Study: Buy CANBK when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CANBK 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 CANBK 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
164389.39135716452.594286.7515260.28-3749.53-20064.211.141.270.022476.96
288883.61135676849.637472.5988128.38-6055.59-31380.421.231.220.015658.4
396356.38135637246.679601.6777779.6-7063.18-35663.461.361.190.014713.75
48312.77135676849.6310267.6964712.62-9994.45-34433.031.031.010.001161.58
5105118135686750.3711693.5270771.25-10299.13-30818.621.141.150.013778.65
6102992135716452.5911643.3765662.35-11307.62-35828.511.031.140.012762.9
731335.85135686750.3712520.6681162.9-12239.84-41038.711.021.040.0034232.12
829418.34135637246.6713643.668844.6-11529.56-39955.391.181.040.0032217.91
937426.91135657048.1513535.4164679.88-12033.92-49960.171.121.040.004277.24
1094449.84135657048.1514818.5966120.84-12410.84-47952.841.191.110.0094699.63

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. 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 52.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1164389.39135716452.594286.7515260.28-3749.53-20064.211.141.270.022476.96
atrnil25.78-16247.331555310234.1916695.8237554.62-8834.57-19165.231.890.98-0.002-104.82
atrtrail23.94-20178.461605410633.7513045.2437554.62-6836.05-18159.031.910.97-0.0029-126.12
atrnil38.46-35666.56148371112525392.4156331.93-8785.46-19165.232.890.96-0.0038-240.99
atrtrail-14.88-34275.931585310533.5412754.2177204.65-6764.28-18159.031.890.95-0.0041-216.94
atrtrail34.54-86933.741595310633.3311880.0632681.06-6760.16-18159.031.760.88-0.013-546.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 52.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, X=1, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Feb 2019 (0.36%), 21 May 2019 (-1.02%), 21 Jun 2019 (0.89%), 16 Aug 2019 (-2.08%), 13 Sep 2019 (-0.1%), 11 Oct 2019 (0.08%)
2018708 Jan 2018 (-0.01%), 22 Jan 2018 (3.18%), 23 Feb 2018 (-1.26%), 16 Mar 2018 (-1.55%), 24 May 2018 (3.3%), 23 Jul 2018 (2.37%), 14 Dec 2018 (-0.34%)
2017709 Jan 2017 (-0.48%), 17 Mar 2017 (0.48%), 07 Jul 2017 (4.49%), 31 Jul 2017 (-1.47%), 28 Aug 2017 (-0.47%), 23 Oct 2017 (3.85%), 22 Dec 2017 (1.34%)
2016828 Jan 2016 (1.12%), 01 Mar 2016 (7.39%), 13 Apr 2016 (-1.53%), 26 May 2016 (-3.39%), 24 Aug 2016 (-0.18%), 04 Oct 2016 (1.3%), 15 Nov 2016 (1.2%), 30 Nov 2016 (-1.18%)
2015919 Jan 2015 (1.24%), 28 Feb 2015 (1.07%), 06 Apr 2015 (-0.4%), 05 May 2015 (-4.62%), 18 Jun 2015 (0.55%), 03 Aug 2015 (6.04%), 18 Sep 2015 (2.58%), 01 Dec 2015 (-2.28%), 23 Dec 2015 (-0.17%)
2014818 Feb 2014 (-1.05%), 28 Apr 2014 (-2.6%), 14 May 2014 (0.03%), 05 Aug 2014 (-2.44%), 21 Aug 2014 (1.73%), 13 Oct 2014 (1.01%), 02 Dec 2014 (0.39%), 18 Dec 2014 (-1.66%)
2013920 Feb 2013 (-2.69%), 07 Mar 2013 (-0.13%), 02 Apr 2013 (-4.12%), 11 May 2013 (-4.28%), 01 Jul 2013 (-3.09%), 14 Aug 2013 (-10.03%), 24 Oct 2013 (-1.3%), 05 Dec 2013 (2.68%), 23 Dec 2013 (3.42%)
2012703 Jan 2012 (0.78%), 04 Apr 2012 (-3.34%), 28 May 2012 (-0.59%), 02 Jul 2012 (1.38%), 12 Nov 2012 (-0.87%), 29 Nov 2012 (4.68%), 28 Dec 2012 (0.73%)
2011821 Jan 2011 (0.22%), 01 Apr 2011 (1.92%), 30 May 2011 (1.46%), 15 Jul 2011 (0.53%), 30 Aug 2011 (-1.28%), 11 Oct 2011 (3.81%), 31 Oct 2011 (2.06%), 05 Dec 2011 (0.68%)
2010806 Jan 2010 (0.82%), 02 Feb 2010 (-0.54%), 26 Feb 2010 (3.05%), 30 Apr 2010 (-0.3%), 04 Jun 2010 (1.0%), 24 Jun 2010 (0.74%), 05 Oct 2010 (1.84%), 30 Dec 2010 (1.97%)
2009711 Feb 2009 (0.53%), 23 Mar 2009 (-1.47%), 02 Jul 2009 (0.94%), 17 Jul 2009 (1.7%), 01 Sep 2009 (1.08%), 11 Nov 2009 (-0.53%), 26 Nov 2009 (-0.27%)
2008606 Feb 2008 (0.59%), 26 Mar 2008 (-2.35%), 17 Jun 2008 (-1.42%), 02 Sep 2008 (1.47%), 03 Nov 2008 (6.26%), 04 Dec 2008 (-2.85%)
2007918 Jan 2007 (-3.05%), 27 Feb 2007 (-3.38%), 13 Mar 2007 (-3.11%), 20 Jun 2007 (-4.36%), 31 Aug 2007 (3.17%), 24 Oct 2007 (4.38%), 19 Nov 2007 (-2.17%), 05 Dec 2007 (3.44%), 31 Dec 2007 (3.83%)
20061127 Jan 2006 (0.02%), 13 Feb 2006 (-3.81%), 28 Feb 2006 (-4.72%), 02 May 2006 (1.83%), 02 Jun 2006 (-2.56%), 30 Jun 2006 (0.4%), 26 Jul 2006 (2.95%), 01 Nov 2006 (-0.13%), 17 Nov 2006 (-2.66%), 01 Dec 2006 (1.43%), 29 Dec 2006 (0.27%)
2005903 Jan 2005 (5.73%), 10 Feb 2005 (-0.36%), 28 Feb 2005 (-0.37%), 05 May 2005 (-1.4%), 04 Jul 2005 (-0.96%), 01 Aug 2005 (-2.1%), 06 Sep 2005 (0.74%), 07 Nov 2005 (3.77%), 13 Dec 2005 (7.63%)
2004813 Feb 2004 (-1.52%), 05 Mar 2004 (5.57%), 22 Mar 2004 (-1.49%), 07 Jun 2004 (0.22%), 06 Aug 2004 (1.6%), 30 Aug 2004 (0.57%), 17 Sep 2004 (2.29%), 05 Nov 2004 (-1.31%)
2003821 Mar 2003 (1.41%), 05 May 2003 (1.16%), 28 May 2003 (-2.26%), 02 Jul 2003 (7.43%), 25 Jul 2003 (-1.4%), 14 Aug 2003 (-2.97%), 30 Sep 2003 (-0.49%), 03 Dec 2003 (-1.7%)



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