Study: Buy ZEEL 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 ZEEL 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 ZEEL 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
112428287464152.875628.7816010.25-3283.94-11952.991.711.920.0491428.53
228069.3987444350.576056.7329765.47-5544.81-18954.741.091.120.0085322.64
366732.6387454251.728698.1345883.23-7730.55-33470.011.131.210.014767.04
420101.0487434449.439827.1452070.86-9146.95-53454.821.071.050.0034231.05
531625.1787444350.5712051.2550723.55-11596.04-47609.311.041.060.0045363.51
694644.2687414647.1315411.0554249.42-11678.46-59674.751.321.180.0121087.87
726540487454251.7219151.3389852.31-14200.13-70892.981.351.450.0263050.62
825106187394844.8322484.8188914.55-13038.47-61378.911.721.40.0242885.76
929635187434449.4322243.9297760.84-15003.13-56660.171.481.450.0253406.33
1026768687434449.4322992.5897205.54-16386.25-69354.591.41.370.0223076.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.92. 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 52.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.

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-1112428287464152.875628.7816010.25-3283.94-11952.991.711.920.0491428.53
atrtrail34.8414720896316532.2920428.496657.71-7478.04-25990.52.731.30.0181533.42
atrnil25.9215843599356435.3523962.26132128-10628.81-28500.742.251.230.0151600.36
atrtrail-15.3884156.5596316532.2918394.4877266-7478.04-25990.52.461.170.011876.63
atrtrail24.4350196.4899336633.3316651.564438.47-7565.2-25990.52.21.10.0074507.04
atrnil39.0765670.3194256926.633327.6796657.71-11123.5-66064.1231.090.0063698.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.92. 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 52.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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.
ZEEL Performance, X=1, Profit Factor:1.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Feb 2019 (-2.43%), 23 May 2019 (4.55%)
2018210 Oct 2018 (0.89%), 31 Oct 2018 (-0.95%)
2017115 Mar 2017 (-0.03%)
2016427 May 2016 (-2.1%), 24 Aug 2016 (-2.11%), 29 Sep 2016 (-0.54%), 30 Nov 2016 (0.43%)
2015511 Mar 2015 (1.22%), 09 Apr 2015 (-2.79%), 19 May 2015 (0.76%), 15 Jul 2015 (1.76%), 10 Sep 2015 (-0.03%)
2014308 Jan 2014 (1.24%), 16 Jul 2014 (0.17%), 25 Nov 2014 (-4.56%)
2013301 Apr 2013 (-0.12%), 18 Apr 2013 (4.86%), 12 Nov 2013 (-0.54%)
2012405 Mar 2012 (-1.34%), 23 Jul 2012 (0.85%), 13 Aug 2012 (1.03%), 18 Sep 2012 (2.5%)
2011403 Feb 2011 (0.0%), 22 Jul 2011 (-0.04%), 08 Sep 2011 (-0.73%), 28 Nov 2011 (2.68%)
2010330 Jun 2010 (-1.97%), 09 Aug 2010 (-1.61%), 01 Nov 2010 (1.56%)
2009611 May 2009 (5.0%), 04 Jun 2009 (-0.13%), 04 Aug 2009 (-1.01%), 24 Sep 2009 (3.9%), 11 Nov 2009 (1.14%), 23 Dec 2009 (0.3%)
2008504 Feb 2008 (0.81%), 18 Feb 2008 (-0.39%), 05 May 2008 (-1.5%), 31 Oct 2008 (-1.1%), 24 Nov 2008 (3.78%)
2007311 Jan 2007 (0.05%), 12 Mar 2007 (0.58%), 31 Aug 2007 (3.15%)
2006402 May 2006 (-2.81%), 20 Jun 2006 (2.81%), 11 Aug 2006 (0.91%), 13 Sep 2006 (2.01%)
2005302 Feb 2005 (-0.78%), 30 Mar 2005 (2.58%), 08 Nov 2005 (2.71%)
2004223 Mar 2004 (1.3%), 26 May 2004 (0.0%)
2003407 Feb 2003 (-0.52%), 22 Mar 2003 (-3.36%), 08 Sep 2003 (-0.71%), 24 Sep 2003 (-0.57%)
2002408 Jan 2002 (-4.97%), 31 May 2002 (0.53%), 09 Aug 2002 (0.2%), 16 Oct 2002 (2.22%)
2001322 Jan 2001 (7.06%), 16 Mar 2001 (0.0%), 20 Apr 2001 (5.58%)
2000611 Apr 2000 (5.48%), 08 May 2000 (7.43%), 25 May 2000 (-5.18%), 06 Jul 2000 (-0.83%), 17 Aug 2000 (6.26%), 02 Nov 2000 (4.87%)
1999311 Aug 1999 (0.44%), 23 Oct 1999 (-2.55%), 21 Dec 1999 (-0.68%)
1998418 Mar 1998 (6.77%), 21 May 1998 (4.62%), 01 Jul 1998 (5.8%), 18 Dec 1998 (8.01%)
1996523 Jan 1996 (-4.72%), 23 Aug 1996 (3.92%), 30 Sep 1996 (4.37%), 23 Oct 1996 (-3.79%), 12 Dec 1996 (-3.4%)
1995405 May 1995 (0.0%), 02 Jun 1995 (-0.45%), 26 Sep 1995 (-5.98%), 01 Dec 1995 (0.38%)



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