Study: Buy BAJFINANCE when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE 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 BAJFINANCE 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
116955320910310649.285038.7827513.23-3296.62-15844.161.531.490.027811.26
230402120910810151.677636.139382.97-5155.22-22529.931.481.580.0331454.65
32698922099811146.899261.9762639.41-5745.78-29758.631.611.420.0241291.35
427522520910510450.249563.3270446.1-7008.88-39841.121.361.380.0211316.87
526327720910710251.210467.5579182.16-8399.53-37938.571.251.310.0191259.7
629733320910210748.811678.5598971.19-8354.01-55054.661.41.330.021422.65
738460320810810051.9212401.8986008.23-9548.01-75710.571.31.40.0231849.05
85070812081129653.8513268.881069.96-10198.16-59052.581.31.520.0312437.89
96005822081119753.3714440.3672378.4-10332.97-72316.51.41.60.0342887.41
105560272081139554.3314452.6199687.64-11338.08-75044.251.271.520.0292673.21
Although, strategy looks good but profit factor on day 5 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
atrnil384638512267515133.1924178.844160.76-8937.48-23802.212.711.340.0262052.44
atrnil26.112201202429514739.2616179.230434.08-8958.53-23802.211.811.170.014909.59
atrtrail351443552439215137.8613216.144160.76-7096.2-23799.481.861.130.0096594.05
atrtrail-15.741197342388815036.9713420.2871313.8-7075.01-23799.481.91.110.0075503.08
atrtrail24.3663422.622539715638.3412106.5930434.08-7121.26-23799.481.71.060.0047250.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. 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 33.19%, which is not acceptable. Avoid this strategy. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
BAJFINANCE Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019605 Feb 2019 (-3.15%), 25 Feb 2019 (8.09%), 17 May 2019 (8.31%), 01 Jul 2019 (-1.77%), 07 Aug 2019 (-3.71%), 26 Aug 2019 (11.49%)
2018915 Feb 2018 (-3.66%), 26 Feb 2018 (-3.26%), 17 May 2018 (8.03%), 25 Jun 2018 (-2.42%), 13 Jul 2018 (-2.07%), 09 Aug 2018 (-2.3%), 27 Aug 2018 (-1.99%), 12 Oct 2018 (-6.67%), 18 Dec 2018 (-3.09%)
20171215 Mar 2017 (9.16%), 10 Apr 2017 (7.99%), 25 Apr 2017 (-2.61%), 26 Apr 2017 (-2.75%), 15 May 2017 (-2.55%), 01 Jun 2017 (8.98%), 12 Jul 2017 (7.18%), 06 Sep 2017 (-2.99%), 10 Oct 2017 (-2.54%), 20 Nov 2017 (-2.71%), 15 Dec 2017 (-2.49%), 18 Dec 2017 (-2.76%)
2016903 Feb 2016 (-3.85%), 02 Mar 2016 (12.52%), 09 May 2016 (7.92%), 03 Jun 2016 (-3.03%), 30 Jun 2016 (7.04%), 31 Aug 2016 (-2.89%), 19 Oct 2016 (-3.13%), 28 Nov 2016 (-5.92%), 28 Dec 2016 (13.97%)
20151014 Jan 2015 (11.08%), 01 Apr 2015 (9.35%), 11 May 2015 (-4.55%), 09 Jun 2015 (11.74%), 30 Jul 2015 (-2.89%), 11 Sep 2015 (-3.4%), 30 Sep 2015 (-3.6%), 20 Oct 2015 (-2.85%), 20 Nov 2015 (6.86%), 18 Dec 2015 (6.37%)
20141318 Feb 2014 (-2.75%), 28 Mar 2014 (-2.66%), 28 Apr 2014 (-2.73%), 22 May 2014 (-3.37%), 03 Jul 2014 (-3.65%), 23 Jul 2014 (-3.9%), 18 Aug 2014 (9.46%), 19 Sep 2014 (-3.38%), 01 Oct 2014 (-3.59%), 07 Oct 2014 (-3.82%), 27 Oct 2014 (-3.41%), 08 Dec 2014 (-3.37%), 23 Dec 2014 (10.15%)
2013915 Feb 2013 (-2.5%), 18 Apr 2013 (-3.36%), 22 Apr 2013 (10.88%), 11 Jul 2013 (-3.22%), 13 Aug 2013 (-5.53%), 05 Sep 2013 (19.54%), 04 Oct 2013 (14.85%), 05 Dec 2013 (9.21%), 31 Dec 2013 (-2.66%)
2012710 Jan 2012 (9.86%), 02 Apr 2012 (9.63%), 08 Jun 2012 (9.1%), 09 Aug 2012 (-3.14%), 13 Sep 2012 (9.35%), 13 Nov 2012 (-3.03%), 27 Dec 2012 (-3.02%)
2011608 Feb 2011 (-5.44%), 28 Mar 2011 (-3.86%), 31 May 2011 (-4.37%), 28 Jun 2011 (12.58%), 09 Sep 2011 (-4.52%), 07 Dec 2011 (-2.81%)
2010818 Feb 2010 (-5.68%), 02 Mar 2010 (16.2%), 13 May 2010 (-5.42%), 06 Jul 2010 (9.84%), 23 Aug 2010 (-4.23%), 06 Sep 2010 (13.04%), 04 Nov 2010 (-3.35%), 20 Dec 2010 (-4.91%)
20091122 Jan 2009 (-7.97%), 29 Jan 2009 (-8.29%), 02 Mar 2009 (-6.46%), 17 Mar 2009 (21.9%), 19 May 2009 (20.55%), 16 Jul 2009 (22.08%), 02 Sep 2009 (-6.3%), 18 Sep 2009 (18.59%), 01 Oct 2009 (-5.68%), 17 Nov 2009 (-6.29%), 02 Dec 2009 (16.49%)
2008515 Feb 2008 (-9.85%), 03 Apr 2008 (-9.2%), 20 May 2008 (-4.98%), 25 Jun 2008 (-10.82%), 29 Dec 2008 (-9.21%)
20071409 Feb 2007 (-4.55%), 12 Feb 2007 (-4.95%), 20 Mar 2007 (-5.28%), 16 Apr 2007 (11.01%), 14 May 2007 (10.13%), 28 Jun 2007 (-4.88%), 02 Aug 2007 (-3.28%), 13 Aug 2007 (-3.17%), 30 Aug 2007 (-4.85%), 19 Sep 2007 (-3.58%), 09 Oct 2007 (-4.02%), 10 Oct 2007 (-4.35%), 09 Nov 2007 (-4.44%), 20 Nov 2007 (-4.82%)
2006830 Jan 2006 (-3.66%), 15 Feb 2006 (-4.11%), 04 May 2006 (-4.62%), 30 May 2006 (-7.58%), 20 Jun 2006 (-11.9%), 27 Jul 2006 (-6.26%), 28 Jul 2006 (19.06%), 13 Dec 2006 (11.14%)
20051219 Jan 2005 (-4.22%), 20 Jan 2005 (13.32%), 11 Mar 2005 (-3.78%), 12 Apr 2005 (-3.39%), 22 Apr 2005 (10.21%), 09 May 2005 (9.86%), 27 May 2005 (9.86%), 28 Jun 2005 (-3.35%), 29 Jun 2005 (10.39%), 16 Sep 2005 (9.38%), 19 Sep 2005 (11.37%), 10 Nov 2005 (16.81%)
2004916 Feb 2004 (-6.46%), 27 Feb 2004 (-6.66%), 26 Mar 2004 (13.53%), 06 May 2004 (-5.17%), 25 May 2004 (-6.33%), 18 Jun 2004 (14.14%), 28 Sep 2004 (10.01%), 12 Nov 2004 (-3.8%), 16 Nov 2004 (-4.32%)
20031002 Jan 2003 (-2.81%), 12 Feb 2003 (-3.33%), 14 Feb 2003 (-3.48%), 04 Apr 2003 (8.87%), 26 May 2003 (11.73%), 19 Jun 2003 (-3.75%), 30 Jul 2003 (19.86%), 08 Sep 2003 (-6.0%), 08 Oct 2003 (12.04%), 10 Nov 2003 (10.14%)
2002816 Jan 2002 (11.1%), 12 Feb 2002 (12.99%), 15 Mar 2002 (-6.07%), 25 Apr 2002 (11.43%), 14 Jun 2002 (-5.82%), 04 Jul 2002 (-4.87%), 07 Aug 2002 (-6.55%), 13 Nov 2002 (-3.96%)
2001718 Jan 2001 (-3.01%), 29 Mar 2001 (-3.43%), 06 Apr 2001 (-3.32%), 17 Apr 2001 (11.04%), 07 Jun 2001 (-3.29%), 05 Oct 2001 (-3.76%), 09 Oct 2001 (12.08%)
20001009 Feb 2000 (21.11%), 16 Mar 2000 (-7.88%), 21 Mar 2000 (-8.56%), 17 Apr 2000 (-6.05%), 18 Apr 2000 (-6.24%), 26 Apr 2000 (-6.26%), 10 May 2000 (-6.0%), 07 Jul 2000 (-4.76%), 12 Jul 2000 (-4.89%), 27 Oct 2000 (8.43%)
1999905 Feb 1999 (-6.6%), 08 Apr 1999 (-5.02%), 11 Jun 1999 (-4.79%), 14 Jun 1999 (-5.31%), 02 Jul 1999 (-3.66%), 12 Aug 1999 (9.98%), 07 Oct 1999 (-4.8%), 08 Oct 1999 (-4.96%), 03 Dec 1999 (15.73%)
19981006 Feb 1998 (10.13%), 06 Apr 1998 (12.32%), 25 Jun 1998 (-5.09%), 06 Aug 1998 (-5.14%), 31 Aug 1998 (-4.63%), 03 Sep 1998 (-4.71%), 28 Oct 1998 (-3.93%), 29 Oct 1998 (14.44%), 01 Dec 1998 (-4.75%), 29 Dec 1998 (14.0%)
1997901 Mar 1997 (11.75%), 27 Mar 1997 (-4.44%), 11 Apr 1997 (-4.89%), 14 May 1997 (-4.21%), 13 Jun 1997 (12.88%), 01 Aug 1997 (-4.11%), 04 Sep 1997 (-3.46%), 11 Sep 1997 (-3.47%), 01 Oct 1997 (-3.33%)
19961002 Feb 1996 (14.97%), 12 Feb 1996 (-5.13%), 01 Apr 1996 (-4.55%), 10 Jun 1996 (-3.55%), 15 Jul 1996 (-3.82%), 26 Aug 1996 (15.02%), 11 Oct 1996 (-4.87%), 14 Oct 1996 (-5.39%), 10 Nov 1996 (-4.6%), 12 Dec 1996 (13.74%)
1995509 May 1995 (-3.45%), 19 May 1995 (-3.36%), 14 Jul 1995 (11.33%), 14 Sep 1995 (-3.51%), 27 Nov 1995 (-5.04%)



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