Study: Buy UNIONBANK 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 UNIONBANK 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 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
1-4114.74844503665.037629.19-4693.72-7393.940.780.78-0.026-514.34
21787.03844505319.317496.12-4872.55-9939.391.091.090.0094223.38
31852.85844506253.0215258.37-5789.8-10427.91.081.080.0076231.61
417196.73844506529.8111044.58-2230.63-4099.242.932.930.12149.59
59366.0685362.54887.1118185.85-5023.16-8481.710.971.620.0391170.76
6-18883.6483537.57352.119294.74-8187.99-24862.420.90.54-0.051-2360.46
7-13621.498262513463.224351.3-6757.98-11913.241.990.66-0.039-1702.69
8-3554.68262525192.0626609.44-8989.79-13417.722.80.93-0.0071-444.33
913886.418262527415.1732512.75-6823.99-14493.674.021.340.0271735.8
1035249.383537.524618.3329262.58-7721.14-12405.063.191.910.0674406.16
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
UNIONBANK Performance, X=4, Profit Factor:2.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Jan 2019 (-1.58%), 08 Apr 2019 (1.36%)
2017101 Dec 2017 (-0.25%)
2015109 Nov 2015 (1.5%)
2014129 Apr 2014 (-0.58%)
2012126 Nov 2012 (5.52%)
2007127 Jun 2007 (4.68%)
2006128 Sep 2006 (-2.05%)

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
atrnil37.78-7407.0392722.2225664.0626007.55-8390.73-9014.493.060.87-0.014-823
atrtrail35-7814.5392722.2213611.7626007.55-5005.44-8453.912.720.78-0.021-868.28
atrtrail-15.22-9678.3192722.2212679.8724143.78-5005.44-8453.912.530.72-0.028-1075.37
atrnil27.22-24516.492722.2217109.3717338.37-8390.73-9014.492.040.58-0.063-2724.04
atrtrail24.44-16483.7292722.229277.1717338.37-5005.44-8453.911.850.53-0.06-1831.52

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is -0.41%, 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:0.874

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 Jan 2019 (-4.23%), 25 Jan 2019 (-4.51%), 08 Apr 2019 (-4.07%)
2017101 Dec 2017 (-4.38%)
2015109 Nov 2015 (-4.12%)
2014129 Apr 2014 (-4.22%)
2012126 Nov 2012 (13.0%)
2007127 Jun 2007 (12.66%)
2006128 Sep 2006 (-3.85%)



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