Study: Buy CHOLAFIN when there is Bullish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when there is Bullish Centerline 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 CHOLAFIN 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
1-17278.9124833.332193.773400.95-3256.75-10909.090.670.34-0.078-1439.91
2-1830.24124833.335162.156674.08-2809.86-6457.931.840.92-0.0076-152.52
319544.56127558.336475.3124916.57-5156.52-6571.281.261.760.0411628.71
425686.61266508246.4424026.7-3965.34-6060.612.082.080.0542140.55
510018.5312665010087.9430478.31-8418.18-11818.181.21.20.014834.88
6990.612665010434.2539154.62-10269.15-22491.441.021.020.001182.55
717164.41125741.6710618.1433815.35-5132.33-11008.692.071.480.0251430.37
822593.92125741.6711788.7427141.27-5192.82-12121.212.271.620.0361882.83
933645.4125741.6714910.6733370.41-5844-13333.332.551.820.0462803.78
1029200.5612665011627.5433147.94-6760.78-12121.211.721.720.042433.38
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CHOLAFIN Performance, X=4, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017106 Sep 2017 (1.65%)
2016203 Mar 2016 (3.61%), 23 Sep 2016 (0.56%)
2015130 Mar 2015 (3.14%)
2013121 Feb 2013 (3.77%)
2011112 Jan 2011 (-1.99%)
2010101 Dec 2010 (-1.08%)
2006110 Nov 2006 (-0.43%)
2003225 Jul 2003 (12.01%), 17 Sep 2003 (-2.94%)
2001104 Jan 2001 (-2.44%)
1998129 May 1998 (-3.03%)

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
atrnil25.074813.621551033.3316074.7817958.49-7556.03-11676.822.131.060.0059320.91
atrtrail23.8-56941541126.6712197.8117823.64-4953.2-8768.432.460.9-0.0091-379.6
atrtrail-14.5-174851431121.4312333.4227435.14-4953.2-8768.432.490.68-0.028-1248.93
atrtrail34.14-20659.141431121.4311275.3724260.99-4953.2-8768.432.280.62-0.036-1475.65
atrnil37.29-38570.431421214.2925599.3626937.74-7480.76-11676.823.420.57-0.049-2755.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0059, 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.
CHOLAFIN Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017106 Sep 2017 (-2.73%)
2016203 Mar 2016 (8.98%), 23 Sep 2016 (-3.47%)
2015130 Mar 2015 (7.35%)
2013121 Feb 2013 (6.86%)
2011112 Jan 2011 (-4.38%)
2010101 Dec 2010 (-5.84%)
2006210 Nov 2006 (-3.67%), 13 Nov 2006 (-3.74%)
2003325 Jul 2003 (8.09%), 28 Jul 2003 (8.91%), 17 Sep 2003 (-3.6%)
2001104 Jan 2001 (-3.52%)
1998229 May 1998 (-3.24%), 01 Jun 1998 (-3.59%)



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