Study: Buy BALRAMCHIN when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BALRAMCHIN 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 BALRAMCHIN 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
182630.45168789046.435529.8123981.37-3874.39-19323.671.431.240.016491.85
284966.95168838549.46874.1544272.7-5712.79-26996.731.21.170.012505.76
3305720168957356.558580.6758791.06-6978.68-28584.771.231.60.0351819.76
4345526168907853.5710333.671598.12-7493.56-31454.641.381.590.0342056.7
5388129168987058.3310875.7882638.7-9681.39-35319.381.121.570.0332310.29
6401764168878151.7913094.8182583.49-9104.75-45947.41.441.540.0322391.45
7477624168917754.1713511.9187054.93-9765.71-32635.531.381.640.0372843
8464229168868251.1915094.9583742.75-10169.97-36306.731.481.560.0332763.27
9520929168878151.791582278608.89-10562.79-37715.181.51.610.0363100.77
10539991168897952.9815994.4270494.07-11183.7-37558.691.431.610.0373214.23
Although, strategy looks good but profit factor on day 2 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
atrnil39.599387991786411435.9632432.42233028-9972.59-302903.251.830.0425274.15
atrnil26.956612771918510644.520332.76155352-10066.11-302902.021.620.0393462.18
atrtrail35.454061151948710744.8514504.0957761.19-7997.58-36797.031.811.470.032093.38
atrtrail24.813688702029310946.0413437.4538507.46-8080.85-36797.031.661.420.031826.09
atrtrail-16.183431291918510644.513911.276060.6-7918.14-36797.031.761.410.0251796.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. 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 35.96%, which is not acceptable. Avoid this strategy. Average return per trade is 2.64%, which is very good. Sharpe Ratio is 0.042, 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.
BALRAMCHIN Performance, Profit Factor:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018704 Jan 2018 (-3.57%), 08 Feb 2018 (-5.83%), 22 Mar 2018 (-7.77%), 04 Apr 2018 (-7.27%), 12 Jul 2018 (-4.52%), 25 Jul 2018 (13.91%), 29 Aug 2018 (12.05%)
2017727 Jan 2017 (8.47%), 05 Apr 2017 (10.4%), 11 May 2017 (-3.22%), 22 Jun 2017 (-3.16%), 01 Sep 2017 (-3.13%), 13 Oct 2017 (10.07%), 23 Nov 2017 (-3.23%)
2016705 Jan 2016 (12.04%), 01 Mar 2016 (16.49%), 11 May 2016 (-4.47%), 06 Jun 2016 (-4.03%), 29 Jun 2016 (-4.53%), 14 Sep 2016 (12.63%), 23 Nov 2016 (16.68%)
2015719 Feb 2015 (-4.08%), 07 Apr 2015 (-4.18%), 18 May 2015 (-4.0%), 10 Jun 2015 (-5.07%), 19 Jun 2015 (-4.74%), 07 Sep 2015 (21.0%), 16 Nov 2015 (16.05%)
2014431 Mar 2014 (11.29%), 28 Aug 2014 (-5.05%), 07 Oct 2014 (-5.56%), 26 Dec 2014 (-4.54%)
2013924 Jan 2013 (12.16%), 07 Mar 2013 (-5.03%), 03 Apr 2013 (12.79%), 03 May 2013 (-4.05%), 05 Jul 2013 (-3.77%), 14 Aug 2013 (-4.83%), 15 Oct 2013 (-3.42%), 20 Nov 2013 (-4.25%), 21 Nov 2013 (-4.82%)
2012904 Apr 2012 (-4.49%), 12 Apr 2012 (-4.4%), 25 May 2012 (-5.02%), 08 Jun 2012 (-4.67%), 21 Jun 2012 (11.55%), 06 Aug 2012 (-4.22%), 11 Oct 2012 (-3.67%), 03 Dec 2012 (-3.48%), 31 Dec 2012 (-4.61%)
2011715 Feb 2011 (-5.78%), 04 Mar 2011 (-5.11%), 02 Jun 2011 (-3.96%), 24 Jun 2011 (11.39%), 30 Aug 2011 (-4.79%), 12 Oct 2011 (13.84%), 26 Dec 2011 (-7.08%)
2010904 Jan 2010 (-4.54%), 17 Feb 2010 (-4.25%), 29 Mar 2010 (-4.77%), 17 May 2010 (-5.66%), 02 Aug 2010 (10.2%), 21 Sep 2010 (-3.25%), 28 Sep 2010 (-3.14%), 29 Sep 2010 (-3.33%), 08 Nov 2010 (-3.11%)
20091016 Jan 2009 (-7.94%), 23 Mar 2009 (19.0%), 05 May 2009 (-6.83%), 19 May 2009 (-7.47%), 02 Jun 2009 (20.66%), 29 Jun 2009 (-5.84%), 24 Jul 2009 (15.99%), 03 Sep 2009 (-4.27%), 07 Oct 2009 (11.21%), 09 Dec 2009 (-4.9%)
2008707 Jan 2008 (-6.53%), 05 Feb 2008 (-12.8%), 12 Mar 2008 (-10.26%), 01 Apr 2008 (28.88%), 16 Jun 2008 (-6.77%), 17 Jul 2008 (22.49%), 03 Nov 2008 (-15.14%)
20071011 Jan 2007 (12.97%), 12 Jan 2007 (-4.77%), 27 Feb 2007 (-5.94%), 28 Feb 2007 (-6.71%), 11 May 2007 (15.22%), 01 Jun 2007 (-5.35%), 29 Jun 2007 (-5.22%), 29 Aug 2007 (17.96%), 24 Oct 2007 (24.5%), 30 Nov 2007 (23.1%)
2006907 Mar 2006 (-3.82%), 08 Mar 2006 (13.31%), 30 Mar 2006 (-3.4%), 20 Apr 2006 (-4.62%), 19 Jun 2006 (-12.74%), 03 Aug 2006 (22.83%), 05 Sep 2006 (-5.81%), 28 Sep 2006 (12.33%), 05 Dec 2006 (-4.73%)
2005301 Feb 2005 (13.84%), 04 Mar 2005 (-3.94%), 13 Apr 2005 (116.51%)
2004709 Feb 2004 (19.33%), 10 Jun 2004 (-7.32%), 28 Jun 2004 (18.72%), 06 Oct 2004 (-3.34%), 07 Oct 2004 (-3.81%), 04 Nov 2004 (10.54%), 23 Dec 2004 (13.74%)
2003807 Feb 2003 (10.16%), 17 Mar 2003 (-4.58%), 08 May 2003 (12.11%), 09 May 2003 (-4.49%), 15 Jul 2003 (-6.14%), 26 Aug 2003 (-6.55%), 03 Oct 2003 (14.99%), 24 Nov 2003 (14.6%)
2002906 Feb 2002 (10.74%), 04 Mar 2002 (12.33%), 16 Apr 2002 (-3.79%), 07 May 2002 (-4.47%), 06 Jun 2002 (16.63%), 13 Aug 2002 (-4.92%), 06 Sep 2002 (-3.47%), 12 Sep 2002 (-3.32%), 11 Nov 2002 (-4.36%)
2001702 Jan 2001 (-2.61%), 19 Apr 2001 (14.95%), 14 Aug 2001 (-3.46%), 11 Sep 2001 (-3.48%), 19 Sep 2001 (-3.91%), 02 Nov 2001 (-3.0%), 05 Nov 2001 (-3.26%)
20001104 Jan 2000 (-4.8%), 11 Feb 2000 (-6.6%), 14 Feb 2000 (-7.28%), 25 Feb 2000 (-7.05%), 15 Mar 2000 (-6.85%), 18 May 2000 (-4.16%), 26 May 2000 (10.89%), 04 Jul 2000 (9.43%), 11 Aug 2000 (13.12%), 26 Oct 2000 (-3.22%), 08 Dec 2000 (-2.36%)
1999919 Feb 1999 (15.92%), 19 Mar 1999 (-5.11%), 05 May 1999 (12.87%), 08 Jul 1999 (-3.56%), 12 Aug 1999 (10.24%), 15 Sep 1999 (-3.92%), 07 Oct 1999 (9.29%), 11 Nov 1999 (-5.66%), 24 Dec 1999 (-5.24%)
1998527 Feb 1998 (10.03%), 05 May 1998 (-6.01%), 26 Jun 1998 (-7.28%), 20 Aug 1998 (13.28%), 30 Oct 1998 (16.04%)
19971010 Feb 1997 (11.97%), 03 Mar 1997 (-3.38%), 21 Apr 1997 (15.59%), 09 Jun 1997 (-3.58%), 20 Jun 1997 (-3.84%), 16 Jul 1997 (-3.92%), 05 Aug 1997 (-3.3%), 16 Oct 1997 (12.14%), 08 Dec 1997 (-4.03%), 11 Dec 1997 (13.59%)
1996612 Feb 1996 (14.92%), 10 Apr 1996 (-4.46%), 29 May 1996 (27.47%), 14 Aug 1996 (-5.35%), 16 Aug 1996 (-5.89%), 10 Dec 1996 (13.58%)
1995129 Nov 1995 (14.77%)



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