Study: Buy FORTIS when there is Bullish Crossover in MACD

home > technical-strategy > fortis > 29

In this study, we evaluate the performance of strategy "Buy FORTIS 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 FORTIS 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
178276.0888474153.414114.3523513.14-2807.28-8622.021.471.680.057889.5
213485087533460.926026.7330705.39-5428.42-19134.671.111.730.0621550
316038587513658.627798.6524147.34-6592.95-27492.631.181.680.0581843.5
414206387483955.178962.8427218.52-7388.54-33417.341.211.490.0471632.91
517075587483955.179539.8736575.34-7363.04-32802.361.31.590.0521962.7
610562787454251.728955.0440300.38-7079.75-35870.211.261.360.0321214.11
721163287503757.4710980.8149791.38-9119.14-37127.851.21.630.0532432.56
822140087444350.5712857.0135000-8007.18-38178.631.611.640.0572544.83
915304487434449.4312865.4336691.9-9094.76-42792.341.411.380.0351759.13
1014701987474054.0212085.6336717.66-10525.13-41593.71.151.350.0341689.88

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.73. 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 60.92%, which is good. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, 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
atrtrail24.3433103196445245.8314379.8833356.66-5801.6-17669.282.482.10.0913448.24
atrnil26.0729518289424747.1916109.6933356.66-8115.42-17669.281.991.770.0793316.66
nilnil-1213485087533460.926026.7330705.39-5428.42-19134.671.111.730.0621550
atrtrail35.1817317795405542.1111913.0144290.43-5515.34-17669.282.161.570.0491822.92
atrnil310.3318455684265830.9525071.3744290.43-8056.89-17669.283.111.390.0422197.1
atrtrail-15.6782252.3595405542.119639.933682.76-5515.34-17669.281.751.270.028865.81

In the table above, row 1 shows the best exit criterion. Profit factor is 2.1. 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 45.83%, which is not acceptable. Avoid this strategy. Average return per trade is 1.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.091, 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.
FORTIS Performance, Profit Factor:2.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Feb 2018 (-6.77%)
20171009 Feb 2017 (-3.47%), 30 Mar 2017 (6.14%), 20 Jun 2017 (-3.54%), 13 Jul 2017 (-4.72%), 20 Jul 2017 (2.44%), 24 Aug 2017 (-5.34%), 30 Aug 2017 (-5.22%), 06 Oct 2017 (-3.44%), 24 Nov 2017 (-1.05%), 21 Dec 2017 (9.36%)
2016819 Feb 2016 (-5.12%), 01 Apr 2016 (-3.23%), 25 May 2016 (5.14%), 04 Jul 2016 (-2.86%), 15 Jul 2016 (6.0%), 05 Oct 2016 (-3.04%), 23 Nov 2016 (1.89%), 09 Dec 2016 (7.08%)
2015919 Jan 2015 (5.14%), 31 Mar 2015 (10.38%), 19 May 2015 (-1.8%), 29 May 2015 (-4.54%), 18 Jun 2015 (8.7%), 14 Jul 2015 (-1.61%), 04 Aug 2015 (-3.05%), 11 Sep 2015 (10.68%), 04 Nov 2015 (-1.86%)
20141022 Jan 2014 (-2.46%), 31 Jan 2014 (-2.66%), 04 Feb 2014 (-1.83%), 16 Apr 2014 (4.24%), 16 May 2014 (5.21%), 06 Jun 2014 (7.36%), 22 Jul 2014 (-3.8%), 20 Aug 2014 (-1.98%), 10 Sep 2014 (6.05%), 23 Oct 2014 (1.26%)
20131004 Mar 2013 (-1.54%), 28 Mar 2013 (-0.71%), 16 Apr 2013 (6.27%), 12 Jun 2013 (-0.38%), 02 Jul 2013 (-3.05%), 23 Aug 2013 (-3.13%), 13 Sep 2013 (-1.28%), 01 Oct 2013 (5.21%), 06 Nov 2013 (-2.87%), 18 Nov 2013 (5.81%)
2012603 Jan 2012 (10.14%), 13 Apr 2012 (7.1%), 25 May 2012 (-0.22%), 06 Aug 2012 (-2.51%), 08 Sep 2012 (5.27%), 29 Nov 2012 (6.19%)
2011901 Feb 2011 (5.8%), 07 Mar 2011 (-1.11%), 01 Apr 2011 (5.11%), 13 May 2011 (5.4%), 01 Jul 2011 (2.08%), 27 Jul 2011 (-2.44%), 02 Sep 2011 (-1.35%), 13 Oct 2011 (-2.22%), 05 Dec 2011 (-3.49%)
20101215 Feb 2010 (9.78%), 02 Mar 2010 (8.31%), 03 May 2010 (-3.56%), 09 Jun 2010 (9.33%), 26 Jul 2010 (-1.76%), 17 Aug 2010 (-0.17%), 07 Sep 2010 (4.69%), 07 Oct 2010 (4.92%), 05 Nov 2010 (-1.57%), 03 Dec 2010 (-2.42%), 13 Dec 2010 (-1.0%), 31 Dec 2010 (0.01%)
2009906 Feb 2009 (-4.69%), 02 Mar 2009 (-4.56%), 23 Mar 2009 (9.46%), 07 May 2009 (7.85%), 20 Jul 2009 (13.78%), 21 Aug 2009 (10.08%), 17 Oct 2009 (-2.01%), 11 Nov 2009 (-0.93%), 22 Dec 2009 (11.34%)
2008906 Feb 2008 (-8.83%), 22 Feb 2008 (14.76%), 27 Mar 2008 (16.68%), 11 Jun 2008 (-6.33%), 14 Jul 2008 (-6.71%), 22 Jul 2008 (12.33%), 27 Aug 2008 (0.34%), 22 Oct 2008 (-1.79%), 08 Dec 2008 (12.88%)
2007326 Jul 2007 (-4.36%), 04 Sep 2007 (-0.46%), 13 Nov 2007 (8.37%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play