Study: Buy COLPAL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy COLPAL 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 COLPAL 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
16690.7598475147.962169.877643.25-1868.5-8776.161.161.070.007468.27
259856.5598514752.043429.4611761.6-2447.79-10923.421.41.520.046610.78
359485.8298534554.083878.0916921.95-3245.62-12075.571.191.410.038607
483863.598504851.024700.5520610.61-3149.25-11376.511.491.550.048855.75
512389298574158.164932.7616645.77-3835.98-11662.151.291.790.0661264.21
693201.7698564257.145203.1823194.75-4718.49-13049.931.11.470.044951.04
711915298564257.145742.2529926.02-4819.39-17518.791.191.590.0511215.83
810423498475147.966966.4837115.77-4376.28-16015.771.591.470.041063.61
915912498564257.146713.1933906.43-5162.25-13323.141.31.730.061623.72
1023309598623663.276801.6133677.19-5239.02-15513.421.32.240.0892378.52
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=10, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019527 Feb 2019 (1.54%), 20 May 2019 (0.05%), 03 Jul 2019 (1.48%), 17 Jul 2019 (1.94%), 29 Aug 2019 (4.99%)
2018713 Mar 2018 (-0.09%), 02 May 2018 (4.3%), 16 May 2018 (6.14%), 31 Jul 2018 (-1.28%), 12 Oct 2018 (0.2%), 14 Nov 2018 (10.67%), 12 Dec 2018 (2.15%)
20171202 Jan 2017 (1.19%), 02 Feb 2017 (0.19%), 16 Feb 2017 (0.33%), 06 Mar 2017 (7.79%), 25 Apr 2017 (-2.04%), 30 May 2017 (5.71%), 03 Jul 2017 (-5.52%), 18 Aug 2017 (3.52%), 12 Oct 2017 (-4.63%), 31 Oct 2017 (-0.74%), 14 Nov 2017 (-0.26%), 07 Dec 2017 (3.79%)
2016810 Feb 2016 (-3.07%), 13 Apr 2016 (1.69%), 27 May 2016 (3.9%), 21 Jul 2016 (-1.77%), 08 Aug 2016 (-7.76%), 07 Sep 2016 (-1.57%), 28 Oct 2016 (-2.48%), 29 Nov 2016 (-2.67%)
2015801 Jan 2015 (7.84%), 16 Feb 2015 (2.97%), 08 Apr 2015 (-3.89%), 11 May 2015 (-4.11%), 17 Jun 2015 (4.87%), 21 Jul 2015 (-3.2%), 15 Sep 2015 (-1.26%), 20 Nov 2015 (3.35%)
2014712 Feb 2014 (-0.95%), 06 Mar 2014 (0.78%), 02 Jun 2014 (8.19%), 02 Jul 2014 (-0.55%), 17 Jul 2014 (-7.03%), 26 Aug 2014 (3.83%), 10 Nov 2014 (2.82%)
2013719 Feb 2013 (0.53%), 03 Apr 2013 (2.92%), 28 Jun 2013 (3.91%), 05 Sep 2013 (4.96%), 18 Oct 2013 (-1.95%), 18 Nov 2013 (2.07%), 18 Dec 2013 (3.22%)
20121323 Jan 2012 (3.73%), 09 Mar 2012 (1.58%), 28 Mar 2012 (-0.92%), 25 Apr 2012 (-1.69%), 10 May 2012 (3.65%), 27 Jun 2012 (-1.09%), 19 Jul 2012 (0.15%), 02 Aug 2012 (0.67%), 30 Aug 2012 (2.46%), 04 Oct 2012 (1.21%), 30 Oct 2012 (3.67%), 27 Nov 2012 (-1.88%), 21 Dec 2012 (3.3%)
2011924 Jan 2011 (-3.51%), 11 Feb 2011 (-2.54%), 01 Mar 2011 (3.5%), 05 Apr 2011 (5.68%), 11 May 2011 (-2.61%), 16 Jun 2011 (7.3%), 25 Aug 2011 (2.48%), 11 Oct 2011 (0.39%), 07 Dec 2011 (0.6%)
20101004 Jan 2010 (2.91%), 01 Feb 2010 (-1.61%), 15 Feb 2010 (-1.89%), 05 Mar 2010 (1.32%), 09 Apr 2010 (5.64%), 31 May 2010 (8.55%), 08 Sep 2010 (7.19%), 27 Oct 2010 (3.55%), 03 Dec 2010 (-1.43%), 21 Dec 2010 (0.52%)
2009521 Jan 2009 (1.47%), 23 Mar 2009 (-2.94%), 23 Apr 2009 (0.04%), 01 Jun 2009 (16.84%), 03 Sep 2009 (0.15%)
2008703 Apr 2008 (3.65%), 05 May 2008 (4.06%), 03 Jul 2008 (-5.87%), 26 Sep 2008 (-6.05%), 21 Oct 2008 (-2.85%), 10 Nov 2008 (-0.61%), 19 Dec 2008 (0.76%)

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
atrnil27.294688.84101406139.610431.718572.95-5288.18-9515.031.971.290.035937.51
atrtrail25.3342511.03105436240.956602.6617804.59-3893.6-9491.231.71.180.019404.87
atrtrail36.1336534.7103436041.756263.7821331.83-3880.13-9491.231.611.160.016354.71
atrnil311.1653070.4992266628.2615691.6727859.43-5377.47-9515.032.921.150.017576.85
atrtrail-16.728256.75103436041.756071.2731551.54-3880.13-9491.231.561.120.012274.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 39.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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.
COLPAL Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019627 Feb 2019 (-2.25%), 20 May 2019 (-2.11%), 03 Jul 2019 (-1.7%), 17 Jul 2019 (3.94%), 18 Jul 2019 (-2.18%), 29 Aug 2019 (-2.06%)
2018613 Mar 2018 (-2.02%), 02 May 2018 (-1.62%), 15 May 2018 (3.5%), 31 Jul 2018 (-2.41%), 12 Oct 2018 (5.68%), 12 Dec 2018 (6.22%)
20171202 Jan 2017 (-1.84%), 02 Feb 2017 (-1.82%), 16 Feb 2017 (-1.76%), 06 Mar 2017 (3.76%), 25 Apr 2017 (-1.91%), 30 May 2017 (5.19%), 03 Jul 2017 (-2.12%), 18 Aug 2017 (4.13%), 12 Oct 2017 (-2.23%), 31 Oct 2017 (-2.27%), 13 Nov 2017 (-2.14%), 07 Dec 2017 (3.76%)
20161010 Feb 2016 (-2.58%), 15 Feb 2016 (-2.67%), 13 Apr 2016 (-1.98%), 27 May 2016 (4.42%), 21 Jul 2016 (-1.71%), 08 Aug 2016 (-2.52%), 09 Aug 2016 (-2.84%), 07 Sep 2016 (-2.08%), 28 Oct 2016 (4.87%), 29 Nov 2016 (-2.76%)
2015801 Jan 2015 (4.67%), 16 Feb 2015 (4.77%), 08 Apr 2015 (-2.6%), 11 May 2015 (-2.86%), 17 Jun 2015 (4.79%), 21 Jul 2015 (-1.87%), 15 Sep 2015 (-2.45%), 20 Nov 2015 (4.53%)
2014612 Feb 2014 (4.28%), 02 Jun 2014 (5.09%), 02 Jul 2014 (-2.55%), 17 Jul 2014 (-3.08%), 26 Aug 2014 (4.9%), 10 Nov 2014 (4.56%)
2013719 Feb 2013 (-2.31%), 03 Apr 2013 (5.42%), 28 Jun 2013 (-2.99%), 05 Sep 2013 (6.48%), 18 Oct 2013 (-2.48%), 18 Nov 2013 (-1.86%), 18 Dec 2013 (3.57%)
20121323 Jan 2012 (4.82%), 09 Mar 2012 (6.28%), 28 Mar 2012 (7.06%), 25 Apr 2012 (-3.47%), 10 May 2012 (6.27%), 27 Jun 2012 (-2.47%), 19 Jul 2012 (-2.02%), 02 Aug 2012 (4.2%), 30 Aug 2012 (-2.27%), 04 Oct 2012 (4.76%), 30 Oct 2012 (4.34%), 27 Nov 2012 (-2.1%), 21 Dec 2012 (4.48%)
2011924 Jan 2011 (-2.34%), 11 Feb 2011 (-3.01%), 01 Mar 2011 (-2.27%), 05 Apr 2011 (-2.26%), 11 May 2011 (-2.94%), 16 Jun 2011 (7.11%), 25 Aug 2011 (6.3%), 11 Oct 2011 (5.32%), 07 Dec 2011 (-2.29%)
20101304 Jan 2010 (-2.24%), 01 Feb 2010 (-3.36%), 15 Feb 2010 (-3.63%), 05 Mar 2010 (-2.76%), 09 Apr 2010 (5.53%), 31 May 2010 (5.84%), 08 Sep 2010 (4.1%), 20 Sep 2010 (-2.12%), 21 Sep 2010 (4.46%), 27 Oct 2010 (4.71%), 03 Dec 2010 (-3.68%), 21 Dec 2010 (-3.33%), 29 Dec 2010 (-2.9%)
2009423 Mar 2009 (-3.44%), 23 Apr 2009 (-4.23%), 01 Jun 2009 (8.9%), 03 Sep 2009 (6.33%)
2008703 Apr 2008 (-4.29%), 05 May 2008 (-3.8%), 03 Jul 2008 (-4.34%), 26 Sep 2008 (-3.63%), 21 Oct 2008 (-4.76%), 04 Nov 2008 (-4.75%), 10 Nov 2008 (9.29%)



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