Study: Buy BEL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BEL 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 BEL 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
1183779174948054.024971.9320000-3544.78-14189.841.41.650.0381056.2
2263403174849048.287680.8433953.49-4242.08-18454.981.811.690.0371513.81
3344318174809445.9811221.3864480.27-5887.16-28418.081.911.620.0321978.84
454874317487875012760.7561395.35-6453.35-30508.471.981.980.0463153.7
5563382174918352.313590.480974.84-8112.58-31412.431.681.840.0423237.83
6502661174868849.4314429.1674930.52-8389.17-36930.461.721.680.0382888.85
7726145174967855.1714721.7572798.74-8809.53-32579.191.672.060.0524173.25
8726114174987656.3215072.8794654.09-9881.94-38235.291.531.970.0494173.07
9633157174957954.615439.6371540.88-10552-45701.361.461.760.0423638.83
10707088174957954.616576.9777672.96-10983.85-50226.241.511.810.0464063.73

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 2.06. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 2.09%, which is very good. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BEL Performance, X=7, Profit Factor:2.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019621 Feb 2019 (16.4%), 02 Apr 2019 (-7.49%), 15 May 2019 (25.62%), 09 Aug 2019 (-4.45%), 23 Sep 2019 (-6.27%), 16 Oct 2019 (4.2%)
2018930 Jan 2018 (-11.33%), 26 Feb 2018 (-5.12%), 03 Apr 2018 (0.37%), 08 May 2018 (-4.93%), 28 May 2018 (-5.99%), 06 Jul 2018 (-6.09%), 23 Jul 2018 (13.91%), 01 Oct 2018 (2.66%), 18 Dec 2018 (4.21%)
2017909 Jan 2017 (3.97%), 09 Mar 2017 (2.61%), 05 Apr 2017 (6.04%), 21 Jun 2017 (-4.08%), 06 Jul 2017 (1.69%), 18 Aug 2017 (5.12%), 12 Oct 2017 (3.34%), 24 Nov 2017 (-1.38%), 22 Dec 2017 (-3.98%)
2016808 Feb 2016 (-8.95%), 04 Mar 2016 (-3.22%), 13 Apr 2016 (1.55%), 27 May 2016 (2.9%), 05 Aug 2016 (-1.5%), 02 Sep 2016 (0.02%), 18 Oct 2016 (-1.74%), 28 Nov 2016 (5.3%)
2015707 Jan 2015 (2.52%), 03 Feb 2015 (2.41%), 01 Apr 2015 (-4.85%), 06 May 2015 (0.45%), 19 Jun 2015 (-1.16%), 10 Sep 2015 (-3.5%), 21 Dec 2015 (9.0%)
2014721 Jan 2014 (-6.23%), 12 Feb 2014 (-2.44%), 14 May 2014 (22.95%), 24 Jun 2014 (8.12%), 11 Aug 2014 (-1.5%), 27 Oct 2014 (8.56%), 25 Nov 2014 (28.5%)
2013605 Mar 2013 (-5.21%), 02 Apr 2013 (0.3%), 03 Jun 2013 (3.44%), 08 Aug 2013 (2.83%), 10 Oct 2013 (0.19%), 31 Dec 2013 (-1.69%)
20121104 Jan 2012 (3.51%), 07 Feb 2012 (2.27%), 28 Feb 2012 (-1.59%), 13 Mar 2012 (-2.8%), 19 Apr 2012 (-4.51%), 31 May 2012 (3.1%), 07 Aug 2012 (-1.14%), 29 Aug 2012 (-2.3%), 21 Sep 2012 (0.64%), 22 Nov 2012 (-1.21%), 19 Dec 2012 (9.52%)
2011624 Feb 2011 (-1.14%), 16 Mar 2011 (1.44%), 09 Jun 2011 (-4.6%), 05 Sep 2011 (-2.27%), 11 Oct 2011 (-0.54%), 07 Dec 2011 (-3.73%)
2010913 Jan 2010 (-0.94%), 16 Feb 2010 (-3.43%), 08 Mar 2010 (0.9%), 11 May 2010 (-2.59%), 06 Jul 2010 (-0.56%), 03 Sep 2010 (4.75%), 04 Oct 2010 (1.89%), 09 Nov 2010 (-3.11%), 22 Dec 2010 (0.01%)
2009930 Jan 2009 (8.16%), 30 Mar 2009 (7.52%), 04 May 2009 (1.04%), 18 May 2009 (20.09%), 20 Jul 2009 (-6.25%), 04 Aug 2009 (-1.91%), 22 Sep 2009 (13.87%), 05 Nov 2009 (-1.33%), 24 Nov 2009 (9.89%)
20081018 Feb 2008 (-3.61%), 12 Mar 2008 (-11.08%), 04 Apr 2008 (1.11%), 15 May 2008 (-9.27%), 16 Jun 2008 (-5.9%), 09 Jul 2008 (-3.71%), 01 Sep 2008 (1.79%), 30 Sep 2008 (-14.9%), 04 Nov 2008 (-0.43%), 02 Dec 2008 (13.32%)
20071024 Jan 2007 (9.66%), 23 Mar 2007 (2.15%), 28 May 2007 (3.38%), 22 Jun 2007 (1.38%), 24 Aug 2007 (6.89%), 11 Oct 2007 (-6.63%), 25 Oct 2007 (-4.37%), 14 Nov 2007 (-6.17%), 07 Dec 2007 (-0.92%), 24 Dec 2007 (12.06%)
2006716 Jan 2006 (18.43%), 03 May 2006 (-4.28%), 19 Jun 2006 (3.91%), 27 Jul 2006 (-7.98%), 10 Aug 2006 (5.55%), 03 Oct 2006 (-1.01%), 17 Nov 2006 (3.84%)
2005831 Jan 2005 (-0.05%), 07 Apr 2005 (4.71%), 06 May 2005 (2.08%), 06 Jul 2005 (0.29%), 03 Aug 2005 (-1.84%), 06 Sep 2005 (3.61%), 27 Sep 2005 (8.7%), 08 Nov 2005 (7.24%)
2004911 Feb 2004 (-2.98%), 05 Mar 2004 (-6.49%), 30 Mar 2004 (0.9%), 27 May 2004 (-13.08%), 10 Jun 2004 (-1.95%), 26 Aug 2004 (3.24%), 15 Sep 2004 (4.43%), 04 Oct 2004 (-1.43%), 02 Nov 2004 (1.68%)
2003710 Jan 2003 (-0.48%), 03 Apr 2003 (13.68%), 13 Jun 2003 (4.65%), 31 Jul 2003 (2.87%), 30 Sep 2003 (3.57%), 31 Oct 2003 (-4.04%), 27 Nov 2003 (5.73%)
2002809 Jan 2002 (32.13%), 05 Feb 2002 (4.6%), 02 Apr 2002 (10.38%), 24 Apr 2002 (24.11%), 12 Jun 2002 (-4.2%), 23 Jul 2002 (-13.6%), 07 Aug 2002 (-0.89%), 07 Oct 2002 (-1.87%)
2001605 Feb 2001 (3.35%), 27 Mar 2001 (-9.81%), 03 Jul 2001 (4.33%), 16 Aug 2001 (5.04%), 24 Sep 2001 (3.41%), 22 Nov 2001 (5.28%)
2000703 Jan 2000 (19.28%), 27 Jan 2000 (18.31%), 30 Mar 2000 (15.81%), 29 May 2000 (0.42%), 19 Jun 2000 (-1.03%), 16 Aug 2000 (7.48%), 20 Oct 2000 (9.13%)
1999711 Feb 1999 (15.81%), 05 May 1999 (5.26%), 06 Jul 1999 (4.32%), 23 Jul 1999 (4.33%), 18 Aug 1999 (14.0%), 07 Oct 1999 (36.4%), 03 Dec 1999 (-0.29%)
1998727 Feb 1998 (-0.21%), 21 May 1998 (23.68%), 09 Jul 1998 (-16.29%), 11 Aug 1998 (0.0%), 30 Oct 1998 (-12.25%), 08 Dec 1998 (-7.08%), 30 Dec 1998 (11.11%)
1997109 Oct 1997 (-14.39%)

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-17726145174967855.1714721.7572798.74-8809.53-32579.191.672.060.0524173.25
atrnil25.556201422058911643.4117765.6639356.92-8284.5-23286.722.141.650.0463025.08
atrnil38.396723331926412833.3327263.8959035.38-8379.35-23286.723.251.630.0413501.73
atrtrail24.262995522058512041.4612829.7339356.92-6591.45-18306.991.951.380.0271461.23
atrtrail34.892184652047912538.7312960.9345888.84-6443.58-18306.992.011.270.0181070.91
atrtrail-15.3382701.212037912438.9211203.1164919.34-6470.52-18306.991.731.10.0072407.4

In the table above, row 1 shows the best exit criterion. Profit factor is 2.06. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is 2.09%, which is very good. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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