Study: Buy ULTRACEMCO 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 ULTRACEMCO 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 ULTRACEMCO 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
163914.6955322358.183628.3613297.52-2269.26-6093.651.62.220.0751162.09
254046.8655312456.364586.0616714.03-3671.71-11470.681.251.610.046982.67
379223.4555322358.186060.719712.06-4987.79-17427.981.221.690.0521440.43
490847.42553322606668.9537540.69-5874-24077.771.141.70.0481651.77
512173655352063.647495.8546763.11-7030.97-29182.761.071.870.0552213.37
6144668553322609154.2245967.45-7155.5-28357.081.281.920.062630.33
716988155352063.649558.1151283.91-8232.64-28765.481.162.030.0673088.74
820083055371867.2710716.5467558.77-10871.22-30336.930.992.030.0653651.46
925614855361965.4512398.0765714.29-10009.61-29946.291.242.350.084657.24
1023164855352063.6412303.4959602.17-9948.71-299481.242.160.0734211.78

From the table above, we see that best results are achieved by holding positions for 9 trading days. Profit factor is 2.35. 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 65.45%, which is good. Average return per trade is 2.33%, which is very good. Sharpe Ratio is 0.08, 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.
ULTRACEMCO Performance, X=9, Profit Factor:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Feb 2019 (2.06%), 04 Apr 2019 (4.41%), 21 May 2019 (2.64%), 28 Aug 2019 (-2.86%)
2018323 Jul 2018 (3.94%), 21 Aug 2018 (-3.43%), 01 Nov 2018 (8.64%)
2017414 Mar 2017 (-1.19%), 06 Apr 2017 (-2.54%), 25 Apr 2017 (4.49%), 12 Oct 2017 (14.39%)
2016518 Apr 2016 (-6.74%), 08 Aug 2016 (2.25%), 01 Sep 2016 (-3.42%), 29 Nov 2016 (-2.09%), 29 Dec 2016 (4.26%)
2015109 Sep 2015 (-6.77%)
2014416 Jan 2014 (-2.51%), 28 Mar 2014 (5.22%), 13 May 2014 (0.71%), 29 Oct 2014 (3.95%)
2013106 Sep 2013 (15.82%)
2012424 Jul 2012 (1.44%), 13 Aug 2012 (1.35%), 11 Sep 2012 (4.57%), 03 Dec 2012 (-0.35%)
2010519 May 2010 (-3.43%), 21 Jul 2010 (1.52%), 07 Sep 2010 (7.41%), 01 Oct 2010 (4.68%), 15 Oct 2010 (-3.66%)
2009428 Jan 2009 (1.64%), 23 Mar 2009 (5.51%), 20 Apr 2009 (2.71%), 18 May 2009 (10.32%)
2008529 Jan 2008 (-7.51%), 14 Feb 2008 (5.48%), 06 Jun 2008 (-1.98%), 03 Nov 2008 (-8.31%), 03 Dec 2008 (32.86%)
2007517 Jan 2007 (-9.1%), 07 Feb 2007 (-14.97%), 20 Mar 2007 (-10.58%), 09 Apr 2007 (14.05%), 01 Jun 2007 (-3.66%)
2006230 Mar 2006 (13.54%), 15 Jun 2006 (8.92%)
2005828 Jan 2005 (6.43%), 08 Jun 2005 (4.03%), 26 Jul 2005 (0.63%), 12 Aug 2005 (1.51%), 29 Aug 2005 (2.05%), 16 Sep 2005 (2.43%), 07 Nov 2005 (6.77%), 16 Dec 2005 (10.53%)

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
nilnil-1925614855361965.4512398.0765714.29-10009.61-29946.291.242.350.084657.24
atrnil26.2526039764313348.4416395.7341207.8-7511.24-22012.422.182.050.0794068.7
atrnil311.2228353158233539.6624269.5361811.7-7847.66-22012.423.092.030.0714888.47
atrtrail24.9583540.9966283842.4211057.0341207.8-5948.84-14806.491.861.370.0311265.77
atrtrail35.5679751.0762263641.9411401.0961811.7-6018.81-14806.491.891.370.0281286.31
atrtrail-16.4229252.7762263641.949458.8547119.47-6018.81-14806.491.571.140.012471.82

In the table above, row 1 shows the best exit criterion. Profit factor is 2.35. 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 65.45%, which is good. Average return per trade is 2.33%, which is very good. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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