Study: Buy UNIONBANK 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 UNIONBANK 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 UNIONBANK 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
1-33394.1467264138.814270.913492.99-3522.87-9037.331.210.77-0.025-498.42
230555.7267323547.766518.9537032.71-5087.16-15367.851.281.170.013456.06
32396.8267333449.258372.8542698.6-8056.09-25449.591.041.010.0007735.77
4-51955.7267333449.259130.2641588.79-10389.83-37028.30.880.85-0.014-775.46
5-50570.6367313646.2711471.6450992.99-11283.09-33136.791.020.88-0.012-754.79
6-40556.1567333449.2510804.5666880.84-11679.6-25857.940.930.9-0.0094-605.32
7-12719367293843.2812324.7549646.5-12752.92-29705.880.970.74-0.029-1898.4
8-48299.0567303744.7812619.952278.04-11537.73-26003.091.090.89-0.011-720.88
9-59128.7267274040.314856.7449175.18-11506.52-34324.551.290.87-0.012-882.52
10-85382.4667274040.316643.9157187.75-13369.2-35570.661.240.84-0.016-1274.37
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
atrtrail-15-11075.2175235230.6715558.5852793.07-7094.66-20229.542.190.97-0.0025-147.67
atrnil26.9-27912.1677255232.4718930.9729567.45-9638.2-20315.061.960.94-0.0064-362.5
atrtrail34.48-31914.4977255232.4713480.3236031.99-7094.66-20229.541.90.91-0.0082-414.47
atrtrail24.18-58034.9477255232.4712435.524413.82-7094.66-20229.541.750.84-0.017-753.7
atrnil38.64-91716.675165921.3329429.4344351.17-9535.38-20315.063.090.84-0.018-1222.89

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 30.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.074%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
UNIONBANK Performance, Profit Factor:0.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019625 Feb 2019 (-4.08%), 26 Feb 2019 (22.19%), 27 May 2019 (-2.56%), 27 Aug 2019 (-4.65%), 11 Sep 2019 (-5.02%), 17 Oct 2019 (-2.21%)
2018905 Jan 2018 (-3.11%), 19 Jan 2018 (1.7%), 14 Mar 2018 (-6.04%), 30 Apr 2018 (-4.22%), 02 May 2018 (-1.94%), 23 May 2018 (3.2%), 20 Aug 2018 (-2.55%), 10 Oct 2018 (-6.08%), 25 Oct 2018 (22.06%)
2017605 Jan 2017 (5.9%), 12 Apr 2017 (-2.96%), 25 Apr 2017 (-2.88%), 26 Apr 2017 (13.8%), 03 Jul 2017 (0.97%), 28 Aug 2017 (-1.92%)
2016327 Jan 2016 (-4.73%), 28 Jan 2016 (-1.04%), 02 Mar 2016 (3.16%)
2015427 Feb 2015 (-4.7%), 13 May 2015 (1.96%), 11 Nov 2015 (-1.41%), 23 Dec 2015 (-3.26%)
2014218 Feb 2014 (-3.27%), 15 May 2014 (26.4%)
2013519 Feb 2013 (-3.76%), 05 Mar 2013 (0.12%), 02 Apr 2013 (-4.47%), 11 Jul 2013 (-2.57%), 13 Aug 2013 (-7.96%)
2012703 Jan 2012 (-5.22%), 24 May 2012 (-1.46%), 06 Jun 2012 (1.79%), 16 Aug 2012 (-3.86%), 31 Aug 2012 (19.46%), 05 Nov 2012 (2.44%), 30 Nov 2012 (4.13%)
2011612 Jan 2011 (-3.93%), 19 Jan 2011 (2.67%), 08 Jul 2011 (-1.01%), 08 Sep 2011 (-5.02%), 11 Oct 2011 (0.19%), 25 Nov 2011 (-3.19%)
2010203 Dec 2010 (-4.65%), 23 Dec 2010 (2.6%)
2009409 Feb 2009 (-2.64%), 16 Mar 2009 (13.65%), 15 Oct 2009 (2.64%), 18 Nov 2009 (-4.11%)
2008216 Jun 2008 (-0.48%), 07 Jul 2008 (-2.58%)
2007720 Feb 2007 (-4.12%), 15 Mar 2007 (9.97%), 05 Jun 2007 (-3.9%), 19 Jun 2007 (-1.98%), 09 Jul 2007 (-4.19%), 15 Oct 2007 (-3.97%), 30 Oct 2007 (0.53%)
2006504 May 2006 (-1.48%), 21 Jun 2006 (-5.91%), 21 Jul 2006 (17.41%), 14 Sep 2006 (-3.32%), 22 Dec 2006 (-1.94%)
2005413 Apr 2005 (-5.01%), 25 Apr 2005 (-3.15%), 09 May 2005 (-2.44%), 07 Nov 2005 (-1.21%)
2004307 Jun 2004 (-10.11%), 16 Jun 2004 (-2.89%), 05 Oct 2004 (-3.32%)



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