Study: Buy BAJAJFINSV when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy BAJAJFINSV 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
181620.4395494651.584135.4330408.77-2630.78-13425.31.571.670.049859.16
213263295544156.845643.8721063.86-4198.47-13523.051.341.770.0661396.12
313768895464948.428013.1729564.88-4712.61-15804.051.71.60.0521449.35
411294295455047.378956.8334728.77-5802.3-22220.481.541.390.0371188.87
511063595435245.2610690.843455.19-6712.87-23602.371.591.320.0311164.58
613784695504552.639993.234669.81-8040.3-22818.061.241.380.0371451.01
716120695484750.5311421.9358696.93-8235.03-21820.11.391.420.0381696.91
817961295474849.4712842.2155719.34-8832.74-27288.341.451.420.0391890.66
921526694484651.0614005.0176356.13-9934.22-28582.751.411.470.0422290.06
102506199447475015548.91101798-10216.6-35979.41.521.520.0432666.15

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.77. 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 56.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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
atrtrail-16.21258808105495646.6711735.1397025.32-5646.67-10892.622.081.820.0512464.83
nilnil-1213263295544156.845643.8721063.86-4198.47-13523.051.341.770.0661396.12
atrtrail35.25197562107495845.7910784.7837132.37-5705.04-10892.621.891.60.0521846.38
atrnil39.4125238095346135.7920783.4737132.37-7446.86-40007.982.791.560.0552656.63
atrtrail24.46150010111496244.1410220.8124754.91-5658.21-10892.621.811.430.0441351.45
atrnil26.36184031108466242.5913920.9224754.91-7360.18-40007.981.891.40.0451703.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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.
BAJAJFINSV Performance, Profit Factor:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Feb 2019 (10.73%), 01 Apr 2019 (6.06%), 17 May 2019 (0.64%), 01 Jul 2019 (-1.39%), 07 Aug 2019 (1.63%), 27 Aug 2019 (0.19%)
2018807 Feb 2018 (1.03%), 26 Feb 2018 (-3.07%), 13 Mar 2018 (-2.39%), 17 May 2018 (4.27%), 11 Jun 2018 (-2.49%), 10 Jul 2018 (0.53%), 25 Oct 2018 (10.0%), 12 Dec 2018 (3.95%)
20171423 Feb 2017 (-1.03%), 22 Mar 2017 (-1.77%), 10 Apr 2017 (2.77%), 28 Apr 2017 (-2.93%), 02 Jun 2017 (-3.25%), 19 Jun 2017 (-2.13%), 06 Jul 2017 (27.58%), 28 Aug 2017 (-3.01%), 12 Sep 2017 (-1.85%), 12 Oct 2017 (-2.66%), 10 Nov 2017 (-2.72%), 17 Nov 2017 (1.1%), 15 Dec 2017 (-2.26%), 18 Dec 2017 (1.96%)
20161211 Jan 2016 (-0.41%), 05 Feb 2016 (-3.47%), 02 Mar 2016 (-3.63%), 03 Mar 2016 (-2.7%), 06 Jun 2016 (-2.29%), 15 Jun 2016 (1.87%), 31 Aug 2016 (2.46%), 21 Sep 2016 (0.25%), 19 Oct 2016 (-3.24%), 30 Oct 2016 (-1.96%), 30 Nov 2016 (-2.88%), 28 Dec 2016 (9.8%)
20151123 Jan 2015 (7.3%), 13 Feb 2015 (-3.81%), 05 Mar 2015 (-3.93%), 06 Apr 2015 (-1.07%), 30 Apr 2015 (-3.03%), 30 Jul 2015 (6.67%), 14 Sep 2015 (-4.48%), 07 Oct 2015 (-2.29%), 19 Oct 2015 (7.61%), 02 Dec 2015 (-2.59%), 31 Dec 2015 (-2.45%)
20141107 Feb 2014 (-0.77%), 26 Mar 2014 (5.72%), 22 Apr 2014 (1.64%), 09 May 2014 (-2.57%), 12 May 2014 (-1.97%), 20 May 2014 (0.04%), 05 Jun 2014 (-3.69%), 05 Aug 2014 (-2.98%), 22 Aug 2014 (10.96%), 01 Oct 2014 (-3.32%), 21 Nov 2014 (22.45%)
2013806 Feb 2013 (-2.66%), 21 Feb 2013 (-1.39%), 01 Apr 2013 (-2.59%), 08 May 2013 (-2.69%), 19 Jun 2013 (2.12%), 26 Aug 2013 (-1.08%), 05 Nov 2013 (3.44%), 30 Dec 2013 (1.31%)
2012801 Feb 2012 (7.13%), 03 Apr 2012 (2.4%), 19 Apr 2012 (2.63%), 13 Jun 2012 (-3.62%), 27 Jun 2012 (4.85%), 24 Sep 2012 (11.28%), 25 Oct 2012 (-3.5%), 23 Nov 2012 (5.73%)
2011628 Apr 2011 (-4.23%), 18 May 2011 (-4.14%), 30 May 2011 (1.81%), 07 Jul 2011 (2.04%), 26 Aug 2011 (10.17%), 17 Oct 2011 (0.91%)
20101006 Feb 2010 (0.4%), 26 Feb 2010 (-3.57%), 31 Mar 2010 (-3.32%), 01 Apr 2010 (0.59%), 29 Apr 2010 (-1.91%), 20 Jul 2010 (-3.09%), 03 Sep 2010 (1.35%), 05 Nov 2010 (-3.34%), 25 Nov 2010 (-3.67%), 28 Dec 2010 (-3.41%)
20091025 Feb 2009 (-4.87%), 12 Mar 2009 (10.0%), 08 May 2009 (0.02%), 21 May 2009 (48.51%), 24 Jul 2009 (-5.45%), 27 Aug 2009 (-3.98%), 16 Sep 2009 (8.83%), 16 Nov 2009 (2.48%), 04 Dec 2009 (-3.12%), 31 Dec 2009 (0.53%)
2008129 Oct 2008 (9.78%)



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