Study: Buy WOCKPHARMA 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 WOCKPHARMA 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 WOCKPHARMA 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
120988.9274294539.194612.9817812.44-2506.39-8719.031.841.190.014283.63
227203.2274334144.595874.2722397.07-4064.58-18195.61.451.160.013367.61
310426174403454.056784.3546404.39-4915.1-21304.021.381.620.0381408.93
415713074472763.516887.8443659.65-6170.31-21834.721.121.940.0542123.38
526946074452960.8110348.1146221.41-6765.69-22509.581.532.370.0733641.35
632994574452960.8112068.1756797.8-7349.06-25324.341.642.550.0774458.71
740743274482664.8613065.655919.49-8450.65-31105.21.552.850.0875505.84
838948974482664.8612529.0351564.5-8150.17-28267.381.542.840.0885263.37
946711074502467.5713348.1557932.3-8345.71-30506.61.63.330.0996312.3
1048527274502467.5713717.7559322.96-8358.97-32945.351.643.420.0976557.73
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
WOCKPHARMA Performance, X=10, Profit Factor:3.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (6.14%), 22 May 2019 (-1.42%)
2018426 Feb 2018 (-1.63%), 30 May 2018 (2.91%), 30 Jul 2018 (0.47%), 29 Oct 2018 (6.22%)
2017202 Jun 2017 (0.83%), 12 Dec 2017 (20.13%)
2016330 Aug 2016 (0.9%), 01 Dec 2016 (-1.56%), 29 Dec 2016 (5.82%)
2015402 Jan 2015 (0.11%), 18 May 2015 (10.67%), 14 Sep 2015 (8.88%), 18 Nov 2015 (5.72%)
2014102 Apr 2014 (13.47%)
2013401 Mar 2013 (0.95%), 17 Jun 2013 (-0.57%), 14 Aug 2013 (5.44%), 19 Dec 2013 (5.59%)
2012707 Jan 2012 (29.66%), 01 Mar 2012 (12.68%), 04 Apr 2012 (8.54%), 20 Apr 2012 (2.11%), 23 May 2012 (4.74%), 27 Jun 2012 (-1.58%), 25 Jul 2012 (19.21%)
2011218 May 2011 (2.25%), 04 Jul 2011 (8.12%)
2010708 Mar 2010 (-8.88%), 25 Mar 2010 (-3.24%), 19 May 2010 (-0.19%), 03 Aug 2010 (18.92%), 07 Sep 2010 (0.39%), 04 Oct 2010 (-3.16%), 03 Nov 2010 (7.65%)
2009717 Mar 2009 (13.5%), 13 Aug 2009 (1.19%), 17 Sep 2009 (7.79%), 17 Oct 2009 (-15.67%), 09 Nov 2009 (-6.55%), 04 Dec 2009 (-6.16%), 30 Dec 2009 (6.44%)
2008318 Feb 2008 (-0.59%), 09 Jul 2008 (1.35%), 12 Nov 2008 (-11.11%)
2007427 Aug 2007 (6.37%), 25 Oct 2007 (-3.63%), 07 Dec 2007 (2.51%), 31 Dec 2007 (-1.44%)
2006411 May 2006 (-16.47%), 15 Jun 2006 (1.96%), 03 Nov 2006 (-2.69%), 28 Dec 2006 (1.79%)
2005407 Feb 2005 (1.27%), 02 May 2005 (0.55%), 10 Aug 2005 (-1.64%), 08 Nov 2005 (-1.16%)
2004203 Nov 2004 (-3.77%), 14 Dec 2004 (2.24%)
2003413 May 2003 (5.26%), 30 Jul 2003 (21.19%), 01 Sep 2003 (-3.3%), 05 Nov 2003 (5.22%)
2002326 Mar 2002 (0.67%), 11 Jun 2002 (-0.95%), 17 Dec 2002 (3.58%)
2001501 Jan 2001 (-2.92%), 24 Jan 2001 (2.07%), 10 Apr 2001 (16.59%), 09 Oct 2001 (5.52%), 27 Nov 2001 (15.72%)
2000217 Aug 2000 (9.31%), 05 Dec 2000 (2.31%)

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
atrnil27.7530595681384346.9118008.4541117.51-8799.18-195882.051.810.0623777.24
atrtrail25.2122547781374445.6813698.0227434.27-6394.31-195882.141.80.0572783.67
atrnil311.3730609278294937.1826001.561676.26-9141.88-195882.841.680.0513924.25
atrtrail35.918667479354444.313372.0938129.6-6394.31-195882.091.660.0452362.96
atrtrail-16.4993601.9178334542.3111432.1232292.37-6303.51-195881.811.330.0251200.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 46.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, 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.
WOCKPHARMA Performance, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (8.44%), 22 May 2019 (-4.27%)
2018526 Feb 2018 (-4.57%), 30 May 2018 (-4.22%), 07 Jun 2018 (8.35%), 30 Jul 2018 (7.39%), 29 Oct 2018 (12.31%)
2017302 Jun 2017 (-3.59%), 12 Dec 2017 (-3.47%), 13 Dec 2017 (7.27%)
2016330 Aug 2016 (8.56%), 01 Dec 2016 (-4.01%), 29 Dec 2016 (6.03%)
2015402 Jan 2015 (-3.68%), 18 May 2015 (13.72%), 14 Sep 2015 (-6.08%), 18 Nov 2015 (8.05%)
2014202 Apr 2014 (7.3%), 03 Apr 2014 (8.28%)
2013401 Mar 2013 (10.73%), 17 Jun 2013 (-8.14%), 14 Aug 2013 (20.56%), 19 Dec 2013 (-6.05%)
2012807 Jan 2012 (12.71%), 01 Mar 2012 (8.69%), 12 Mar 2012 (8.21%), 04 Apr 2012 (-4.01%), 19 Apr 2012 (-4.08%), 23 May 2012 (-4.72%), 27 Jun 2012 (-3.47%), 25 Jul 2012 (-2.86%)
2011218 May 2011 (8.89%), 04 Jul 2011 (7.3%)
2010708 Mar 2010 (-3.69%), 25 Mar 2010 (-3.93%), 19 May 2010 (-4.23%), 03 Aug 2010 (-3.89%), 07 Sep 2010 (-5.52%), 04 Oct 2010 (-4.68%), 03 Nov 2010 (10.24%)
2009717 Mar 2009 (12.9%), 13 Aug 2009 (-5.65%), 17 Sep 2009 (8.98%), 17 Oct 2009 (-4.17%), 09 Nov 2009 (-5.57%), 04 Dec 2009 (-4.78%), 30 Dec 2009 (8.55%)
2008318 Feb 2008 (-6.73%), 09 Jul 2008 (-6.9%), 12 Nov 2008 (-9.79%)
2007527 Aug 2007 (-3.55%), 25 Oct 2007 (-4.22%), 07 Dec 2007 (6.69%), 10 Dec 2007 (7.38%), 31 Dec 2007 (-3.74%)
2006411 May 2006 (-3.79%), 15 Jun 2006 (16.25%), 03 Nov 2006 (-2.97%), 28 Dec 2006 (-3.03%)
2005507 Feb 2005 (6.84%), 02 May 2005 (6.86%), 10 Aug 2005 (-4.02%), 11 Aug 2005 (9.38%), 08 Nov 2005 (10.08%)
2004203 Nov 2004 (-3.05%), 14 Dec 2004 (5.66%)
2003413 May 2003 (6.76%), 30 Jul 2003 (5.72%), 01 Sep 2003 (-3.66%), 05 Nov 2003 (-4.32%)
2002326 Mar 2002 (-2.64%), 11 Jun 2002 (-2.89%), 17 Dec 2002 (5.94%)
2001601 Jan 2001 (-3.7%), 02 Jan 2001 (7.65%), 25 Jan 2001 (-3.03%), 10 Apr 2001 (11.6%), 09 Oct 2001 (8.57%), 27 Nov 2001 (6.26%)
2000217 Aug 2000 (-3.83%), 05 Dec 2000 (7.07%)



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