Study: Buy BEML when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BEML 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 BEML 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
13539771809981556630.6140167.36-3733.99-15216.61.782.170.0531966.54
2557333180938751.6711037.5265714.29-5392.61-23662.182.052.190.0483096.29
37123871801027856.6712642.1283000-7398.83-40565.371.712.230.053957.7
4798122180988254.4415293.7180660.38-8544.65-33780.921.792.140.0524434.01
572329918090905017218.4194714.59-9181.76-32084.811.881.880.0424018.33
6644690180889248.8918516.12118393-10703.58-42121.211.731.650.0353581.61
7580654180928851.1118228.64144186-12458.88-54242.421.461.530.0293225.85
8732901180889248.8920603.26142918-11741.14-51024.731.751.680.0344071.67
9630838180859547.2221927.04157667-12978.53-51731.451.691.510.0283504.66
10594919180859547.2222990.68132000-14308.3-61818.181.611.440.0263305.1

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.23. 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 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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.
BEML Performance, X=3, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (4.67%), 20 May 2019 (2.3%)
2018826 Feb 2018 (-1.43%), 08 May 2018 (-2.85%), 12 Jun 2018 (-1.36%), 03 Jul 2018 (2.19%), 26 Jul 2018 (13.24%), 29 Aug 2018 (2.27%), 15 Oct 2018 (-6.41%), 14 Dec 2018 (8.3%)
20171010 Feb 2017 (-3.99%), 31 Mar 2017 (1.89%), 26 Apr 2017 (-2.38%), 05 Jun 2017 (3.26%), 25 Jul 2017 (1.51%), 17 Aug 2017 (-3.73%), 05 Sep 2017 (0.27%), 12 Oct 2017 (3.44%), 27 Nov 2017 (-1.28%), 20 Dec 2017 (2.55%)
2016722 Feb 2016 (-6.02%), 27 Apr 2016 (-2.2%), 11 May 2016 (-1.31%), 30 May 2016 (-4.87%), 29 Aug 2016 (0.68%), 06 Oct 2016 (0.01%), 30 Nov 2016 (-0.42%)
2015718 Feb 2015 (-0.13%), 04 Mar 2015 (-1.7%), 01 Apr 2015 (1.74%), 19 May 2015 (0.22%), 06 Jul 2015 (-0.89%), 21 Sep 2015 (3.1%), 27 Nov 2015 (-2.3%)
2014611 Feb 2014 (-0.66%), 14 May 2014 (22.54%), 02 Sep 2014 (4.5%), 21 Oct 2014 (4.38%), 03 Dec 2014 (-1.92%), 31 Dec 2014 (-2.43%)
20131003 Jan 2013 (-0.33%), 25 Feb 2013 (-9.82%), 03 Apr 2013 (-4.47%), 30 May 2013 (-6.03%), 01 Jul 2013 (-0.09%), 23 Aug 2013 (-7.51%), 04 Oct 2013 (-3.91%), 30 Oct 2013 (1.28%), 03 Dec 2013 (7.18%), 23 Dec 2013 (1.96%)
2012404 Jan 2012 (2.8%), 09 May 2012 (-2.67%), 19 Jun 2012 (2.28%), 29 Nov 2012 (5.63%)
2011621 Feb 2011 (-5.15%), 30 May 2011 (-6.66%), 27 Jun 2011 (0.38%), 26 Aug 2011 (5.47%), 07 Oct 2011 (4.85%), 01 Dec 2011 (2.58%)
20101116 Feb 2010 (-1.89%), 10 Mar 2010 (-3.78%), 30 Apr 2010 (-3.42%), 18 May 2010 (-5.07%), 03 Jun 2010 (0.28%), 14 Jul 2010 (0.6%), 02 Aug 2010 (-0.53%), 19 Aug 2010 (-0.2%), 02 Sep 2010 (11.96%), 06 Oct 2010 (-1.71%), 14 Dec 2010 (-1.26%)
2009909 Feb 2009 (6.52%), 18 Mar 2009 (-1.58%), 18 May 2009 (24.16%), 05 Jun 2009 (1.0%), 29 Jun 2009 (2.01%), 08 Sep 2009 (-6.57%), 15 Oct 2009 (-1.34%), 10 Nov 2009 (1.9%), 23 Dec 2009 (6.39%)
2008702 Jan 2008 (1.21%), 08 Feb 2008 (-8.5%), 27 Feb 2008 (-2.42%), 28 Mar 2008 (-3.96%), 21 Jul 2008 (8.26%), 31 Oct 2008 (1.78%), 04 Dec 2008 (5.91%)
2007808 Feb 2007 (-10.33%), 20 Mar 2007 (2.12%), 27 Apr 2007 (1.38%), 15 Jun 2007 (1.4%), 04 Jul 2007 (1.03%), 29 Aug 2007 (3.32%), 25 Oct 2007 (5.56%), 14 Nov 2007 (4.86%)
2006813 Feb 2006 (-3.55%), 02 Mar 2006 (1.78%), 27 Apr 2006 (-5.81%), 21 Jun 2006 (0.81%), 31 Jul 2006 (0.99%), 26 Sep 2006 (0.89%), 01 Dec 2006 (-1.48%), 29 Dec 2006 (7.84%)
2005701 Feb 2005 (1.99%), 31 Mar 2005 (29.41%), 13 May 2005 (-0.52%), 01 Jul 2005 (-2.36%), 03 Aug 2005 (-0.98%), 20 Sep 2005 (-7.26%), 08 Nov 2005 (4.67%)
2004612 Feb 2004 (0.78%), 04 Mar 2004 (9.24%), 30 Mar 2004 (7.01%), 27 May 2004 (-10.7%), 27 Aug 2004 (1.01%), 02 Nov 2004 (6.25%)
2003722 Mar 2003 (-6.97%), 16 May 2003 (3.47%), 30 Jun 2003 (-3.48%), 07 Aug 2003 (5.98%), 09 Sep 2003 (-0.09%), 03 Nov 2003 (3.04%), 16 Dec 2003 (1.47%)
2002914 Jan 2002 (26.42%), 04 Feb 2002 (41.5%), 03 Apr 2002 (9.82%), 02 May 2002 (15.58%), 02 Jul 2002 (-3.52%), 12 Aug 2002 (0.2%), 04 Sep 2002 (-20.28%), 04 Oct 2002 (26.99%), 26 Nov 2002 (6.91%)
2001901 Jan 2001 (1.03%), 19 Jan 2001 (0.97%), 22 Feb 2001 (-13.64%), 28 Mar 2001 (-6.88%), 02 Jul 2001 (-5.33%), 17 Jul 2001 (-6.86%), 09 Aug 2001 (-1.28%), 25 Sep 2001 (0.0%), 05 Dec 2001 (2.14%)
2000528 Jan 2000 (6.12%), 21 Mar 2000 (1.45%), 25 May 2000 (5.47%), 06 Sep 2000 (3.9%), 19 Oct 2000 (-4.92%)
1999916 Feb 1999 (13.43%), 17 Mar 1999 (1.89%), 05 May 1999 (4.09%), 08 Jun 1999 (16.18%), 01 Jul 1999 (26.22%), 25 Aug 1999 (-0.14%), 07 Oct 1999 (18.85%), 16 Nov 1999 (2.92%), 17 Dec 1999 (22.52%)
1998519 Feb 1998 (-2.21%), 25 May 1998 (-4.11%), 03 Jul 1998 (1.55%), 24 Sep 1998 (2.55%), 26 Oct 1998 (-4.64%)
1997922 Apr 1997 (5.32%), 09 May 1997 (-6.77%), 18 Jun 1997 (-4.79%), 24 Jul 1997 (-1.59%), 09 Sep 1997 (-2.19%), 26 Sep 1997 (1.72%), 20 Oct 1997 (-3.38%), 20 Nov 1997 (6.25%), 12 Dec 1997 (2.25%)
1996812 Feb 1996 (4.41%), 11 Apr 1996 (0.74%), 11 Jun 1996 (25.06%), 28 Aug 1996 (-0.06%), 17 Sep 1996 (2.94%), 22 Oct 1996 (5.39%), 10 Nov 1996 (-0.81%), 11 Dec 1996 (2.67%)
1995317 Jul 1995 (33.57%), 15 Sep 1995 (-4.49%), 08 Dec 1995 (0.0%)

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-137123871801027856.6712642.1283000-7398.83-40565.371.712.230.053957.7
atrtrail-15.276448332048711742.6517164.29130140-7251.8-18450.92.371.760.0363160.95
atrnil25.786776202089111743.7520149.4541657.53-9880.17-21499.642.041.590.0433257.79
atrtrail24.054950302149412043.9314616.5437185.93-7324.37-18450.921.560.0372313.23
atrtrail34.644272472068811842.7214618.3447278.91-7281.07-18450.92.011.50.0312074.02
atrnil38.44593881966013630.6130444.4562486.29-10053.52-21499.643.031.340.0252343.82

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. 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 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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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