Study: Buy BPCL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BPCL 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 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. 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
1181910188979151.65311.7143537.71-3662.92-15983.491.451.550.03967.61
2195688188929648.947229.2452082.89-4889.6-19579.851.481.420.0231040.89
33190951881038554.798269.4752125.61-6266.6-34068.581.321.60.0321697.31
43465571881137560.118357.3452082.89-7970.97-43844.441.051.580.0321843.39
53100601881058355.859498.3448835.72-8280.31-39583.851.151.450.0271649.25
65876661881028654.2612684.69192984-8211.31-41218.731.541.830.0333125.88
76997541881137560.1112685.99185870-9783.5-41268.271.31.950.0393722.1
87232371881078156.9114132.43187411-9739.91-44413.451.451.920.0383847.01
97252561881008853.1915777.67194249-9687.63-41205.191.631.850.0363857.74
107079421881038554.7916107.64190059-11189.94-47538.011.441.740.0343765.65
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
atrtrail-15.323571682178413338.7113312.04152785-5722.13-19071.42.331.470.0221645.94
atrtrail23.992963122239013340.3611897.7436966.25-5823.19-19071.42.041.380.0261328.75
atrnil26.133374362148712740.6515668.3136966.25-8076.43-19890.561.941.330.0261576.8
atrtrail34.632260792198513438.8111733.1442889.58-5755.5-19071.42.041.290.021032.32
atrnil39.072869691986113730.8123129.6750844.33-8203.94-19890.562.821.260.0191449.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 38.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.82%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019825 Jan 2019 (-2.47%), 21 Feb 2019 (-0.47%), 30 Apr 2019 (-0.19%), 17 May 2019 (0.59%), 23 Jul 2019 (-2.91%), 24 Jul 2019 (-3.07%), 01 Aug 2019 (-3.14%), 27 Aug 2019 (14.98%)
2018830 Jan 2018 (-1.16%), 05 Apr 2018 (3.55%), 07 May 2018 (-1.7%), 28 May 2018 (-1.64%), 16 Jul 2018 (1.87%), 17 Sep 2018 (-3.18%), 18 Sep 2018 (2.53%), 13 Dec 2018 (8.33%)
2017822 Mar 2017 (-1.13%), 29 May 2017 (-2.71%), 30 May 2017 (-2.22%), 05 Jul 2017 (-2.09%), 22 Aug 2017 (2.57%), 11 Oct 2017 (7.7%), 11 Dec 2017 (-2.48%), 12 Dec 2017 (2.17%)
2016606 Jan 2016 (-2.07%), 14 Jan 2016 (-0.06%), 29 Feb 2016 (2.82%), 27 May 2016 (-3.02%), 23 Sep 2016 (0.46%), 28 Dec 2016 (6.7%)
20151101 Jan 2015 (-2.98%), 19 Feb 2015 (-1.1%), 03 Mar 2015 (-3.02%), 31 Mar 2015 (-2.02%), 18 May 2015 (5.35%), 26 Jun 2015 (5.66%), 14 Jul 2015 (2.22%), 14 Sep 2015 (-2.92%), 13 Oct 2015 (3.57%), 16 Nov 2015 (-2.41%), 20 Nov 2015 (-2.43%)
2014817 Jan 2014 (-0.8%), 25 Feb 2014 (17.07%), 22 Apr 2014 (-3.39%), 09 May 2014 (13.93%), 05 Jun 2014 (-2.79%), 24 Jul 2014 (-3.36%), 13 Aug 2014 (9.96%), 09 Oct 2014 (11.21%)
20131101 Jan 2013 (5.31%), 07 Mar 2013 (0.32%), 08 Apr 2013 (-2.96%), 15 Apr 2013 (2.43%), 11 May 2013 (-2.55%), 19 Jun 2013 (-2.98%), 28 Jun 2013 (-1.42%), 19 Aug 2013 (-2.93%), 05 Nov 2013 (-3.57%), 03 Dec 2013 (1.06%), 26 Dec 2013 (-3.19%)
2012610 Jan 2012 (15.78%), 09 May 2012 (5.86%), 13 Jun 2012 (1.58%), 10 Jul 2012 (-0.03%), 23 Aug 2012 (-2.14%), 29 Nov 2012 (4.65%)
20111025 Jan 2011 (-2.58%), 04 Mar 2011 (-4.47%), 07 Mar 2011 (6.52%), 20 Apr 2011 (4.78%), 16 Jun 2011 (-2.16%), 27 Jun 2011 (-3.0%), 05 Aug 2011 (-2.38%), 03 Oct 2011 (-2.97%), 26 Oct 2011 (-2.67%), 29 Nov 2011 (0.77%)
2010704 Jan 2010 (-2.71%), 08 Feb 2010 (-0.76%), 30 Mar 2010 (-3.34%), 25 Jun 2010 (10.53%), 12 Aug 2010 (-2.89%), 01 Nov 2010 (-0.62%), 13 Dec 2010 (-0.53%)
20091019 Jan 2009 (-2.84%), 09 Feb 2009 (-1.05%), 19 Feb 2009 (-3.65%), 27 Mar 2009 (1.58%), 18 May 2009 (-4.14%), 19 May 2009 (7.87%), 02 Jul 2009 (-1.44%), 29 Jul 2009 (-0.59%), 03 Sep 2009 (2.95%), 10 Nov 2009 (-3.53%)
20081205 Feb 2008 (1.03%), 28 Mar 2008 (-6.76%), 31 Mar 2008 (-3.74%), 16 Apr 2008 (-5.67%), 29 Apr 2008 (-1.69%), 28 May 2008 (-5.11%), 25 Jun 2008 (-6.66%), 07 Jul 2008 (8.57%), 04 Sep 2008 (2.59%), 01 Oct 2008 (-1.09%), 07 Nov 2008 (-9.54%), 18 Dec 2008 (-1.37%)
2007915 Mar 2007 (2.72%), 22 Jun 2007 (-3.99%), 25 Jun 2007 (-4.15%), 02 Jul 2007 (-3.77%), 07 Aug 2007 (-1.49%), 29 Aug 2007 (-2.96%), 13 Nov 2007 (13.83%), 04 Dec 2007 (-0.73%), 24 Dec 2007 (13.76%)
2006806 Feb 2006 (-0.17%), 23 Mar 2006 (-2.82%), 03 May 2006 (1.68%), 20 Jun 2006 (-4.2%), 26 Jul 2006 (-5.35%), 09 Oct 2006 (1.9%), 02 Nov 2006 (-3.09%), 21 Dec 2006 (6.85%)
2005901 Feb 2005 (2.39%), 06 Apr 2005 (-1.26%), 03 May 2005 (1.96%), 01 Jul 2005 (-2.85%), 25 Jul 2005 (-0.82%), 26 Aug 2005 (-3.44%), 01 Sep 2005 (0.64%), 10 Nov 2005 (1.97%), 22 Dec 2005 (0.67%)
20041011 Feb 2004 (-4.27%), 03 Mar 2004 (-1.95%), 29 Mar 2004 (1.29%), 03 Jun 2004 (4.01%), 21 Jul 2004 (-1.87%), 23 Aug 2004 (0.89%), 14 Sep 2004 (-0.51%), 03 Nov 2004 (11.98%), 03 Dec 2004 (-3.4%), 28 Dec 2004 (-0.53%)
20031111 Feb 2003 (3.92%), 21 Mar 2003 (-2.98%), 06 May 2003 (-1.03%), 23 May 2003 (-1.7%), 20 Jun 2003 (2.0%), 07 Jul 2003 (-2.55%), 04 Aug 2003 (-3.52%), 08 Aug 2003 (6.95%), 29 Sep 2003 (-5.42%), 03 Nov 2003 (0.66%), 01 Dec 2003 (19.94%)
2002514 Jan 2002 (-4.9%), 06 Mar 2002 (-5.75%), 01 Apr 2002 (-4.29%), 07 May 2002 (0.48%), 11 Jun 2002 (3.82%)
2001909 Jan 2001 (9.66%), 08 Mar 2001 (-6.84%), 28 Mar 2001 (1.96%), 18 May 2001 (-5.26%), 18 Jun 2001 (-3.35%), 18 Jul 2001 (-3.34%), 28 Aug 2001 (-3.05%), 29 Aug 2001 (-3.16%), 25 Sep 2001 (1.12%)
20001001 Feb 2000 (0.1%), 16 Mar 2000 (8.2%), 16 May 2000 (11.0%), 11 Jul 2000 (-5.08%), 12 Jul 2000 (-4.72%), 23 Aug 2000 (6.87%), 21 Sep 2000 (-3.29%), 19 Oct 2000 (16.32%), 28 Nov 2000 (-4.43%), 29 Nov 2000 (15.09%)
1999916 Feb 1999 (-5.32%), 09 Mar 1999 (-0.76%), 30 Apr 1999 (-6.36%), 03 May 1999 (76.39%), 03 Jun 1999 (-2.65%), 13 Jul 1999 (1.22%), 19 Aug 1999 (7.7%), 07 Oct 1999 (-1.2%), 22 Nov 1999 (21.09%)
19981218 Feb 1998 (7.25%), 24 Mar 1998 (-0.25%), 05 Jun 1998 (-2.09%), 30 Jun 1998 (-4.16%), 01 Jul 1998 (-4.34%), 10 Jul 1998 (-3.22%), 27 Aug 1998 (-4.82%), 28 Aug 1998 (-5.42%), 07 Sep 1998 (7.84%), 16 Oct 1998 (-2.98%), 14 Dec 1998 (-2.81%), 28 Dec 1998 (-1.72%)
1997914 Feb 1997 (-3.29%), 03 Mar 1997 (-3.11%), 10 Apr 1997 (-2.82%), 02 May 1997 (6.06%), 12 Jun 1997 (6.85%), 04 Sep 1997 (-3.14%), 29 Sep 1997 (2.0%), 24 Nov 1997 (-2.07%), 22 Dec 1997 (8.19%)
1996702 Feb 1996 (21.91%), 04 Apr 1996 (1.39%), 18 Jun 1996 (-3.4%), 14 Aug 1996 (-3.8%), 26 Sep 1996 (1.7%), 14 Nov 1996 (-1.46%), 17 Dec 1996 (1.47%)
1995405 May 1995 (5.99%), 27 Jul 1995 (-2.26%), 11 Sep 1995 (-2.59%), 13 Dec 1995 (-1.56%)



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