Study: Buy CONCOR when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CONCOR 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 CONCOR 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
188641.88156817551.923808.3616895.64-2931.14-14250.211.31.40.026568.22
236634.27156738346.795120.3117730.26-4062.03-56393.261.261.110.0073234.84
378680.48156847253.855521.9222105.26-5349.46-59210.161.031.20.014504.36
491948.95156817551.926991.7626094.51-6325.11-56338.031.111.190.014589.42
5125716156827452.568417.9443779.14-7629.13-50593.761.11.220.016805.87
6179802156837353.219495.1243092.02-8332.78-49599.561.141.30.0211152.58
7143540156797750.6410015.5245644.17-8411.51-53189.731.191.220.017920.13
830319.671567878509747.5747361.96-9358.85-49875.721.041.040.0035194.36
9-15679.83156768048.7210266.3746576.69-9949.05-54073.461.030.98-0.0017-100.51
10-2168.75156817551.929502.4834328.42-10291.59-51035.630.921-0.00024-13.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.4. 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 51.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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-1188641.88156817551.923808.3616895.64-2931.14-14250.211.31.40.026568.22
atrnil39.583497661655511033.3322164.7141766.75-7902.66-18084.832.81.40.0332119.79
atrnil26.31939181767010639.7714657.4527844.5-7850.03-18084.831.871.230.0221101.81
atrtrail35.386826.741786411435.9612313.4338894.01-6151.16-18084.8321.120.01487.79
atrtrail24.6426513.821836911437.710786.8325929.34-6296.29-18084.831.711.040.0035144.88
atrtrail-15.95-13689917563112368730.2928004.8-6133.1-18084.831.420.8-0.02-782.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 51.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
CONCOR Performance, X=1, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (0.51%), 20 May 2019 (-2.82%), 20 Jun 2019 (1.43%), 23 Aug 2019 (0.41%)
2018826 Feb 2018 (0.02%), 27 Mar 2018 (1.6%), 03 May 2018 (0.46%), 02 Jul 2018 (1.28%), 27 Aug 2018 (-2.46%), 01 Oct 2018 (-1.69%), 29 Oct 2018 (0.57%), 31 Dec 2018 (-0.35%)
2017803 Feb 2017 (4.44%), 15 Mar 2017 (-1.12%), 29 Mar 2017 (0.79%), 21 Jun 2017 (0.48%), 06 Jul 2017 (1.36%), 04 Aug 2017 (0.41%), 13 Oct 2017 (-0.36%), 18 Dec 2017 (2.78%)
20161028 Jan 2016 (-1.3%), 15 Feb 2016 (0.21%), 21 Mar 2016 (1.21%), 25 May 2016 (-1.92%), 28 Jun 2016 (5.06%), 29 Jul 2016 (0.57%), 02 Sep 2016 (0.08%), 23 Sep 2016 (0.0%), 28 Oct 2016 (-0.19%), 12 Dec 2016 (-0.65%)
20151012 Feb 2015 (-1.8%), 10 Mar 2015 (-0.72%), 08 Apr 2015 (1.09%), 04 May 2015 (3.36%), 01 Jul 2015 (1.39%), 17 Aug 2015 (-0.52%), 10 Sep 2015 (0.12%), 30 Sep 2015 (1.39%), 06 Nov 2015 (0.11%), 31 Dec 2015 (5.71%)
20141021 Feb 2014 (1.1%), 24 Mar 2014 (4.81%), 25 Apr 2014 (-3.3%), 12 May 2014 (1.88%), 17 Jul 2014 (-0.97%), 22 Aug 2014 (-1.69%), 22 Sep 2014 (-4.02%), 27 Oct 2014 (2.8%), 18 Nov 2014 (4.44%), 26 Dec 2014 (1.0%)
20131105 Feb 2013 (0.78%), 03 Apr 2013 (-4.11%), 25 Apr 2013 (3.48%), 16 May 2013 (-0.2%), 03 Jun 2013 (0.72%), 02 Jul 2013 (-1.02%), 22 Jul 2013 (-1.16%), 08 Aug 2013 (-0.04%), 14 Oct 2013 (-1.6%), 09 Dec 2013 (-0.15%), 26 Dec 2013 (-0.8%)
2012903 Jan 2012 (0.76%), 17 Feb 2012 (1.76%), 28 Mar 2012 (3.3%), 15 May 2012 (-0.09%), 29 May 2012 (4.5%), 20 Jun 2012 (-0.96%), 14 Aug 2012 (-0.52%), 13 Sep 2012 (0.45%), 14 Dec 2012 (-0.15%)
2011619 Jan 2011 (-0.06%), 22 Feb 2011 (-0.05%), 25 Mar 2011 (0.42%), 31 May 2011 (3.61%), 04 Jul 2011 (-0.78%), 05 Sep 2011 (0.41%)
2010915 Jan 2010 (-0.78%), 10 Feb 2010 (1.4%), 08 Mar 2010 (-0.16%), 21 Apr 2010 (-1.06%), 01 Jun 2010 (0.17%), 16 Jun 2010 (-2.75%), 07 Sep 2010 (-1.41%), 29 Oct 2010 (0.18%), 31 Dec 2010 (-0.32%)
2009812 Mar 2009 (-0.44%), 07 May 2009 (-2.56%), 04 Jun 2009 (-0.05%), 21 Jul 2009 (0.72%), 20 Aug 2009 (2.09%), 25 Sep 2009 (0.37%), 06 Nov 2009 (1.19%), 01 Dec 2009 (2.81%)
2008831 Jan 2008 (-0.07%), 28 Feb 2008 (1.46%), 28 Mar 2008 (1.08%), 12 May 2008 (0.27%), 19 Jun 2008 (-0.38%), 05 Sep 2008 (-2.01%), 06 Nov 2008 (3.44%), 02 Dec 2008 (6.42%)
2007902 Mar 2007 (-3.13%), 16 Mar 2007 (1.75%), 28 May 2007 (8.45%), 22 Jun 2007 (6.26%), 28 Aug 2007 (0.22%), 26 Oct 2007 (-4.19%), 16 Nov 2007 (-0.31%), 04 Dec 2007 (1.56%), 24 Dec 2007 (-0.02%)
2006706 Feb 2006 (-1.06%), 01 Mar 2006 (-0.14%), 31 Mar 2006 (-3.41%), 01 Jun 2006 (-2.58%), 03 Jul 2006 (-0.67%), 11 Sep 2006 (0.35%), 29 Sep 2006 (-1.78%)
2005715 Feb 2005 (-0.03%), 08 Apr 2005 (0.21%), 15 Jun 2005 (-0.99%), 14 Jul 2005 (1.97%), 06 Sep 2005 (1.05%), 10 Oct 2005 (-1.75%), 22 Nov 2005 (1.49%)
2004902 Jan 2004 (0.58%), 08 Mar 2004 (-0.68%), 31 Mar 2004 (0.2%), 04 Jun 2004 (4.03%), 05 Jul 2004 (0.25%), 30 Aug 2004 (-0.44%), 29 Sep 2004 (0.38%), 01 Nov 2004 (-1.13%), 01 Dec 2004 (5.03%)
2003517 Jan 2003 (-0.96%), 17 Jun 2003 (3.12%), 30 Jul 2003 (-0.84%), 24 Sep 2003 (1.04%), 05 Nov 2003 (-0.92%)
2002804 Jan 2002 (-0.06%), 02 Apr 2002 (-2.12%), 02 May 2002 (-2.47%), 06 Jun 2002 (-3.08%), 09 Aug 2002 (0.54%), 26 Aug 2002 (-0.56%), 04 Oct 2002 (6.33%), 02 Dec 2002 (0.18%)
2001224 Sep 2001 (-2.71%), 09 Oct 2001 (0.08%)
2000203 Jan 2000 (-1.63%), 16 Mar 2000 (-7.13%)
1999603 Feb 1999 (-2.95%), 20 Apr 1999 (-3.43%), 06 Jul 1999 (8.0%), 13 Aug 1999 (6.51%), 11 Oct 1999 (-5.03%), 17 Nov 1999 (-4.15%)



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