Study: Sell BPCL when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BPCL when there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BPCL 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. buy 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
110389120010694534506.8418518.52-3976.95-16024.591.131.280.019519.46
262151.852001019950.56095.6530946.63-5590.99-35826.771.091.110.0078310.76
323640.712001059552.56444.2931189.46-6873.79-29370.080.941.040.0026118.2
4-77576.6420098102497678.9435667.78-8138.36-26480.920.940.91-0.0077-387.88
5-23822420096104488542.9235127.84-10176.39-59090.910.840.77-0.019-1191.12
6-2997332009110945.59934.0742443.3-11043.42-68181.820.90.75-0.022-1498.67
7-3503072009510547.59919.0161127.33-12310.6-68227.270.810.73-0.024-1751.54
8-233069200961044811562.7453716.6-12914.34-68181.820.90.83-0.015-1165.34
9-319580200981024911792.5850436.72-14463.27-64727.270.820.78-0.019-1597.9
10-3324752009910149.512030.1854974.17-15083.79-68181.820.80.78-0.019-1662.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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
nilnil-1110389120010694534506.8418518.52-3976.95-16024.591.131.280.019519.46
atrtrail24.05-35977.972257714834.2210929.6435616.44-5929.46-13918.161.840.96-0.0034-159.9
atrnil25.95-56137.232207314733.1815825.2435616.44-8240.68-18013.981.920.95-0.0043-255.17
atrtrail34.51-1428302227314932.8810011.5253424.65-5863.56-13918.161.710.84-0.014-643.38
atrnil38.44-2719512074516221.7423621.8353424.65-8240.33-18013.982.870.8-0.019-1313.77
atrtrail-14.86-1975112217314833.039240.5849773.51-5892.39-13918.161.570.77-0.02-893.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
BPCL Performance, X=1, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019729 Jan 2019 (0.64%), 26 Mar 2019 (1.29%), 13 May 2019 (-0.99%), 10 Jun 2019 (0.68%), 25 Jul 2019 (-1.03%), 22 Aug 2019 (-5.22%), 14 Oct 2019 (-0.9%)
2018901 Jan 2018 (1.73%), 14 Feb 2018 (-3.25%), 21 Mar 2018 (3.7%), 13 Apr 2018 (-0.69%), 24 May 2018 (-2.48%), 26 Jun 2018 (7.81%), 09 Aug 2018 (-3.25%), 05 Oct 2018 (0.15%), 11 Dec 2018 (-0.81%)
2017614 Feb 2017 (2.51%), 05 May 2017 (1.26%), 05 Jun 2017 (0.41%), 11 Aug 2017 (1.23%), 08 Sep 2017 (0.21%), 08 Nov 2017 (-0.37%)
2016408 Jan 2016 (1.72%), 03 May 2016 (0.72%), 24 Jun 2016 (-2.44%), 28 Oct 2016 (-0.03%)
20151011 Feb 2015 (0.99%), 28 Feb 2015 (-4.46%), 20 Apr 2015 (0.54%), 15 Jun 2015 (1.56%), 10 Jul 2015 (-3.12%), 28 Jul 2015 (-0.46%), 09 Oct 2015 (-0.06%), 30 Oct 2015 (-0.08%), 18 Nov 2015 (-2.65%), 08 Dec 2015 (3.26%)
2014802 Jan 2014 (2.99%), 18 Feb 2014 (1.01%), 01 Apr 2014 (-0.46%), 28 Apr 2014 (-0.88%), 29 May 2014 (2.65%), 13 Jun 2014 (-3.72%), 28 Jul 2014 (0.23%), 17 Nov 2014 (0.85%)
20131130 Jan 2013 (-0.27%), 20 Mar 2013 (3.01%), 10 Apr 2013 (0.87%), 14 May 2013 (-1.5%), 21 Jun 2013 (2.7%), 10 Jul 2013 (-1.28%), 30 Jul 2013 (-4.0%), 03 Sep 2013 (-1.46%), 25 Oct 2013 (0.57%), 08 Nov 2013 (3.64%), 16 Dec 2013 (-0.9%)
2012607 Mar 2012 (-0.75%), 29 May 2012 (1.45%), 29 Jun 2012 (-0.43%), 17 Jul 2012 (-0.01%), 16 Oct 2012 (0.3%), 21 Dec 2012 (-0.92%)
2011923 Feb 2011 (4.1%), 10 Mar 2011 (-0.46%), 18 Apr 2011 (-2.71%), 17 May 2011 (4.15%), 23 Jun 2011 (-2.84%), 21 Jul 2011 (-1.25%), 18 Aug 2011 (-0.36%), 17 Oct 2011 (-1.5%), 26 Dec 2011 (-0.56%)
2010807 Jan 2010 (-1.7%), 15 Feb 2010 (-2.21%), 02 Mar 2010 (-0.18%), 08 Jun 2010 (-1.66%), 16 Jul 2010 (0.84%), 07 Sep 2010 (0.17%), 16 Nov 2010 (-1.86%), 29 Dec 2010 (1.48%)
2009902 Jan 2009 (1.24%), 23 Jan 2009 (-4.88%), 17 Feb 2009 (-5.18%), 05 May 2009 (1.71%), 09 Jun 2009 (0.11%), 21 Jul 2009 (2.09%), 25 Aug 2009 (0.34%), 17 Sep 2009 (-1.44%), 16 Dec 2009 (1.76%)
20081109 Jan 2008 (5.51%), 07 Mar 2008 (-0.06%), 07 Apr 2008 (1.65%), 23 Apr 2008 (1.11%), 08 May 2008 (2.61%), 04 Jun 2008 (6.35%), 30 Jun 2008 (3.51%), 12 Aug 2008 (1.06%), 22 Sep 2008 (-2.33%), 10 Oct 2008 (-3.65%), 10 Dec 2008 (3.48%)
2007802 Feb 2007 (-1.77%), 25 May 2007 (0.52%), 26 Jun 2007 (1.86%), 12 Jul 2007 (-1.61%), 21 Aug 2007 (0.12%), 15 Oct 2007 (2.5%), 29 Nov 2007 (-1.06%), 17 Dec 2007 (-5.1%)
2006830 Jan 2006 (1.52%), 28 Feb 2006 (-0.72%), 20 Apr 2006 (0.59%), 12 May 2006 (2.84%), 17 Jul 2006 (-2.01%), 18 Sep 2006 (2.72%), 20 Oct 2006 (-1.76%), 06 Nov 2006 (2.98%)
2005729 Apr 2005 (-5.02%), 04 Jun 2005 (2.45%), 05 Jul 2005 (-2.0%), 12 Aug 2005 (1.65%), 30 Aug 2005 (-0.46%), 10 Oct 2005 (-0.77%), 05 Dec 2005 (2.58%)
20041015 Jan 2004 (3.86%), 20 Feb 2004 (4.49%), 12 Mar 2004 (2.35%), 27 Apr 2004 (1.79%), 09 Jul 2004 (-0.05%), 12 Aug 2004 (1.69%), 06 Sep 2004 (-0.62%), 24 Sep 2004 (-0.56%), 25 Nov 2004 (-3.75%), 10 Dec 2004 (-1.08%)
2003914 Jan 2003 (-0.58%), 10 Mar 2003 (-2.25%), 16 Apr 2003 (-1.76%), 15 May 2003 (-0.56%), 03 Jul 2003 (-2.77%), 06 Aug 2003 (-5.29%), 16 Sep 2003 (1.89%), 10 Oct 2003 (-2.64%), 19 Nov 2003 (0.7%)
2002621 Feb 2002 (-2.0%), 08 Mar 2002 (4.31%), 03 Apr 2002 (-0.11%), 20 May 2002 (3.6%), 26 Jun 2002 (-0.74%), 30 Jul 2002 (1.82%)
2001911 Jan 2001 (-6.61%), 22 Feb 2001 (3.26%), 12 Mar 2001 (2.68%), 27 Apr 2001 (1.04%), 24 May 2001 (3.7%), 06 Jul 2001 (0.89%), 16 Aug 2001 (-0.23%), 31 Aug 2001 (5.79%), 20 Dec 2001 (0.44%)
2000708 Feb 2000 (-7.62%), 19 Apr 2000 (5.97%), 26 Jun 2000 (0.38%), 20 Jul 2000 (-0.25%), 19 Sep 2000 (-4.29%), 22 Nov 2000 (0.08%), 18 Dec 2000 (-5.91%)
1999718 Jan 1999 (4.51%), 03 Mar 1999 (4.37%), 01 Apr 1999 (2.35%), 01 Jun 1999 (-8.01%), 23 Jul 1999 (1.98%), 27 Sep 1999 (1.62%), 20 Dec 1999 (-0.29%)
19981014 Jan 1998 (0.74%), 17 Mar 1998 (-0.55%), 28 Apr 1998 (-0.43%), 15 Jun 1998 (2.66%), 02 Jul 1998 (-0.91%), 06 Aug 1998 (6.43%), 02 Sep 1998 (3.74%), 05 Oct 1998 (8.0%), 24 Nov 1998 (2.82%), 16 Dec 1998 (6.4%)
1997903 Feb 1997 (1.29%), 20 Feb 1997 (0.71%), 10 Mar 1997 (2.04%), 22 May 1997 (-0.26%), 07 Jul 1997 (0.71%), 08 Sep 1997 (2.33%), 25 Sep 1997 (-2.06%), 24 Oct 1997 (1.96%), 05 Dec 1997 (1.79%)
1996718 Jan 1996 (-0.0%), 12 Mar 1996 (0.69%), 10 May 1996 (2.8%), 20 Jun 1996 (1.47%), 24 Sep 1996 (-5.94%), 05 Nov 1996 (0.45%), 28 Nov 1996 (0.72%)
1995502 May 1995 (-1.92%), 05 Jun 1995 (-2.41%), 25 Jul 1995 (-7.05%), 17 Aug 1995 (-1.43%), 20 Oct 1995 (9.26%)



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