVSMOTOR when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
16087.0785362.52638.868644.86-2369.08-3786.571.111.860.049760.88
29655.2685362.54022.2210626.89-3485.28-7745.271.151.920.0561206.91
328133.1385362.58325.7224159.11-4498.48-7401.031.853.080.0883516.64
415218.7862755357.8919947.35-8464.33-8667.030.631.90.0531902.34
515297.52844509319.8520824.8-5495.47-9466.441.71.70.0481912.19
610834.74862755844.1113044.75-12114.94-14591.330.481.450.0361354.34
717427.4385362.58366.2816047.58-8134.66-15798.131.031.710.052178.43
81197.685362.56667.314487.67-10712.97-18102.030.621.040.0034149.7
925475.7985362.512180.0718630.91-11808.2-20954.471.031.720.0543184.47
107386.838445011921.7622384.71-10075.05-24574.881.181.180.016923.35

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 3.08. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.088, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TVSMOTOR Performance, X=3, Profit Factor:3.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015119 Nov 2015 (-1.29%)
2013128 Oct 2013 (2.94%)
2009119 May 2009 (4.32%)
2007231 Oct 2007 (-3.7%), 24 Dec 2007 (0.71%)
2004130 Nov 2004 (-1.76%)
2003113 Jun 2003 (12.08%)
2002116 Dec 2002 (0.77%)

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
atrtrail27.7552241.7785362.514579.3335676.72-6884.95-11964.652.123.530.116530.22
nilnil-1328133.1385362.58325.7224159.11-4498.48-7401.031.853.080.0883516.64
atrtrail38.1234365.9685362.511004.1622788.46-6884.95-11964.651.62.660.0884295.75
atrtrail-18.3831124.0385362.510355.7822788.46-6884.95-11964.651.52.510.0833890.5
atrnil313.7543795.6183537.531696.6953515.07-10258.89-14084.73.091.850.0565474.45
atrnil28.2512098.9283537.521131.1335676.72-10258.89-14084.72.061.240.0211512.36

In the table above, row 1 shows the best exit criterion. Profit factor is 3.53. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 3.27%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, Profit Factor:3.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015119 Nov 2015 (1.34%)
2013128 Oct 2013 (-1.82%)
2009119 May 2009 (17.84%)
2007231 Oct 2007 (-5.98%), 24 Dec 2007 (3.41%)
2004130 Nov 2004 (-2.52%)
2003113 Jun 2003 (6.67%)
2002116 Dec 2002 (7.19%)



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